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  • 4 Similar Profiles
Value Function Mathematics
Game Mathematics
Lifetime Mathematics
Optimal Stopping Problem Mathematics
Wealth Business & Economics
Value function Business & Economics
Control Problem Mathematics
Ruin Business & Economics

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Grants 2006 2019

Research Output 2003 2017

  • 777 Citations
  • 15 Scopus h-Index
  • 109 Article
  • 4 Conference contribution
  • 1 Review article

Efficient Byzantine Sequential Change Detection

Fellouris, G., Bayraktar, E. & Lai, L. Sep 20 2017 (Accepted/In press) In : IEEE Transactions on Information Theory.

Research output: Research - peer-reviewArticle

Sensors
scenario
simulation
performance
time

Ergodicity of robust switching control and nonlinear system of quasi-variational inequalities

Bayraktar, E., Cosso, A. & Pham, H. 2017 In : SIAM Journal on Control and Optimization. 55, 3, p. 1915-1953 39 p.

Research output: Research - peer-reviewArticle

Switching Systems
Switching Control
Quasi-variational Inequalities
Ergodicity
Robust Control

On an optimal stopping problem of an insider

Bayraktar, E. & Zhou, Z. 2017 In : Theory of Probability and its Applications. 61, 1, p. 129-133 5 p.

Research output: Research - peer-reviewArticle

Optimal stopping problem
Continuity
Insider
Optimal Stopping Problem
Stopping time

ON ARBITRAGE AND DUALITY UNDER MODEL UNCERTAINTY AND PORTFOLIO CONSTRAINTS

Bayraktar, E. & Zhou, Z. Oct 1 2017 In : Mathematical Finance. 27, 4, p. 988-1012 25 p.

Research output: Research - peer-reviewArticle

Model uncertainty
Portfolio constraints
Duality
Arbitrage
Hedging

On the Robust Dynkin Game

Bayraktar, E. & Yao, S. Jun 1 2017 In : Annals of Applied Probability. 27, 3, p. 1702-1755 54 p.

Research output: Research - peer-reviewArticle

Dynkin Games
Dynkin games
Reflected Backward Stochastic Differential Equation
Submartingale
Stopping Time