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Minimizing the probability of lifetime drawdown under constant consumption
Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R. - In: Insurance / Mathematics & economics 69 (2016), pp. 210-223
Persistent link: https://www.econbiz.de/10011533908
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Minimizing the expected lifetime spent in drawdown under proportional consumption
Angoshtari, Bahman; Bayraktar, Erhan; Young, Virginia R. - In: Finance research letters 15 (2015), pp. 106-114
Persistent link: https://www.econbiz.de/10011552995
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Optimally investing to reach a bequest goal
Bayraktar, Erhan; Young, Virginia R. - In: Insurance / Mathematics & economics 70 (2016), pp. 1-10
Persistent link: https://www.econbiz.de/10011597071
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Liquidation in limit order books with controlled intensity
Bayraktar, Erhan; Ludkovski, Michael - In: Mathematical finance : an international journal of … 24 (2014) 4, pp. 627-650
Persistent link: https://www.econbiz.de/10011308178
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Optimizing venture capital investments in a jump diffusion model
Bayraktar, Erhan; Egami, Masahiko - In: Mathematical methods of operations research 67 (2008) 1, pp. 21-42
Persistent link: https://www.econbiz.de/10003643541
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An analysis of monotone follower problems for diffusion processes
Bayraktar, Erhan; Egami, Masahiko - In: Mathematics of operations research 33 (2008) 2, pp. 336-350
Persistent link: https://www.econbiz.de/10003732436
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Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions
Bayraktar, Erhan; Xing, Hao - In: Mathematical methods of operations research 70 (2009) 3, pp. 505-525
Persistent link: https://www.econbiz.de/10003909291
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Minimizing the probability of lifetime ruin under stochastic volatility
Bayraktar, Erhan; Hu, Xueying; Young, Virginia R. - In: Insurance / Mathematics & economics 49 (2011) 2, pp. 194-206
Persistent link: https://www.econbiz.de/10009242040
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Optimal dividends in the dual model under transaction costs
Bayraktar, Erhan; Kyprianou, Andreas E.; Yamazaki, Kazutoshi - In: Insurance / Mathematics & economics 54 (2014), pp. 133-143
Persistent link: https://www.econbiz.de/10010259658
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Optimal reinsurance and investment with unobservable claim size and intensity
Liang, Zhibin; Bayraktar, Erhan - In: Insurance / Mathematics & economics 55 (2014), pp. 156-166
Persistent link: https://www.econbiz.de/10010366184