Bayraktar Erhan

Erhan Bayraktar

Information about the author Erhan Bayraktar will soon be added to the site.
Found 8 papers in total
Optimal investment strategy to minimize occupation time
Optimal investment strategy to minimize occupation time
2010
We find the optimal investment strategy to minimize the expected time that an...
Inventory management with partially observed nonstationary demand
Inventory management with partially observed nonstationary demand
2010
We consider a continuous-time model for inventory management with Markov modulated...
A unified treatment of dividend payment problems under fixed cost and implementation delays
A unified treatment of dividend payment problems under fixed cost and implementation delays
2010
In this paper we study the dividend optimization problem for a corporation or a...
On the one-dimensional optimal switching problem
On the one-dimensional optimal switching problem
2010
We explicitly solve the optimal switching problem for one-dimensional diffusions by...
Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions
Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions
2009
We approximate the price of the American put for jump diffusions by a sequence of...
An Analysis of Monotone Follower Problems for Diffusion Processes
An Analysis of Monotone Follower Problems for Diffusion Processes
2008
We consider a singular stochastic control problem, which is called the monotone...
A limit theorem for financial markets with inert investors
A limit theorem for financial markets with inert investors
2006
We study the effect of investor inertia on stock price fluctuations with a market...
Poisson disorder problem with exponential penalty for delay
Poisson disorder problem with exponential penalty for delay
2006
We solve the Poisson disorder problem when the delay is penalized exponentially. Our...
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