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Creators/Authors contains: "Ekren, Ibrahim"

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  1. ; ; (, Finance and Stochastics)
    Free, publicly-accessible full text available October 1, 2026
  2. ; ; (, SIAM Journal on Control and Optimization)
    Free, publicly-accessible full text available June 30, 2026
  3. ; ; (, Communications in Partial Differential Equations)
    Free, publicly-accessible full text available April 3, 2026
  4. ; ; ; (, Frontiers of Mathematical Finance)
    This paper studies a principal-agent problem in continuous time with multiple lump-sum payments (contracts) paid at different deterministic times. We reduce the non-zero-sum Stackelberg game between the principal and agent to a standard stochastic optimal control problem. We apply our result to a benchmark model to investigate how different inputs (payment frequencies, payment distribution, discounting factors, agent's reservation utility) affect the principal's value and agent's optimal compensations. 
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    Full Text Available 
  5. ; ; (, Journal of machine learning research)
    In this paper, we study a learning problem in which a forecaster only observes partial information. By properly rescaling the problem, we heuristically derive a limiting PDE on Wasserstein space which characterizes the asymptotic behavior of the regret of the forecaster. Using a verification type argument, we show that the problem of obtaining regret bounds and efficient algorithms can be tackled by finding appropriate smooth sub/supersolutions of this parabolic PDE. 
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    Accepted Manuscript Full Text Available
  6. ; ; (, Proceedings of the American Mathematical Society)
    In this note, we provide a smooth variational principle on Wasserstein space by constructing a smooth gauge-type function using the sliced Wasserstein distance. This function is a crucial tool for optimization problems and in viscosity theory of PDEs on Wasserstein space. 
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    Full Text Available 
  7. ; ; (, Journal of machine learning research)
    null (Ed.)
    Accepted Manuscript Full Text Available
  8. ; (, Mathematical Finance)
    Abstract In this paper, we construct the utility‐based optimal hedging strategy for a European‐type option in the Almgren‐Chriss model with temporary price impact. The main mathematical challenge of this work stems from the degeneracy of the second order terms and the quadratic growth of the first‐order terms in the associated Hamilton‐Jacobi‐Bellman equation, which makes it difficult to establish sufficient regularity of the value function needed to construct the optimal strategy in a feedback form. By combining the analytic and probabilistic tools for describing the value function and the optimal strategy, we establish the feedback representation of the latter. We use this representation to derive an explicit asymptotic expansion of the utility indifference price of the option, which allows us to quantify the price impact in options' market via the price impact coefficient in the underlying market. 
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