Articles/Research

BSDE with singular terminal values, Tubitak 1001, 2018-2020

Optimal liquidation with conditions on minimum price,  with Alexandre Popier and Mervan Aksu, August 2023, arxiv

Hitting probabilities of constrained random walks representing tandem networks, May 2021, arxiv

Continuity problem for singular BSDE with random terminal time, with Alexandre Popier and S. Samuel, November 2020, arxiv

Backward Stochastic Differential Equations with Non-Markovian Singular Terminal Conditions for General Driver and Filtration, with Alexandre Popier and M. Ahmadi, November 2019, arxiv

Approximation of the Exit Probability of a Stable Markov Modulated Constrained Random Walk, with Fatma Başoğlu Kabran, Submitted for publication on Jun 11, 2019, on arxiv since September 2019, published in Annals of Operations Research, June 2020

Excessive Backlog Probabilities of Two Parallel Queues, with Demirberk Ünlü. Submitted on April 20, 2018, Uploaded to arxiv on June 2, 2018, published in Annals of Operations Reserach, July 2019

Approximation of Excessive Backlog Probabilities of Two Tandem Queues, arxiv

• This work has been submitted to the Applied Probability Trust as a revision on July 1, 2017; accepted for publication on July 2, 2018 

• It is a subset of the work Exit Probabilities and Balayage of Constrained Random Walks which had been submitted to the same journal on June 23, 2016.

Stationary analysis of a single queue with remaining service time dependent arrivals, with Benjamin Legros, October 2017, arxiv (accepted for publication in Queueing Systems).

Backward Stochastic Differential Equations with Nonmarkovian Singular Terminal Values, with Alexandre Popier and Thomas Kruse arxiv, November 2016; published in Stochastics and Dynamics on March 22, 2018

Exit Probabilities and Balayage of Constrained Random Walks arxiv, June 2015, presented at Applied Probability Society Meeting, Istanbul, July 2015

Joint Hitting-Time Densities for Finite State Markov Processes, with Monique Jeanblanc and Tomasz Bielecki, arxiv, February 2014, presented at Stochmod 2014, July 2014 (published in the Turkish Journal of Mathematics, June 2017).

Analysis of push-type epidemic data dissemination in fully connected networks, with Mine Çağlar, Performance Evaluation, March 2014, Preprint at arxiv

Editorial for the special issue on Optimization Methods in Mathematical Finance, with Gerhard Wilhelm Weber Optimization, November 2013

Optimal decision rules for product recalls, with Çağrı Haksöz, (initial version presented at Amamef 2010, StochMod10), preprint available at http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1612327, accepted to be published in Mathematics of OR, March 2012

Modeling of an insurance system and its large deviations analysis, June 2010, Journal of Computational and Applied Mathematics (presented at MeC Europt 2010)

Approximation of bounds on mixed level orthogonal arrays, with Ferruh Ozbudak, March 2009, [Arxiv] (an initial version presented at MCQMC 08), accepted to be published in Advances in Applied Probability, December 2010, available on JSTOR

Asymptotically optimal importance sampling for Jackson networks with a tree topology, Jan 2007, [Arxiv] (accepted to be published in Queueing systems in September 2009) (presented at RESIM 2008)

Dynamic importance sampling for queueing networks with Markov modulated arrivals and services, Nov 2006 (published in stochastic processes and their applications in Feb 2009, vol 119, no 2, pages 491-517,  ); (presented at RESIM 2008)

• Accompanying note: proofs of two results used in the proof of Lemma 4.1 of this article: Representation Results for Largest Eigenvalues of Matrices with Positive Entries (ps file).

Optimal irreversible investment when investment is allowed at the jumps of a Poisson process, presented at the 22nd European Conference on Operational Research, Prague, Chezch Republic, 8-11 July 2007

Dynamic importance sampling for queueing networks, with Paul Dupuis and Hui Wang. Annals of Applied Probability, Volume 17, Number 4 (2007), 1306-1346

A remark on unified error exponents: Hypothesis testing, data compression and measure concentration, with Ioannis Kontoyiannis, Barcelona Conference on Stochastic Inequalities and Their Applications, Spain, 2002