Ibrahim Ekren
I am an Associate Professor in the Department of Mathematics at the University of Michigan. Here is my latest CV and you may find my google scholar page here.
Contact Information :
Email: iekren@umich.edu
Address: University of Michigan, Department of Mathematics, 530 Church St, Ann Arbor, MI 48109
Office: 2856 East Hall
Previous Positions
2018-2023, Assistant Professor, Department of Mathematics, Florida State University.
2017-2018, Byrne Postdoctoral Assistant Professor, Department of Mathematics, University of Michigan.
2014-2017, Postdoctoral researcher, Department of Mathematics, ETH Zurich.
Education
I obtained my PhD in mathematics from the Department of Mathematics at the University of Southern California, where I worked under the supervision of Jianfeng Zhang. I received my master's degree from Université Pierre et-Marie-Curie, Paris, France and Diplome d'ingenieur from Ecole Polytechnique.
Research Interests :
Stochastic Control Theory
Stochastic Partial Differential Equations
Partial Differential Equations
Mathematical Finance
Rough Paths
Malliavin Calculus
Online Learning
Grants :
NSF grant DMS-2406240 (2024-2027): $268,602
NSF grant DMS-2007826 (2020-2024): $218,000
FSU FYAP grant (2018): $20,000
Editorial Boards :
Associate Editor: Finance and Stochastics
Associate Editor: Applied Mathematics and Optimization
Associate Editor: Advances in Continuous and Discrete Models
Postdoc Mentorship :
Xihao He
Guillermo Alvarez
Eunjung Noh
Man Cheung Tsui (Teaching)
Patrick Heslin (Teaching)
Ph.D. Supervision :
Lu Vy
Liwei Huang
Shreya Bose (graduated in 2023)
Brad Mostowski (graduated in 2023)
Publications :
G. Alvarez, E. Bayraktar, I. Ekren, and L. Huang, Sequential optimal contracting in continuous time, submitted.
E. Bayraktar, I. Ekren, and X. Zhang, Convergence rate of particle system for second-order PDEs in the Wasserstein space, submitted.
E. Bayraktar, I. Ekren, and X. Zhang, Comparison of viscosity solutions for a class of second order PDEs on the Wasserstein space, submitted.
R. Chhaibi, I. Ekren, Eunjung Noh, and L. Vy, A unified approach to informed trading via Monge-Kantorovich duality, submitted.
E. Bayraktar, I. Ekren, and X. Zhang, A smooth variational principle on the Wasserstein space, submitted.
E. Bayraktar, I. Ekren, and X. Zhang, A PDE approach for regret bounds under partial monitoring, submitted.
I. Ekren, B. Mostowski, and G. Zitkovic, Kyle's model with stochastic liquidity, submitted.
S. Bose and I. Ekren, Multidimensional Kyle-Back model with a risk averse informed trader, submitted.
K. Back, F. Cocquemas, I. Ekren, and A. Lioui, Optimal transport and risk aversion in Kyle's model of informed trading, submitted.
S. Bose and I. Ekren, Kyle-Back Models with risk aversion and non-Gaussian beliefs, to appear in Annals of Applied Probability.
I. Ekren and S. Nadtochiy (2022), Utility-based pricing and hedging of contingent claims in Almgren-Chriss model with temporary price impact, Mathematical Finance, 32(1), pp. 172-225.
E. Bayraktar, I. Ekren, and X. Zhang (2021), Prediction against limited adversary, Journal of Machine Learning Research 22(72), pp.1-33.
P. Bank, I. Ekren, and J. Muhle-Karbe (2021), Liquidity in competitive dealers market, Mathematical Finance, 31(3), pp. 827-856.
E. Bayraktar, T. Caye, and I. Ekren (2021), Asymptotics for Small Nonlinear Price Impact: a PDE Approach to the Multidimensional Case, Mathematical Finance, 31(1), pp. 36-108.
E. Bayraktar, I. Ekren, and Y. Zhang (2020), On the asymptotic optimality of comb strategy for prediction with expert advice, Annals of Applied Probability, Volume 30, No.6, 2517-2546.
Mathematica Appendix (Version December 2019).
Mathematica Appendix (Version February 2019).
E. Bayraktar, I. Ekren, and X. Zhang (2020), Finite-time 4-Expert Prediction Problem, Communications in Partial Differential Equations, pp. 1-44.
R. Chhaibi and I. Ekren (2020), The Hormander condition for delayedstochastic differential equations, Annales Henri Lebesgue, Volume 3, pp. 1023 1048.
I. Ekren and J. Muhle-Karbe (2019), Portfolio choice with small temporary and transient price impact, Mathematical Finance, 29(4), pp. 1066-1115.
I. Ekren and H. M. Soner, (2018), Constrained Optimal transport, Archive for Rational Mechanics and Analysis, Volume 227, Issue 3, pp. 929-965.
I. Ekren, R. Liu, and J. Muhle-Karbe, (2018), Optimal rebalancing frequency forMultidimensional Portfolios, Mathematics and Financial Economics, Volume 12, Issue 2, pp 165-191.
I. Ekren, I. Kukavica, and M. Ziane, (2018), Existence of invariant measures forthe stochastic damped KDV equation, Indiana University Mathematics Journal 67, 1221-1254.
I. Ekren, I. Kukavica, and M. Ziane, (2017), Existence of invariant measures for some damped stochastic dispersive equations, Comptes Rendus Mathematique, Volume 355, Issue 6, 676-679.
I. Ekren, (2017) Viscosity solutions of obstacle problems for Fully nonlinear path-dependent PDEs, Stochastic Processes and their Applications, Volume 127, Issue 12, 3966-3996.
I. Ekren, I. Kukavica, and M. Ziane, (2017), Existence of invariant measures for the stochastic damped Schrodinger equation, Stoch PDE: Anal Comp. Volume 5, Issue 3, 343-367.
I. Ekren and J. Zhang, (2016), Pseudo Markovian Viscosity Solutions of Fully Nonlinear Degenerate PPDEs, Probability, Uncertainty and Quantitative Risk 1:6 DOI 10.1186/s41546-016-0010-3.
I. Ekren, N. Touzi, and J. Zhang, (2016), Viscosity Solutions of Fully Nonlinear Parabolic Path Dependent PDEs: Part II, Annals of Probability, Volume 44, Number 4, 2507-2553.
I. Ekren, N. Touzi, and J. Zhang, (2016), Viscosity Solutions of Fully Nonlinear Parabolic Path Dependent PDEs: Part I, Annals of Probability, Volume 44, Number 2, 1212-1253.
I. Ekren, N. Touzi, and J. Zhang, (2014), Optimal Stopping under Nonlinear Expectation, Stochastic Processes and their Applications, Volume 124, Issue 10, 3277-3311.
I. Ekren, C. Keller, N. Touzi, and J. Zhang, (2014), On Viscosity Solutions of Path Dependent PDEs, Annals of Probability, Volume 42, Number 1, 204-236.
