Ali Devin Sezer

E-mail

devin@metu.edu.tr

Department

Graduate School of Applied Mathematics

ORCID

0000-0002-8983-2035

Scopus Author ID

36935677700

Continuity problem for singular BSDE with random terminal time Samuel, Sharoy Augustine; Popier, Alexandre; Sezer, Ali Devin (2022-1-01) All Rights Reserved.We study a class of non-linear Backward stochastic differential equations (BSDE) with a superlinear driver process f adapted to a filtration F and over a random time interval [[0, S]] where S is a stopp...
Backward stochastic differential equations with non-markovian singular terminal conditions for general driver and filtration Ahmadi, Mahdi; Popier, Alexandre; Sezer, Ali Devin (2021-01-01) All rights reserved.We consider a class of Backward Stochastic Differential Equations with superlinear driver process f adapted to a filtration supporting at least a d dimensional Brownian motion and a Poisson random meas...
Excessive backlog probabilities of two parallel queues Unlu, Kamil Demirberk; Sezer, Ali Devin (2020-10-01) Let X be the constrained random walk on Z2 + with increments (1, 0), (-1, 0), (0, 1) and (0,-1); X represents, at arrivals and service completions, the lengths of two queues (or two stacks in computer science applications)...
Approximation of the exit probability of a stable Markov modulated constrained random walk Kabran, Fatma Basoglu; Sezer, Ali Devin (2020-06-01) Let X be the constrained randomwalk on Z(+)(2) having increments (1, 0), (- 1, 1), (0,- 1) with jump probabilities lambda(M-k), mu(1)(M-k), and mu(2)(M-k) where M is an irreducible aperiodic finite state Markov chain. The ...
Backward stochastic differential equations with non-Markovian singular terminal values Sezer, Ali Devin; Popier, Alexandre (2019-04-01) We solve a class of BSDE with a power function f (y) = y(q), q > 1, driving its drift and with the terminal boundary condition xi = infinity . 1( B(m,r)c )(for which q > 2 is assumed) or xi = infinity . 1B(m,r), where B(m,...
APPROXIMATION OF EXCESSIVE BACKLOG PROBABILITIES OF TWO TANDEM QUEUES Sezer, Ali Devin (2018-09-01) Let X be the constrained random walk on Z(+)(2) having increments (1, 0), (-1, 1), and (0, -1) with respective probabilities A lambda,mu 1, and mu 2 representing the lengths of two tandem queues. We assume that X is stable...
Approximation of excessive backlog probabilities of two parallel queues Ünlü, Kamil Demirberk; Sezer, Ali Devin (2018-07-25) Let X be the constrained random walk on Z 2 + with increments (1, 0), (−1, 0), (0, 1) and (0, −1) representing the lengths at service completion times of two queues with exponentially distributed interarrival and service t...
Stationary analysis of a single queue with remaining service time-dependent arrivals Legros, Benjamin; Sezer, Ali Devin (2018-02-01) We study a generalization of the M / G / 1 system (denoted by rM / G / 1) with independent and identically distributed service times and with an arrival process whose arrival rate depends on the remaining service time r of...
Joint densities of hitting times for finite state Markov processes Bielecki, Tomasz R.; Jeanblanc, Monique; Sezer, Ali Devin (2018-01-01) For a finite state Markov process X and a finite collection {Gamma<INF>k</INF>, k is an element of K} of subsets of its state space, let tau<INF>k</INF> be the first time the process visits the set Gamma<INF>k</INF>. In ge...
Backward Stochastic Differential Equations with Nonmarkovian Singular Terminal Values Sezer, Ali Devin; Popıer, Alexandre (null; 2017-08-03) We solve a class of BSDE with a power function f(y) = y q , q > 1, driving its drift and with the terminal boundary condition ξ = ∞ · 1B(m,r) c (for which q > 2 is assumed) or ξ = ∞ · 1B(m,r) , where B(m, r) is the ball in...

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