Research Interests:
- Applied probability, statistics, stochastic processes
- Martingales, Markov processes, Levy processes, random measures
- Optimal stopping, stochastic optimal control with applications in finance and engineering
- Bayesian sequential analysis; sequential change detection, hypothesis testing
- Valuation and hedging of contingent claims, real options
Publications and Preprints:
- S.O.Sezer. On the Wiener disorder problem. Annals of Applied Probability, to appear.
- M. Ludkovski, and S. O. Sezer. Finite-horizon decision timing with partially observable Poisson processes. Submitted.
- S. Dayanik, H. V. Poor, and S. O. Sezer. Sequential multi-hypothesis testing for compound Poisson processes. Stochastics, 80:1, 19-50.
- S. Dayanik, H. V. Poor, and S. O. Sezer. Multisource Bayesian sequential change detection. Annals of Applied Probability, 18:2, 552-590.
- E. Bayraktar and S. O. Sezer. Quickest Detection for a Poisson Process with a Phase-type Change-time Distribution. Sequential Analysis 28:2, 218–250.
- S. Dayanik and S. O. Sezer. Sequential testing of simple hypotheses about compound Poisson processes. Stochastic Processes and their Applications. 116:12, 1892-1919.
- S. Dayanik and S. O. Sezer. Compound Poisson Disorder Problem. Mathematics of Operations Research. 31:4, 649-672. (First Place in the INFORMS 2005 JFIG Paper Competition).
Publications in Conference Proceedings:
- S.Dayanik and S.O.Sezer (2009). Multisource Bayesian sequential hypothesis testing, Proceedings of the Second International Workshop in Sequential Methodologies.
- Dayanik, S., H. V. Poor, S. O. Sezer (2008). Bayesian sequential change detection for Levy processes, Proceedings of the 2008 International Workshop on Applied Probability.
Ph.D. Thesis:
- Bayesian sequential change-point detection and hypothesis testing problems for compound Poisson and Wiener processes, Princeton University, 2006.
