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Kramkov, Dmitriĭ Olegovich

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Author ID: kramkov.dmitry-o Recent zbMATH articles by "Kramkov, Dmitriĭ Olegovich"
Published as: Kramkov, D. O.; Kramkov, Dmitry; Kramkov, D.
Further Spellings: Крамков Дмитрий Олегович
Homepage: http://www.math.cmu.edu/math/faculty/KramkovDmitry
External Links: MGP · ORCID · Wikidata · Math-Net.Ru · GND
Awards: EMS Prize (1996)

Publications by Year

Citations contained in zbMATH Open

30 Publications have been cited 913 times in 572 Documents Cited by Year
The asymptotic elasticity of utility functions and optimal investment in incomplete markets. Zbl 0967.91017
Kramkov, D.; Schachermayer, W.
315
1999
Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets. Zbl 0853.60041
Kramkov, D. O.
84
1996
Necessary and sufficient conditions in the problem of optimal investment in incomplete markets. Zbl 1091.91036
Kramkov, D.; Schachermayer, W.
84
2003
Optional decompositions under constraints. Zbl 0882.60063
Föllmer, H.; Kramkov, D.
73
1997
Optimal investment with random endowments in incomplete markets. Zbl 1086.91030
Hugonnier, Julien; Kramkov, Dmitry
46
2004
Asymptotic arbitrage in large financial markets. Zbl 0894.90020
Kabanov, Yu. M.; Kramkov, D. O.
45
1998
Sensitivity analysis of utility-based prices and risk-tolerance wealth processes. Zbl 1132.91426
Kramkov, Dmitry; Sîrbu, Mihai
39
2006
On utility-based pricing of contingent claims in incomplete markets. Zbl 1124.91338
Hugonnier, Julien; Kramkov, Dmitry; Schachermayer, Walter
35
2005
Large financial markets: Asymptotic arbitrage and contiguity. Zbl 0834.90018
Kabanov, Yu. M.; Kramkov, D. O.
34
1994
On the two-times differentiability of the value functions in the problem of optimal investment in incomplete markets. Zbl 1149.91035
Kramkov, Dmitry; Sîrbu, Mihai
20
2006
Asymptotic analysis of utility-based hedging strategies for small number of contingent claims. Zbl 1134.91439
Kramkov, D.; Sîrbu, M.
18
2007
A model for a large investor trading at market indifference prices. II: Continuous-time case. Zbl 1338.91123
Bank, Peter; Kramkov, Dmitry
16
2015
No-arbitrage and equivalent martingale measures: An elementary proof of the Harrison-Pliska theorem. Zbl 0834.60045
Kabanov, Yu. M.; Kramkov, D. O.
14
1994
A model for a large investor trading at market indifference prices. I: Single-period case. Zbl 1312.91080
Bank, Peter; Kramkov, Dmitry
14
2015
Toward the theory of pricing of options of both European and American types. II: Continuous time. Zbl 0833.60065
Shiryaev, A. N.; Kabanov, Yu. M.; Kramkov, D. O.; Mel’nikov, A. V.
13
1994
A system of quadratic BSDEs arising in a price impact model. Zbl 1339.60071
Kramkov, Dmitry; Pulido, Sergio
12
2016
Existence of an endogenously complete equilibrium driven by a diffusion. Zbl 1360.91106
Kramkov, Dmitry
10
2015
Integral representation of martingales motivated by the problem of endogenous completeness in financial economics. Zbl 1301.60058
Kramkov, Dmitry; Predoiu, Silviu
8
2014
Stability and analytic expansions of local solutions of systems of quadratic BSDEs with applications to a price impact model. Zbl 1347.60069
Kramkov, Dmitry; Pulido, Sergio
7
2016
Integral option. Zbl 0836.90012
Kramkov, D. O.; Mordecki, E.
5
1994
Muckenhoupt’s \((A_p)\) condition and the existence of the optimal martingale measure. Zbl 1346.60059
Kramkov, Dmitry; Weston, Kim
4
2016
Toward the theory of pricing of options of both European and American types. I: Discrete time. Zbl 0833.60064
Shiryaev, A. N.; Kabanov, Yu. M.; Kramkov, D. O.; Mel’nikov, A. V.
3
1994
Sufficient conditions of the uniform integrability of exponential martingales. Zbl 0907.60048
Kramkov, D. O.; Shiryaev, A. N.
3
1998
The stochastic field of aggregate utilities and its saddle conjugate. Zbl 1320.91166
Bank, P.; Kramkov, D.
3
2014
On closure of a family of martingale measures and an optimal decomposition of supermartingales. Zbl 0965.60050
Kramkov, D. O.
2
1996
On a stochastic differential equation arising in a price impact model. Zbl 1258.91069
Bank, Peter; Kramkov, Dmitry
2
2013
On the rational pricing of the “Russian option” for the symmetrical binomial model of a \((B,S)\)-market. Zbl 0836.90013
Kramkov, D. O.; Shiryaev, A. N.
1
1994
Convergence of filtered experiments to the experiment generated by a semimartingale. Zbl 0815.62004
Kramkov, D. O.
1
1993
Density of the set of probability measures with the martingale representation property. Zbl 1451.60044
Kramkov, Dmitry; Pulido, Sergio
1
2019
Existence and uniqueness of Arrow-Debreu equilibria with consumptions in \(\mathbf{L}^0_+\). Zbl 1352.91025
Kramkov, D.
1
2016
Density of the set of probability measures with the martingale representation property. Zbl 1451.60044
Kramkov, Dmitry; Pulido, Sergio
1
2019
A system of quadratic BSDEs arising in a price impact model. Zbl 1339.60071
Kramkov, Dmitry; Pulido, Sergio
12
2016
Stability and analytic expansions of local solutions of systems of quadratic BSDEs with applications to a price impact model. Zbl 1347.60069
Kramkov, Dmitry; Pulido, Sergio
7
2016
Muckenhoupt’s \((A_p)\) condition and the existence of the optimal martingale measure. Zbl 1346.60059
Kramkov, Dmitry; Weston, Kim
4
2016
Existence and uniqueness of Arrow-Debreu equilibria with consumptions in \(\mathbf{L}^0_+\). Zbl 1352.91025
Kramkov, D.
1
2016
A model for a large investor trading at market indifference prices. II: Continuous-time case. Zbl 1338.91123
Bank, Peter; Kramkov, Dmitry
16
2015
A model for a large investor trading at market indifference prices. I: Single-period case. Zbl 1312.91080
Bank, Peter; Kramkov, Dmitry
14
2015
Existence of an endogenously complete equilibrium driven by a diffusion. Zbl 1360.91106
Kramkov, Dmitry
10
2015
Integral representation of martingales motivated by the problem of endogenous completeness in financial economics. Zbl 1301.60058
Kramkov, Dmitry; Predoiu, Silviu
8
2014
The stochastic field of aggregate utilities and its saddle conjugate. Zbl 1320.91166
Bank, P.; Kramkov, D.
3
2014
On a stochastic differential equation arising in a price impact model. Zbl 1258.91069
Bank, Peter; Kramkov, Dmitry
2
2013
Asymptotic analysis of utility-based hedging strategies for small number of contingent claims. Zbl 1134.91439
Kramkov, D.; Sîrbu, M.
18
2007
Sensitivity analysis of utility-based prices and risk-tolerance wealth processes. Zbl 1132.91426
Kramkov, Dmitry; Sîrbu, Mihai
39
2006
On the two-times differentiability of the value functions in the problem of optimal investment in incomplete markets. Zbl 1149.91035
Kramkov, Dmitry; Sîrbu, Mihai
20
2006
On utility-based pricing of contingent claims in incomplete markets. Zbl 1124.91338
Hugonnier, Julien; Kramkov, Dmitry; Schachermayer, Walter
35
2005
Optimal investment with random endowments in incomplete markets. Zbl 1086.91030
Hugonnier, Julien; Kramkov, Dmitry
46
2004
Necessary and sufficient conditions in the problem of optimal investment in incomplete markets. Zbl 1091.91036
Kramkov, D.; Schachermayer, W.
84
2003
The asymptotic elasticity of utility functions and optimal investment in incomplete markets. Zbl 0967.91017
Kramkov, D.; Schachermayer, W.
315
1999
Asymptotic arbitrage in large financial markets. Zbl 0894.90020
Kabanov, Yu. M.; Kramkov, D. O.
45
1998
Sufficient conditions of the uniform integrability of exponential martingales. Zbl 0907.60048
Kramkov, D. O.; Shiryaev, A. N.
3
1998
Optional decompositions under constraints. Zbl 0882.60063
Föllmer, H.; Kramkov, D.
73
1997
Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets. Zbl 0853.60041
Kramkov, D. O.
84
1996
On closure of a family of martingale measures and an optimal decomposition of supermartingales. Zbl 0965.60050
Kramkov, D. O.
2
1996
Large financial markets: Asymptotic arbitrage and contiguity. Zbl 0834.90018
Kabanov, Yu. M.; Kramkov, D. O.
34
1994
No-arbitrage and equivalent martingale measures: An elementary proof of the Harrison-Pliska theorem. Zbl 0834.60045
Kabanov, Yu. M.; Kramkov, D. O.
14
1994
Toward the theory of pricing of options of both European and American types. II: Continuous time. Zbl 0833.60065
Shiryaev, A. N.; Kabanov, Yu. M.; Kramkov, D. O.; Mel’nikov, A. V.
13
1994
Integral option. Zbl 0836.90012
Kramkov, D. O.; Mordecki, E.
5
1994
Toward the theory of pricing of options of both European and American types. I: Discrete time. Zbl 0833.60064
Shiryaev, A. N.; Kabanov, Yu. M.; Kramkov, D. O.; Mel’nikov, A. V.
3
1994
On the rational pricing of the “Russian option” for the symmetrical binomial model of a \((B,S)\)-market. Zbl 0836.90013
Kramkov, D. O.; Shiryaev, A. N.
1
1994
Convergence of filtered experiments to the experiment generated by a semimartingale. Zbl 0815.62004
Kramkov, D. O.
1
1993
all top 5

Cited by 552 Authors

20 Rásonyi, Miklós
17 Kramkov, Dmitriĭ Olegovich
16 Schachermayer, Walter
15 Žitković, Gordan
14 Kardaras, Constantinos
13 Carassus, Laurence
11 Guasoni, Paolo
11 Muhle-Karbe, Johannes
10 Jarrow, Robert Alan
10 Mostovyi, Oleksii
10 Touzi, Nizar
9 Klein, Irene
8 Bouchard, Bruno
8 Kallsen, Jan
8 Pham, Huyên
8 Platen, Eckhard
8 Sîrbu, Mihai
7 Kabanov, Yuriĭ Mikhaĭlovich
7 Nutz, Marcel
7 Quenez, Marie-Claire
7 Sulem, Agnès
6 Bank, Peter
6 Czichowsky, Christoph
6 De Donno, Marzia
6 Fontana, Claudio
6 Lépinette, Emmanuel
6 Pennanen, Teemu
6 Sass, Jörn
6 Schweizer, Martin
6 Stricker, Christophe
6 Xia, Jianming
6 Yang, Junjian
6 Zheng, Harry H.
5 Biagini, Sara
5 Chau, Huy N.
5 Choulli, Tahir
5 Ivanov, Roman V.
5 Mania, Michael
5 Obloj, Jan K.
5 Possamaï, Dylan
5 Robertson, Scott
5 Sircar, Ronnie
5 Soner, Halil Mete
5 Zariphopoulou, Thaleia
4 Aguilar, Erick Treviño
4 Berkaoui, Abdelkarem
4 Campi, Luciano
4 Chang, Mouhsiung
4 Cvitanić, Jakša
4 Dolinsky, Yan
4 Fouque, Jean-Pierre
4 Herdegen, Martin
4 Hu, Ying
4 Hugonnier, Julien-N.
4 Imkeller, Peter
4 Jouini, Elyès
4 Lin, Yiqing
4 Luo, Peng
4 Mnif, Mohamed
4 Øksendal, Bernt Karsten
4 Owen, Mark P.
4 Perez-Ostafe, Lavinia
4 Perkkiö, Ari-Pekka
4 Pulido, Sergio
4 Rogers, L. C. G.
4 Schied, Alexander
4 Tan, Xiaolu
4 Westray, Nicholas
4 Xing, Hao
4 Zhou, Qing
4 Zhou, Xunyu
3 Adachi, Takashi
3 Bayraktar, Erhan
3 Becherer, Dirk
3 Cordero, Fernando
3 Dokuchaev, Nikolai G.
3 El Karoui, Nicole
3 Elie, Romuald
3 Evstigneev, Igor V.
3 Frittelli, Marco
3 Gu, Lingqi
3 He, Xuedong
3 Hu, Ruimeng
3 Karatzas, Ioannis
3 Larsson, Martin
3 Mbele Bidima, Martin Le Doux
3 Monoyios, Michael
3 Mykland, Per Aslak
3 Napp, Clotilde
3 Pelsser, Antoon A. J.
3 Riedel, Frank
3 Stadje, Mitja
3 Tankov, Peter
3 Teichmann, Josef
3 Tevzadze, Revaz
3 Vellekoop, Michel H.
3 Youree, Roger K.
2 Anthropelos, Michail
2 Bálint, Dániel Ágoston
2 Bartl, Daniel
...and 452 more Authors
all top 5

Cited in 100 Serials

59 Finance and Stochastics
57 The Annals of Applied Probability
54 Mathematical Finance
35 Mathematics and Financial Economics
30 Stochastic Processes and their Applications
22 SIAM Journal on Financial Mathematics
16 Journal of Mathematical Economics
16 Stochastics
13 Insurance Mathematics & Economics
13 International Journal of Theoretical and Applied Finance
12 SIAM Journal on Control and Optimization
10 Stochastic Analysis and Applications
10 Quantitative Finance
10 Decisions in Economics and Finance
9 The Annals of Probability
9 Annals of Finance
8 Applied Mathematical Finance
8 Mathematical Methods of Operations Research
7 Theory of Probability and its Applications
6 Applied Mathematics and Optimization
6 Journal of Applied Probability
6 European Journal of Operational Research
5 Journal of Mathematical Analysis and Applications
5 Probability, Uncertainty and Quantitative Risk
4 Mathematics of Operations Research
4 Statistics & Probability Letters
4 Acta Applicandae Mathematicae
4 Journal of Economic Dynamics & Control
4 Automation and Remote Control
4 Journal of Mathematical Sciences (New York)
4 Electronic Journal of Probability
4 Mathematical Problems in Engineering
3 Applied Mathematics and Computation
3 Journal of Computational and Applied Mathematics
3 Journal of Economic Theory
3 Journal of Optimization Theory and Applications
3 Mathematical Programming. Series A. Series B
3 Stochastics and Stochastics Reports
3 Discrete and Continuous Dynamical Systems. Series B
3 ASTIN Bulletin
3 Computational Management Science
3 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys
2 Advances in Applied Probability
2 Mathematical Notes
2 Moscow University Mathematics Bulletin
2 Journal of Econometrics
2 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
2 Optimization
2 Bernoulli
2 Positivity
2 Probability in the Engineering and Informational Sciences
2 Scandinavian Actuarial Journal
2 Journal of Systems Science and Complexity
2 Journal of Applied Mathematics
2 Stochastic Models
2 Stochastics and Dynamics
2 Asia-Pacific Financial Markets
2 Proceedings of the Steklov Institute of Mathematics
2 International Journal of Stochastic Analysis
2 Mathematical Control and Related Fields
1 Computers & Mathematics with Applications
1 Lithuanian Mathematical Journal
1 The Annals of Statistics
1 Fuzzy Sets and Systems
1 International Journal of Mathematics and Mathematical Sciences
1 Mathematische Annalen
1 Proceedings of the American Mathematical Society
1 Theory and Decision
1 Applied Mathematics and Mechanics. (English Edition)
1 Annales de l’Institut Henri Poincaré. Analyse Non Linéaire
1 Acta Mathematicae Applicatae Sinica. English Series
1 Probability Theory and Related Fields
1 Econometric Reviews
1 Journal of Theoretical Probability
1 Journal of Applied Mathematics and Stochastic Analysis
1 Annals of Operations Research
1 Economics Letters
1 Aequationes Mathematicae
1 Topological Methods in Nonlinear Analysis
1 Economic Theory
1 Journal of Convex Analysis
1 Electronic Communications in Probability
1 Open Systems & Information Dynamics
1 Discrete Dynamics in Nature and Society
1 Methodology and Computing in Applied Probability
1 Nonlinear Analysis. Real World Applications
1 Statistical Modelling
1 OR Spectrum
1 Journal of Applied Mathematics and Computing
1 Multiscale Modeling & Simulation
1 ALEA. Latin American Journal of Probability and Mathematical Statistics
1 Optimization Letters
1 Journal of Statistical Theory and Practice
1 The Annals of Applied Statistics
1 MathematicS In Action
1 Matematicheskaya Teoriya Igr i eë Prilozheniya
1 Journal of Probability and Statistics
1 Modern Stochastics. Theory and Applications
1 Open Mathematics
1 Transactions of A. Razmadze Mathematical Institute

Citations by Year

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