## Kramkov, Dmitriĭ Olegovich

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 Author ID: kramkov.dmitry-o Published as: Kramkov, D. O.; Kramkov, Dmitry; Kramkov, D. more...less 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)
 Documents Indexed: 37 Publications since 1989 3 Contributions as Editor Co-Authors: 16 Co-Authors with 30 Joint Publications 546 Co-Co-Authors
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### Co-Authors

 9 single-authored 5 Kabanov, Yuriĭ Mikhaĭlovich 4 Bank, Peter 4 Shiryaev, Al’bert Nikolaevich 3 Pulido, Sergio 3 Schachermayer, Walter 3 Sîrbu, Mihai 2 Hugonnier, Julien-N. 2 Melnikov, Aleksander Viktorovich 2 Mordecki, Ernesto 2 Schweizer, Martin 2 Touzi, Nizar 1 Butov, Aleksandr Aleksandrovich 1 Föllmer, Hans 1 Predoiu, Silviu 1 Vishnyakov, A. N. 1 Weston, Kim
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### Serials

 8 The Annals of Applied Probability 7 Teoriya Veroyatnosteĭ i eë Primeneniya 4 Stochastic Processes and their Applications 3 Finance and Stochastics 2 Russian Mathematical Surveys 2 Theory of Probability and its Applications 2 Probability Theory and Related Fields 2 Oberwolfach Reports 1 The Annals of Probability 1 Obozrenie Prikladnoĭ i Promyshlennoĭ Matematiki 1 Mathematical Finance 1 Publicaciones Matemáticas del Uruguay 1 Proceedings of the Steklov Institute of Mathematics 1 SIAM Journal on Financial Mathematics
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### Fields

 32 Probability theory and stochastic processes (60-XX) 31 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 5 Statistics (62-XX) 4 Operations research, mathematical programming (90-XX) 3 General and overarching topics; collections (00-XX) 2 Partial differential equations (35-XX) 2 Convex and discrete geometry (52-XX) 1 Real functions (26-XX) 1 Calculus of variations and optimal control; optimization (49-XX) 1 Systems theory; control (93-XX)

### 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.
1999
Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets. Zbl 0853.60041
Kramkov, D. O.
1996
Necessary and sufficient conditions in the problem of optimal investment in incomplete markets. Zbl 1091.91036
Kramkov, D.; Schachermayer, W.
2003
Optional decompositions under constraints. Zbl 0882.60063
Föllmer, H.; Kramkov, D.
1997
Optimal investment with random endowments in incomplete markets. Zbl 1086.91030
Hugonnier, Julien; Kramkov, Dmitry
2004
Asymptotic arbitrage in large financial markets. Zbl 0894.90020
Kabanov, Yu. M.; Kramkov, D. O.
1998
Sensitivity analysis of utility-based prices and risk-tolerance wealth processes. Zbl 1132.91426
Kramkov, Dmitry; Sîrbu, Mihai
2006
On utility-based pricing of contingent claims in incomplete markets. Zbl 1124.91338
Hugonnier, Julien; Kramkov, Dmitry; Schachermayer, Walter
2005
Large financial markets: Asymptotic arbitrage and contiguity. Zbl 0834.90018
Kabanov, Yu. M.; Kramkov, D. O.
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
2006
Asymptotic analysis of utility-based hedging strategies for small number of contingent claims. Zbl 1134.91439
Kramkov, D.; Sîrbu, M.
2007
A model for a large investor trading at market indifference prices. II: Continuous-time case. Zbl 1338.91123
Bank, Peter; Kramkov, Dmitry
2015
No-arbitrage and equivalent martingale measures: An elementary proof of the Harrison-Pliska theorem. Zbl 0834.60045
Kabanov, Yu. M.; Kramkov, D. O.
1994
A model for a large investor trading at market indifference prices. I: Single-period case. Zbl 1312.91080
Bank, Peter; Kramkov, Dmitry
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.
1994
A system of quadratic BSDEs arising in a price impact model. Zbl 1339.60071
Kramkov, Dmitry; Pulido, Sergio
2016
Existence of an endogenously complete equilibrium driven by a diffusion. Zbl 1360.91106
Kramkov, Dmitry
2015
Integral representation of martingales motivated by the problem of endogenous completeness in financial economics. Zbl 1301.60058
Kramkov, Dmitry; Predoiu, Silviu
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
2016
Integral option. Zbl 0836.90012
Kramkov, D. O.; Mordecki, E.
1994
Muckenhoupt’s $$(A_p)$$ condition and the existence of the optimal martingale measure. Zbl 1346.60059
Kramkov, Dmitry; Weston, Kim
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.
1994
Sufficient conditions of the uniform integrability of exponential martingales. Zbl 0907.60048
Kramkov, D. O.; Shiryaev, A. N.
1998
The stochastic field of aggregate utilities and its saddle conjugate. Zbl 1320.91166
Bank, P.; Kramkov, D.
2014
On closure of a family of martingale measures and an optimal decomposition of supermartingales. Zbl 0965.60050
Kramkov, D. O.
1996
On a stochastic differential equation arising in a price impact model. Zbl 1258.91069
Bank, Peter; Kramkov, Dmitry
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.
1994
Convergence of filtered experiments to the experiment generated by a semimartingale. Zbl 0815.62004
Kramkov, D. O.
1993
Density of the set of probability measures with the martingale representation property. Zbl 1451.60044
Kramkov, Dmitry; Pulido, Sergio
2019
Existence and uniqueness of Arrow-Debreu equilibria with consumptions in $$\mathbf{L}^0_+$$. Zbl 1352.91025
Kramkov, D.
2016
Density of the set of probability measures with the martingale representation property. Zbl 1451.60044
Kramkov, Dmitry; Pulido, Sergio
2019
A system of quadratic BSDEs arising in a price impact model. Zbl 1339.60071
Kramkov, Dmitry; Pulido, Sergio
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
2016
Muckenhoupt’s $$(A_p)$$ condition and the existence of the optimal martingale measure. Zbl 1346.60059
Kramkov, Dmitry; Weston, Kim
2016
Existence and uniqueness of Arrow-Debreu equilibria with consumptions in $$\mathbf{L}^0_+$$. Zbl 1352.91025
Kramkov, D.
2016
A model for a large investor trading at market indifference prices. II: Continuous-time case. Zbl 1338.91123
Bank, Peter; Kramkov, Dmitry
2015
A model for a large investor trading at market indifference prices. I: Single-period case. Zbl 1312.91080
Bank, Peter; Kramkov, Dmitry
2015
Existence of an endogenously complete equilibrium driven by a diffusion. Zbl 1360.91106
Kramkov, Dmitry
2015
Integral representation of martingales motivated by the problem of endogenous completeness in financial economics. Zbl 1301.60058
Kramkov, Dmitry; Predoiu, Silviu
2014
The stochastic field of aggregate utilities and its saddle conjugate. Zbl 1320.91166
Bank, P.; Kramkov, D.
2014
On a stochastic differential equation arising in a price impact model. Zbl 1258.91069
Bank, Peter; Kramkov, Dmitry
2013
Asymptotic analysis of utility-based hedging strategies for small number of contingent claims. Zbl 1134.91439
Kramkov, D.; Sîrbu, M.
2007
Sensitivity analysis of utility-based prices and risk-tolerance wealth processes. Zbl 1132.91426
Kramkov, Dmitry; Sîrbu, Mihai
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
2006
On utility-based pricing of contingent claims in incomplete markets. Zbl 1124.91338
Hugonnier, Julien; Kramkov, Dmitry; Schachermayer, Walter
2005
Optimal investment with random endowments in incomplete markets. Zbl 1086.91030
Hugonnier, Julien; Kramkov, Dmitry
2004
Necessary and sufficient conditions in the problem of optimal investment in incomplete markets. Zbl 1091.91036
Kramkov, D.; Schachermayer, W.
2003
The asymptotic elasticity of utility functions and optimal investment in incomplete markets. Zbl 0967.91017
Kramkov, D.; Schachermayer, W.
1999
Asymptotic arbitrage in large financial markets. Zbl 0894.90020
Kabanov, Yu. M.; Kramkov, D. O.
1998
Sufficient conditions of the uniform integrability of exponential martingales. Zbl 0907.60048
Kramkov, D. O.; Shiryaev, A. N.
1998
Optional decompositions under constraints. Zbl 0882.60063
Föllmer, H.; Kramkov, D.
1997
Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets. Zbl 0853.60041
Kramkov, D. O.
1996
On closure of a family of martingale measures and an optimal decomposition of supermartingales. Zbl 0965.60050
Kramkov, D. O.
1996
Large financial markets: Asymptotic arbitrage and contiguity. Zbl 0834.90018
Kabanov, Yu. M.; Kramkov, D. O.
1994
No-arbitrage and equivalent martingale measures: An elementary proof of the Harrison-Pliska theorem. Zbl 0834.60045
Kabanov, Yu. M.; Kramkov, D. O.
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&rsquo;nikov, A. V.
1994
Integral option. Zbl 0836.90012
Kramkov, D. O.; Mordecki, E.
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&rsquo;nikov, A. V.
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.
1994
Convergence of filtered experiments to the experiment generated by a semimartingale. Zbl 0815.62004
Kramkov, D. O.
1993
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### 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
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### 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
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### Cited in 25 Fields

 532 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 338 Probability theory and stochastic processes (60-XX) 108 Systems theory; control (93-XX) 52 Calculus of variations and optimal control; optimization (49-XX) 37 Operations research, mathematical programming (90-XX) 27 Statistics (62-XX) 22 Partial differential equations (35-XX) 22 Functional analysis (46-XX) 7 Numerical analysis (65-XX) 4 Ordinary differential equations (34-XX) 3 Measure and integration (28-XX) 3 Convex and discrete geometry (52-XX) 3 Information and communication theory, circuits (94-XX) 2 Order, lattices, ordered algebraic structures (06-XX) 2 Real functions (26-XX) 2 Operator theory (47-XX) 2 Statistical mechanics, structure of matter (82-XX) 1 General and overarching topics; collections (00-XX) 1 Potential theory (31-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Integral transforms, operational calculus (44-XX) 1 Global analysis, analysis on manifolds (58-XX) 1 Computer science (68-XX) 1 Fluid mechanics (76-XX) 1 Quantum theory (81-XX)

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