Edit Profile (opens in new tab) Karatzas, Ioannis Co-Author Distance Author ID: karatzas.ioannis Published as: Karatzas, Ioannis; Karatzas, I.; Karatzsas, Ioannis; Karatzas, Ioanis more...less Homepage: http://www.math.columbia.edu/~ik/ External Links: MGP · Wikidata · GND · IdRef Documents Indexed: 151 Publications since 1980, including 5 Books and 4 Additional arXiv Preprints 3 Contributions as Editor Co-Authors: 65 Co-Authors with 137 Joint Publications 1,748 Co-Co-Authors all top 5 Co-Authors 17 single-authored 15 Shreve, Steven E. 12 Beneš, Václav Edvard 12 Sudderth, William D. 10 Fernholz, Erhard Robert 10 Ichiba, Tomoyuki 9 Cvitanić, Jakša 9 El Karoui, Nicole 9 Ocone, Daniel L. 8 Lehoczky, John P. 8 Shubik, Martin 5 Schachermayer, Walter 5 Wang, Hui 4 Kardaras, Constantinos 4 Ruf, Johannes 4 Shkolnikov, Mykhaylo 3 Bayraktar, Erhan 3 Dayanik, Savas 3 Fernholz, Daniel 3 Geanakoplos, John D. 3 Prokaj, Vilmos 3 Tschiderer, Bertram 3 Zamfirescu, Ingrid-Mona 2 Banner, Adrian D. 2 Ekström, Erik 2 Kim, Donghan 2 Kou, Shing-Gang 2 Li, Qinghua 2 Sethi, Suresh P. 2 Xu, Ganlin 2 Yan, Minghan 1 Abbas-Turki, Lokman A. 1 Baldursson, Fridrik Már 1 Cadenillas, Abel 1 Cox, R. Mitchell 1 Davis, Mark Herbert Ainsworth 1 Detemple, Jerome B. 1 Engelbert, Hans-Jürgen 1 Englezos, Nikolaos 1 Franceschi, Sandro 1 Frangos, Nikos E. 1 Gaitsgori, Georgy 1 Hou, Chunli 1 Lakner, Peter 1 Li, Jinlu 1 Maas, Jan 1 Pal, Soumik 1 Papathanakos, Vassilios 1 Pikovsky, Igor 1 Rajput, Balram S. 1 Raschel, Kilian 1 Rishel, Raymond W. 1 Röckner, Michael 1 Rudloff, Birgit 1 Sarantsev, Andrey 1 Shiryaev, Al’bert Nikolaevich 1 Soner, Halil Mete 1 Taqqu, Murad S. 1 Vaicenavicius, Juozas 1 Vervuurt, Alexander 1 Xue, Xingxiong 1 Yannacopoulos, Athanasios N. 1 Yao, Song 1 Zervos, Mihail 1 Zhao, Xiaoliang 1 Žitković, Gordan all top 5 Serials 14 The Annals of Applied Probability 10 SIAM Journal on Control and Optimization 7 The Annals of Probability 7 Stochastic Processes and their Applications 7 Finance and Stochastics 6 Applied Mathematics and Optimization 5 Stochastics and Stochastics Reports 4 Stochastics 4 Bernoulli 4 Mathematical Finance 4 Annals of Finance 3 Advances in Applied Probability 3 Journal of Mathematical Economics 3 Probability Theory and Related Fields 3 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 2 Theory of Probability and its Applications 2 Illinois Journal of Mathematics 2 Journal of Applied Probability 2 Journal of Optimization Theory and Applications 2 Mathematics of Operations Research 2 Proceedings of the National Academy of Sciences of the United States of America 2 Economic Theory 2 Electronic Communications in Probability 2 Stochastics 2 Graduate Texts in Mathematics 1 Journal of Economic Theory 1 Advances in Applied Mathematics 1 Systems & Control Letters 1 Statistics & Probability Letters 1 Stochastic Analysis and Applications 1 Acta Applicandae Mathematicae 1 Statistics & Decisions 1 Journal of Economics 1 SIAM Journal on Mathematical Analysis 1 Computational and Applied Mathematics 1 The Asian Journal of Mathematics 1 Communications in Information and Systems 1 CRM Monograph Series 1 Graduate Studies in Mathematics 1 Lecture Notes in Control and Information Sciences 1 Stochastics Monographs 1 Applications of Mathematics 1 Trends in Mathematics 1 Probability, Uncertainty and Quantitative Risk all top 5 Fields 115 Probability theory and stochastic processes (60-XX) 70 Systems theory; control (93-XX) 69 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 26 Calculus of variations and optimal control; optimization (49-XX) 15 Statistics (62-XX) 10 Operations research, mathematical programming (90-XX) 7 Partial differential equations (35-XX) 3 General and overarching topics; collections (00-XX) 3 Information and communication theory, circuits (94-XX) 1 History and biography (01-XX) 1 Real functions (26-XX) 1 Special functions (33-XX) 1 Ordinary differential equations (34-XX) 1 Integral equations (45-XX) 1 Operator theory (47-XX) 1 Algebraic topology (55-XX) 1 Mechanics of particles and systems (70-XX) 1 Statistical mechanics, structure of matter (82-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 134 Publications have been cited 8,615 times in 6,045 Documents Cited by ▼ Year ▼ Brownian motion and stochastic calculus. 2nd ed. Zbl 0734.60060 Karatzas, Ioannis; Shreve, Steven E. 2,680 1991 Brownian motion and stochastic calculus. Zbl 0638.60065 Karatzas, Ioannis; Shreve, Steven E. 851 1988 Methods of mathematical finance. Zbl 0941.91032 Karatzas, Ioannis; Shreve, Steven E. 772 1998 Optimal portfolio and consumption decisions for a “small investor” on a finite horizon. Zbl 0644.93066 Karatzas, Ioannis; Lehoczky, John P.; Shreve, Steven E. 321 1987 Martingale and duality methods for utility maximization in an incomplete market. Zbl 0733.93085 Karatzas, Ioannis; Lehoczky, John P.; Shreve, Steven E.; Xu, Gan-Lin 255 1991 Convex duality in constrained portfolio optimization. Zbl 0770.90002 Cvitanić, Jakša; Karatzas, Ioannis 196 1992 Backward stochastic differential equations with reflection and Dynkin games. Zbl 0876.60031 Cvitanić, Jakša; Karatzas, Ioannis 170 1996 The numéraire portfolio in semimartingale financial models. Zbl 1144.91019 Karatzas, Ioannis; Kardaras, Constantinos 159 2007 On the pricing of American options. Zbl 0699.90010 Karatzas, Ioannis 132 1988 On the optimal stopping problem for one-dimensional diffusions. Zbl 1075.60524 Dayanik, Savas; Karatzas, Ioannis 123 2003 Hedging and portfolio optimization under transaction costs: A martingale approach. Zbl 0919.90007 Cvitanić, Jakša; Karatzas, Ioannis 114 1996 Optimization problems in the theory of continuous trading. Zbl 0701.90008 Karatzas, Ioannis 101 1989 Explicit solution of a consumption/investment problem. Zbl 0622.90018 Karatzas, I.; Lehoczky, J.; Sethi, S.; Shreve, S. 97 1986 Utility maximization with discretionary stopping. Zbl 0963.93079 Karatzas, Ioannis; Wang, Hui 90 2000 Anticipative portfolio optimization. Zbl 0867.90013 Pikovsky, Igor; Karatzas, Ioannis 88 1996 Connections between optimal stopping and singular stochastic control. I: Monotone follower problems. Zbl 0551.93078 Karatzas, Ioannis; Shreve, Steven E. 87 1984 A generalized Clark representation formula, with application to optimal portfolios. Zbl 0727.60070 Ocone, Daniel L.; Karatzas, Ioannis 86 1991 Hedging contingent claims with constrained portfolios. Zbl 0825.93958 Cvitanić, Jakša; Karatzas, Ioannis 83 1993 Optimal consumption from investment and random endowment in incomplete semimartingale markets. Zbl 1076.91017 Karatzas, Ioannis; Žitković, Gordan 81 2003 Stochastic portfolio theory: an overview. Zbl 1180.91267 Karatzas, Ioannis; Fernholz, Robert 81 2009 A class of singular stochastic control problems. Zbl 0511.93076 Karatzas, Ioannis 76 1983 Atlas models of equity markets. Zbl 1099.91056 Banner, Adrian D.; Fernholz, Robert; Karatzas, Ioannis 75 2005 On the pricing of contingent claims under constraints. Zbl 0856.90012 Karatzas, I.; Kou, S. G. 68 1996 Hybrid Atlas models. Zbl 1230.60046 Ichiba, Tomoyuki; Papathanakos, Vassilios; Banner, Adrian; Karatzas, Ioannis; Fernholz, Robert 59 2011 On dynamic measure of risk. Zbl 0982.91030 Cvitanić, Jakša; Karatzas, Ioannis 53 1999 On portfolio optimization under “drawdown” constraints. Zbl 0841.90013 Cvitanić, Jakša; Karatzas, Ioannis 47 1995 Relative arbitrage in volatility-stabilized markets. Zbl 1233.91244 Fernholz, Robert; Karatzas, Ioannis 46 2005 Hedging American contingent claims with constrained portfolios. Zbl 0904.90012 Karatzas, Ioannis; Kou, S. G. 45 1998 Connections between optimal stopping and singular stochastic control. II: Reflected follower problems. Zbl 0573.93078 Karatzas, Ioannis; Shreve, Steven E. 44 1985 Diversity and relative arbitrage in equity markets. Zbl 1064.60132 Fernholz, Robert; Karatzas, Ioannis; Kardaras, Constantinos 43 2005 Bayesian adaptive portfolio optimization. Zbl 1012.91022 Karatzas, Ioannis; Zhao, Xiaoliang 43 2001 Existence and uniqueness of multi-agent equilibrium in a stochastic, dynamic consumption/investment model. Zbl 0707.90018 Karatzas, Ioannis; Lehoczky, John P.; Shreve, Steven E. 43 1990 The stochastic maximum principle for linear convex optimal control with random coefficients. Zbl 0826.93069 Cadenillas, Abel; Karatzas, Ioannis 42 1995 Irreversible investment and industry equilibrium. Zbl 0883.90009 Baldursson, Fridrik M.; Karatzas, Ioannis 37 1997 Utility maximization with habit formation: dynamic programming and stochastic PDEs. Zbl 1195.93145 Englezos, Nikolaos; Karatzas, Ioannis 35 2009 Martingale approach to stochastic differential games of control and stopping. Zbl 1142.93040 Karatzas, Ioannis; Zamfirescu, Ingrid-Mona 34 2008 Strong solutions of stochastic equations with rank-based coefficients. Zbl 1302.60092 Ichiba, Tomoyuki; Karatzas, Ioannis; Shkolnikov, Mykhaylo 34 2013 Adaptive Poisson disorder problem. Zbl 1104.62093 Bayraktar, Erhan; Dayanik, Savas; Karatzas, Ioannis 33 2006 Backward stochastic differential equations with constraints on the gains-process. Zbl 0935.60039 Cvitanić, Jakša; Karatzas, Ioannis; Soner, H. Mete 32 1998 An extension of Clark’s formula. Zbl 0745.60056 Karatzas, Ioannis; Ocone, Daniel L.; Li, Jinlu 31 1991 On optimal arbitrage. Zbl 1206.60055 Fernholz, Daniel; Karatzas, Ioannis 31 2010 Optimal stopping for dynamic convex risk measures. Zbl 1259.60042 Bayraktar, Erhan; Karatzas, Ioannis; Yao, Song 31 2010 A deterministic approach to optimal stopping. Zbl 0855.60041 Davis, M. H. A.; Karatzas, I. 30 1994 The standard Poisson disorder problem revisited. Zbl 1070.62062 Bayraktar, Erhan; Dayanik, Savas; Karatzas, Ioannis 29 2005 Lectures on the mathematics of finance. Zbl 0878.90010 Karatzas, Ioannis 29 1996 A new approach to the Skorohod problem, and its applications. Zbl 0735.60046 El Karoui, Nicole; Karatzas, Ioannis 29 1991 On collisions of Brownian particles. Zbl 1235.60111 Ichiba, Tomoyuki; Karatzas, Ioannis 29 2010 Gittins indices in the dynamic allocation problem for diffusion processes. Zbl 0536.60058 Karatzas, Ioannis 28 1984 Equivalent models for finite-fuel stochastic control. Zbl 0635.93076 Karatzas, Ioannis; Shreve, Steven E. 26 1986 The monotone follower problem in stochastic decision theory. Zbl 0438.93078 Karatzas, Ioannis 25 1981 The controller-and-stopper game for a linear diffusion. Zbl 1039.60043 Karatzas, Ioannis; Sudderth, William D. 24 2001 Finite-fuel singular control with discretionary stopping. Zbl 0979.93121 Karatzas, Ioannis; Ocone, Daniel; Wang, Hui; Zervos, Mihail 24 2000 Generalized Neyman-Pearson lemma via convex duality. Zbl 1054.62056 Cvitanić, Jakša; Karatzas, Ioannis 24 2001 A note on utility maximization under partial observations. Zbl 0900.90051 Karatzas, Ioannis; Xue, Xing-Xiong 24 1991 Trivariate density of Brownian motion, its local and occupation times, with application to stochastic control. Zbl 0544.60069 Karatzas, Ioannis; Shreve, Steven E. 24 1984 Probabilistic aspects of finite-fuel stochastic control. Zbl 0572.93078 Karatzas, Ioannis 24 1985 Construction of stationary Markov equilibria in a strategic market game. Zbl 0822.90145 Karatzas, Ioannis; Shubik, Martin; Sudderth, William D. 23 1994 A barrier option of American type. Zbl 1098.91054 Karatzas, I.; Wang, H. 23 2000 Systems of Brownian particles with asymmetric collisions. Zbl 1333.60206 Karatzas, Ioannis; Pal, Soumik; Shkolnikov, Mykhaylo 22 2016 Trading strategies generated by Lyapunov functions. Zbl 1414.91343 Karatzas, Ioannis; Ruf, Johannes 22 2017 Probabilistic aspects of finite-fuel, reflected follower problems. Zbl 0654.93078 Karoui, Nicole El; Karatzas, Ioannis 22 1988 Dynamic allocation problems in continuous time. Zbl 0831.93069 El Karoui, Nicole; Karatzas, Ioannis 21 1994 Planar diffusions with rank-based characteristics and perturbed Tanaka equations. Zbl 1274.60247 Fernholz, E. Robert; Ichiba, Tomoyuki; Karatzas, Ioannis; Prokaj, Vilmos 21 2013 Optimal arbitrage under model uncertainty. Zbl 1239.60057 Fernholz, Daniel; Karatzas, Ioannis 21 2011 Non-addictive habits: optimal consumption-portfolio policies. Zbl 1157.91395 Detemple, Jérôme B.; Karatzas, Ioannis 20 2003 Martingale approach to stochastic control with discretionary stopping. Zbl 1136.93047 Karatzas, Ioannis; Zamfirescu, Ingrid-Mona 19 2006 A decomposition of the Brownian path. Zbl 0615.60075 Karatzas, Ioannis; Shreve, Steven E. 19 1987 Control and stopping of a diffusion process on an interval. Zbl 0938.93067 Karatzas, Ioannis; Sudderth, William D. 17 1999 Connections between bounded-variation control and Dynkin games. Zbl 1054.91512 Karatzas, Ioannis; Wang, Hui 16 2001 A second-order stock market model. Zbl 1298.91136 Fernholz, Robert; Ichiba, Tomoyuki; Karatzas, Ioannis 16 2013 Adaptive control of a diffusion to a goal and a parabolic Monge-Ampère-type equation. Zbl 0906.93064 Karatzas, Ioannis 15 1997 Distribution of the time to explosion for one-dimensional diffusions. Zbl 1350.60077 Karatzas, Ioannis; Ruf, Johannes 15 2016 Estimation and control for linear, partially observable systems with non- Gaussian initial distribution. Zbl 0501.93063 Benes, Vaclav E.; Karatzas, Ioannis 14 1983 Two Brownian particles with rank-based characteristics and skew-elastic collisions. Zbl 1296.60148 Fernholz, E. Robert; Ichiba, Tomoyuki; Karatzas, Ioannis 14 2013 BSDE approach to non-zero-sum stochastic differential games of control and stopping. Zbl 1310.91026 Karatzas, Ioannis; Li, Qinghua 14 2012 A leavable bounded-velocity stochastic control problem. Zbl 1064.93049 Karatzas, Ioannis; Ocone, Daniel 13 2002 Portfolio theory and arbitrage. A course in mathematical finance. Zbl 1520.91001 Karatzas, Ioannis; Kardaras, Constantinos 12 2021 Equilibrium models with singular asset prices. Zbl 0900.90111 Karatzas, Ioannis; Lehoczky, John P.; Shreve, Steven E. 12 1991 On the relation of Zakai’s and Mortensen’s equations. Zbl 0518.93062 Benes, Vaclav E.; Karatzas, Ioannis 12 1983 On a stochastic representation for the principal eigenvalue of a second- order differential equation. Zbl 0434.60065 Karatzas, Ioannis 11 1980 A strategic market game with secured lending. Zbl 0887.90014 Karatzas, Ioannis; Shubik, Martin; Sudderth, William D. 11 1997 Stochastic games of control stopping for a linear diffusion. Zbl 1153.91347 Karatzas, Ioannis; Sudderth, William 10 2006 Diverse market models of competing Brownian particles with splits and mergers. Zbl 1347.91229 Karatzas, Ioannis; Sarantsev, Andrey 10 2016 On the one-sided tanaka equation with drift. Zbl 1243.60048 Karatzas, Ioannis; Shiryaev, Albert N.; Shkolnikov, Mykhaylo 10 2011 Volatility and arbitrage. Zbl 1391.60093 Fernholz, E. Robert; Karatzas, Ioannis; Ruf, Johannes 10 2018 Stochastic integral equations for Walsh semimartingales. Zbl 1391.60090 Ichiba, Tomoyuki; Karatzas, Ioannis; Prokaj, Vilmos; Yan, Minghan 10 2018 Game approach to the optimal stopping problem. Zbl 1084.60027 Karatzas, Ioannis; Zamfirescu, Ingrid-Mona 9 2005 Optimal discounted linear control of the Wiener process. Zbl 0417.93081 Karatzas, I. 8 1980 A strategic market game with active bankruptcy. Zbl 0971.91013 Geanakoplos, J.; Karatzas, I.; Shubik, M.; Sudderth, W. 8 2000 Two characterizations of optimality in dynamic programming. Zbl 1196.49023 Karatzas, Ioannis; Sudderth, William D. 8 2010 Diversity-weighted portfolios with negative parameter. Zbl 1369.91167 Vervuurt, Alexander; Karatzas, Ioannis 8 2015 Testing composite hypotheses via convex duality. Zbl 1207.62101 Rudloff, Birgit; Karatzas, Ioannis 7 2010 General Gittins index processes in discrete time. Zbl 0783.60046 El Karoui, Nicole; Karatzas, Ioannis 6 1993 Open markets. Zbl 1522.91227 Karatzas, Ioannis; Kim, Donghan 6 2021 Equilibrium in a simplified dynamic, stochastic economy with heterogeneous agents. Zbl 0735.90024 Karatzas, Ioannis; Lakner, Peter; Lehoczky, John P.; Shreve, Steven E. 6 1991 Stationary control of Brownian motion in several dimensions. Zbl 0574.93068 Cox, R. Mitchell; Karatzas, Ioannis 6 1985 Optional decomposition for continuous semimartingales under arbitrary filtrations. Zbl 1327.60102 Karatzas, Ioannis; Kardaras, Constantinos 6 2015 Trading strategies generated pathwise by functions of market weights. Zbl 1433.91164 Karatzas, Ioannis; Kim, Donghan 6 2020 The inflationary bias of real uncertainty and the harmonic Fisher equation. Zbl 1099.91063 Karatzas, Ioannis; Shubik, Martin; Sudderth, William D.; Geanakoplos, John 5 2006 Optimal stationary linear control of the Wiener process. Zbl 0446.93056 Benes, V. E.; Karatzas, I. 5 1981 A trajectorial approach to the gradient flow properties of Langevin-Smoluchowski diffusions. Zbl 1480.60237 Karatzas, I.; Schachermayer, W.; Tschiderer, B. 3 2022 Bayesian sequential least-squares estimation for the drift of a Wiener process. Zbl 1493.62489 Ekström, Erik; Karatzas, Ioannis; Vaicenavicius, Juozas 2 2022 A sequential estimation problem with control and discretionary stopping. Zbl 1498.62161 Ekström, Erik; Karatzas, Ioannis 2 2022 Degenerate competing three-particle systems. Zbl 1489.60058 Ichiba, Tomoyuki; Karatzas, Ioannis 1 2022 Portfolio theory and arbitrage. A course in mathematical finance. Zbl 1520.91001 Karatzas, Ioannis; Kardaras, Constantinos 12 2021 Open markets. Zbl 1522.91227 Karatzas, Ioannis; Kim, Donghan 6 2021 Trajectorial dissipation and gradient flow for the relative entropy in Markov chains. Zbl 1491.60129 Karatzas, Ioannis; Maas, Jan; Schachermayer, Walter 5 2021 Trading strategies generated pathwise by functions of market weights. Zbl 1433.91164 Karatzas, Ioannis; Kim, Donghan 6 2020 Semimartingales on rays, Walsh diffusions, and related problems of control and stopping. Zbl 1478.60165 Karatzas, Ioannis; Yan, Minghan 5 2019 Volatility and arbitrage. Zbl 1391.60093 Fernholz, E. Robert; Karatzas, Ioannis; Ruf, Johannes 10 2018 Stochastic integral equations for Walsh semimartingales. Zbl 1391.60090 Ichiba, Tomoyuki; Karatzas, Ioannis; Prokaj, Vilmos; Yan, Minghan 10 2018 Trading strategies generated by Lyapunov functions. Zbl 1414.91343 Karatzas, Ioannis; Ruf, Johannes 22 2017 Systems of Brownian particles with asymmetric collisions. Zbl 1333.60206 Karatzas, Ioannis; Pal, Soumik; Shkolnikov, Mykhaylo 22 2016 Distribution of the time to explosion for one-dimensional diffusions. Zbl 1350.60077 Karatzas, Ioannis; Ruf, Johannes 15 2016 Diverse market models of competing Brownian particles with splits and mergers. Zbl 1347.91229 Karatzas, Ioannis; Sarantsev, Andrey 10 2016 Pathwise solvability of stochastic integral equations with generalized drift and non-smooth dispersion functions. Zbl 1346.45010 Karatzas, Ioannis; Ruf, Johannes 4 2016 Diversity-weighted portfolios with negative parameter. Zbl 1369.91167 Vervuurt, Alexander; Karatzas, Ioannis 8 2015 Optional decomposition for continuous semimartingales under arbitrary filtrations. Zbl 1327.60102 Karatzas, Ioannis; Kardaras, Constantinos 6 2015 Impulse control of a diffusion with a change point. Zbl 1339.60113 Abbas-Turki, Lokman A.; Karatzas, Ioannis; Li, Qinghua 2 2015 Inflationary equilibrium in a stochastic economy with independent agents. Zbl 1297.91114 Geanakoplos, John; Karatzas, Ioannis; Shubik, Martin; Sudderth, William D. 4 2014 Skew-unfolding the Skorokhod reflection of a continuous semimartingale. Zbl 1388.60087 Ichiba, Tomoyuki; Karatzas, Ioannis 2 2014 Strong solutions of stochastic equations with rank-based coefficients. Zbl 1302.60092 Ichiba, Tomoyuki; Karatzas, Ioannis; Shkolnikov, Mykhaylo 34 2013 Planar diffusions with rank-based characteristics and perturbed Tanaka equations. Zbl 1274.60247 Fernholz, E. Robert; Ichiba, Tomoyuki; Karatzas, Ioannis; Prokaj, Vilmos 21 2013 A second-order stock market model. Zbl 1298.91136 Fernholz, Robert; Ichiba, Tomoyuki; Karatzas, Ioannis 16 2013 Two Brownian particles with rank-based characteristics and skew-elastic collisions. Zbl 1296.60148 Fernholz, E. Robert; Ichiba, Tomoyuki; Karatzas, Ioannis 14 2013 Diffusions with rank-based characteristics and values in the nonnegative quadrant. Zbl 1286.60077 Ichiba, Tomoyuki; Karatzas, Ioannis; Prokaj, Vilmos 3 2013 BSDE approach to non-zero-sum stochastic differential games of control and stopping. Zbl 1310.91026 Karatzas, Ioannis; Li, Qinghua 14 2012 Hybrid Atlas models. Zbl 1230.60046 Ichiba, Tomoyuki; Papathanakos, Vassilios; Banner, Adrian; Karatzas, Ioannis; Fernholz, Robert 59 2011 Optimal arbitrage under model uncertainty. Zbl 1239.60057 Fernholz, Daniel; Karatzas, Ioannis 21 2011 On the one-sided tanaka equation with drift. Zbl 1243.60048 Karatzas, Ioannis; Shiryaev, Albert N.; Shkolnikov, Mykhaylo 10 2011 Wiener chaos solutions for linear backward stochastic evolution equations. Zbl 1235.60080 Yannacopoulos, Athanasios N.; Frangos, Nikolaos E.; Karatzas, Ioannis 3 2011 On optimal arbitrage. Zbl 1206.60055 Fernholz, Daniel; Karatzas, Ioannis 31 2010 Optimal stopping for dynamic convex risk measures. Zbl 1259.60042 Bayraktar, Erhan; Karatzas, Ioannis; Yao, Song 31 2010 On collisions of Brownian particles. Zbl 1235.60111 Ichiba, Tomoyuki; Karatzas, Ioannis 29 2010 Two characterizations of optimality in dynamic programming. Zbl 1196.49023 Karatzas, Ioannis; Sudderth, William D. 8 2010 Testing composite hypotheses via convex duality. Zbl 1207.62101 Rudloff, Birgit; Karatzas, Ioannis 7 2010 Probabilistic aspects of arbitrage. Zbl 1217.91218 Fernholz, Daniel; Karatzas, Ioannis 5 2010 Stochastic portfolio theory: an overview. Zbl 1180.91267 Karatzas, Ioannis; Fernholz, Robert 81 2009 Utility maximization with habit formation: dynamic programming and stochastic PDEs. Zbl 1195.93145 Englezos, Nikolaos; Karatzas, Ioannis 35 2009 Martingale approach to stochastic differential games of control and stopping. Zbl 1142.93040 Karatzas, Ioannis; Zamfirescu, Ingrid-Mona 34 2008 The numéraire portfolio in semimartingale financial models. Zbl 1144.91019 Karatzas, Ioannis; Kardaras, Constantinos 159 2007 Adaptive Poisson disorder problem. Zbl 1104.62093 Bayraktar, Erhan; Dayanik, Savas; Karatzas, Ioannis 33 2006 Martingale approach to stochastic control with discretionary stopping. Zbl 1136.93047 Karatzas, Ioannis; Zamfirescu, Ingrid-Mona 19 2006 Stochastic games of control stopping for a linear diffusion. Zbl 1153.91347 Karatzas, Ioannis; Sudderth, William 10 2006 The inflationary bias of real uncertainty and the harmonic Fisher equation. Zbl 1099.91063 Karatzas, Ioannis; Shubik, Martin; Sudderth, William D.; Geanakoplos, John 5 2006 Production, interest, and saving in deterministic economies with additive endowments. Zbl 1109.91043 Karatzas, I.; Shubik, M.; Sudderth, W. D. 2 2006 The implied liquidity premium for equities. Zbl 1233.91324 Fernholz, Robert; Karatzas, Ioannis 2 2006 Atlas models of equity markets. Zbl 1099.91056 Banner, Adrian D.; Fernholz, Robert; Karatzas, Ioannis 75 2005 Relative arbitrage in volatility-stabilized markets. Zbl 1233.91244 Fernholz, Robert; Karatzas, Ioannis 46 2005 Diversity and relative arbitrage in equity markets. Zbl 1064.60132 Fernholz, Robert; Karatzas, Ioannis; Kardaras, Constantinos 43 2005 The standard Poisson disorder problem revisited. Zbl 1070.62062 Bayraktar, Erhan; Dayanik, Savas; Karatzas, Ioannis 29 2005 Game approach to the optimal stopping problem. Zbl 1084.60027 Karatzas, Ioannis; Zamfirescu, Ingrid-Mona 9 2005 Control with partial observations and an explicit solution of Mortensen’s equation. Zbl 1060.93106 Beneš, Václav E.; Karatzas, Ioannis; Ocone, Daniel; Wang, Hui 5 2004 Least-squares approximation of random variables by stochastic integrals. Zbl 1057.60066 Hou, Chunli; Karatzas, Ioannis 4 2004 On the optimal stopping problem for one-dimensional diffusions. Zbl 1075.60524 Dayanik, Savas; Karatzas, Ioannis 123 2003 Optimal consumption from investment and random endowment in incomplete semimartingale markets. Zbl 1076.91017 Karatzas, Ioannis; Žitković, Gordan 81 2003 Non-addictive habits: optimal consumption-portfolio policies. Zbl 1157.91395 Detemple, Jérôme B.; Karatzas, Ioannis 20 2003 A note on Bayesian detection of change-points with an expected miss criterion. Zbl 1037.62080 Karatzas, Ioannis 5 2003 A leavable bounded-velocity stochastic control problem. Zbl 1064.93049 Karatzas, Ioannis; Ocone, Daniel 13 2002 Bayesian adaptive portfolio optimization. Zbl 1012.91022 Karatzas, Ioannis; Zhao, Xiaoliang 43 2001 The controller-and-stopper game for a linear diffusion. Zbl 1039.60043 Karatzas, Ioannis; Sudderth, William D. 24 2001 Generalized Neyman-Pearson lemma via convex duality. Zbl 1054.62056 Cvitanić, Jakša; Karatzas, Ioannis 24 2001 Connections between bounded-variation control and Dynkin games. Zbl 1054.91512 Karatzas, Ioannis; Wang, Hui 16 2001 Utility maximization with discretionary stopping. Zbl 0963.93079 Karatzas, Ioannis; Wang, Hui 90 2000 Finite-fuel singular control with discretionary stopping. Zbl 0979.93121 Karatzas, Ioannis; Ocone, Daniel; Wang, Hui; Zervos, Mihail 24 2000 A barrier option of American type. Zbl 1098.91054 Karatzas, I.; Wang, H. 23 2000 A strategic market game with active bankruptcy. Zbl 0971.91013 Geanakoplos, J.; Karatzas, I.; Shubik, M.; Sudderth, W. 8 2000 On dynamic measure of risk. Zbl 0982.91030 Cvitanić, Jakša; Karatzas, Ioannis 53 1999 Control and stopping of a diffusion process on an interval. Zbl 0938.93067 Karatzas, Ioannis; Sudderth, William D. 17 1999 Methods of mathematical finance. Zbl 0941.91032 Karatzas, Ioannis; Shreve, Steven E. 772 1998 Hedging American contingent claims with constrained portfolios. Zbl 0904.90012 Karatzas, Ioannis; Kou, S. G. 45 1998 Backward stochastic differential equations with constraints on the gains-process. Zbl 0935.60039 Cvitanić, Jakša; Karatzas, Ioannis; Soner, H. Mete 32 1998 Irreversible investment and industry equilibrium. Zbl 0883.90009 Baldursson, Fridrik M.; Karatzas, Ioannis 37 1997 Adaptive control of a diffusion to a goal and a parabolic Monge-Ampère-type equation. Zbl 0906.93064 Karatzas, Ioannis 15 1997 A strategic market game with secured lending. Zbl 0887.90014 Karatzas, Ioannis; Shubik, Martin; Sudderth, William D. 11 1997 Synchronization and optimality for multi-armed bandit problems in continuous time. Zbl 0893.90171 El Karoui, Nicole; Karatzas, Ioannis 4 1997 Backward stochastic differential equations with reflection and Dynkin games. Zbl 0876.60031 Cvitanić, Jakša; Karatzas, Ioannis 170 1996 Hedging and portfolio optimization under transaction costs: A martingale approach. Zbl 0919.90007 Cvitanić, Jakša; Karatzas, Ioannis 114 1996 Anticipative portfolio optimization. Zbl 0867.90013 Pikovsky, Igor; Karatzas, Ioannis 88 1996 On the pricing of contingent claims under constraints. Zbl 0856.90012 Karatzas, I.; Kou, S. G. 68 1996 Lectures on the mathematics of finance. Zbl 0878.90010 Karatzas, Ioannis 29 1996 On portfolio optimization under “drawdown” constraints. Zbl 0841.90013 Cvitanić, Jakša; Karatzas, Ioannis 47 1995 The stochastic maximum principle for linear convex optimal control with random coefficients. Zbl 0826.93069 Cadenillas, Abel; Karatzas, Ioannis 42 1995 The optimal stopping problem for a general American put-option. Zbl 0841.90051 El Karoui, Nicole; Karatzas, Ioannis 4 1995 Contingent claim valuation and hedging with constrained portfolios. Zbl 0844.90009 Cvitanić, Jakša; Karatzas, Ioannis 2 1995 A deterministic approach to optimal stopping. Zbl 0855.60041 Davis, M. H. A.; Karatzas, I. 30 1994 Construction of stationary Markov equilibria in a strategic market game. Zbl 0822.90145 Karatzas, Ioannis; Shubik, Martin; Sudderth, William D. 23 1994 Dynamic allocation problems in continuous time. Zbl 0831.93069 El Karoui, Nicole; Karatzas, Ioannis 21 1994 Hedging contingent claims with constrained portfolios. Zbl 0825.93958 Cvitanić, Jakša; Karatzas, Ioannis 83 1993 General Gittins index processes in discrete time. Zbl 0783.60046 El Karoui, Nicole; Karatzas, Ioannis 6 1993 The finite-horizon version for a partially-observed stochastic control problem of Beneš and Rishel. Zbl 0806.93059 Karatzas, Ioannis; Ocone, Daniel L. 3 1993 Convex duality in constrained portfolio optimization. Zbl 0770.90002 Cvitanić, Jakša; Karatzas, Ioannis 196 1992 The resolvent of a degenerate diffusion on the plane, with application to partially observed stochastic control. Zbl 0759.60067 Karatzas, Ioannis; Ocone, Daniel L. 3 1992 Brownian motion and stochastic calculus. 2nd ed. Zbl 0734.60060 Karatzas, Ioannis; Shreve, Steven E. 2,680 1991 Martingale and duality methods for utility maximization in an incomplete market. Zbl 0733.93085 Karatzas, Ioannis; Lehoczky, John P.; Shreve, Steven E.; Xu, Gan-Lin 255 1991 A generalized Clark representation formula, with application to optimal portfolios. Zbl 0727.60070 Ocone, Daniel L.; Karatzas, Ioannis 86 1991 An extension of Clark’s formula. Zbl 0745.60056 Karatzas, Ioannis; Ocone, Daniel L.; Li, Jinlu 31 1991 A new approach to the Skorohod problem, and its applications. Zbl 0735.60046 El Karoui, Nicole; Karatzas, Ioannis 29 1991 A note on utility maximization under partial observations. Zbl 0900.90051 Karatzas, Ioannis; Xue, Xing-Xiong 24 1991 Equilibrium models with singular asset prices. Zbl 0900.90111 Karatzas, Ioannis; Lehoczky, John P.; Shreve, Steven E. 12 1991 ...and 34 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 6,002 Authors 67 Bayraktar, Erhan 65 Karatzas, Ioannis 36 Platen, Eckhard 33 Ferrari, Giorgio 32 Touzi, Nizar 31 Ekström, Erik 30 Ouknine, Youssef 30 Siu, Tak Kuen 29 Shin, Yong Hyun 29 Young, Virginia R. 26 De Angelis, Tiziano 26 Kardaras, Constantinos 26 Schachermayer, Walter 23 Liang, Zongxia 23 Russo, Francesco 22 Zheng, Harry H. 21 Guasoni, Paolo 21 Hamadene, Saïd 21 Jeon, Junkee 21 Muhle-Karbe, Johannes 21 Shkolnikov, Mykhaylo 21 Wu, Zhen 19 Ankirchner, Stefan 19 Budhiraja, Amarjit S. 19 Elliott, Robert James 19 Hobson, David Graham 19 Rásonyi, Miklós 19 Sarantsev, Andrey 19 Soner, Halil Mete 18 Criens, David 18 Detemple, Jerome B. 18 Ruf, Johannes 18 Yong, Jiongmin 18 Žitković, Gordan 17 Burdzy, Krzysztof 17 Djehiche, Boualem 17 El Karoui, Nicole 17 Jeanblanc, Monique 16 Bouchard, Bruno 16 Imkeller, Peter 16 Kohatsu-Higa, Arturo 16 Ma, Jin 16 Nutz, Marcel 16 Pal, Soumik 16 Pap, Gyula 16 Quenez, Marie-Claire 16 Zhang, Jianfeng 15 Biagini, Francesca 15 Dokuchaev, Nikolai G. 15 Fukasawa, Masaaki 15 Gapeev, Pavel V. 15 Korn, Ralf 15 Larsson, Martin 15 Pham, Huyên 15 Rutkowski, Marek 15 Taksar, Michael I. 15 Zhou, Xunyu 15 Zhu, Chao 14 Barczy, Mátyás 14 Bo, Lijun 14 Cvitanić, Jakša 14 El Otmani, Mohamed 14 Fontana, Claudio 14 Gozzi, Fausto 14 Henderson, Vicky 14 Koo, Hyeng Keun 14 Li, Xun 14 Mostovyi, Oleksii 14 Park, Kyunghyun 14 Schweizer, Martin 14 Urusov, Mikhail A. 13 Banerjee, Sayan 13 Bielecki, Tomasz R. 13 Cui, Zhenyu 13 Federico, Salvatore 13 Fei, Weiyin 13 Hu, Ying 13 Huang, Yu-Jui 13 Jarrow, Robert Alan 13 Jourdain, Benjamin 13 Lanconelli, Alberto 13 Liang, Zhibin 13 Peskir, Goran 13 Possamaï, Dylan 13 Ramanan, Kavita 13 Riedel, Frank 13 Wong, Hoi Ying 13 Yu, Xiang 13 Zagst, Rudi 13 Zervos, Mihail 12 Christensen, Sören 12 Dolinsky, Yan 12 Fernholz, Erhard Robert 12 Grandits, Peter 12 Ichiba, Tomoyuki 12 Jacquier, Antoine 12 Ji, Shaolin 12 Kallsen, Jan 12 Klimsiak, Tomasz 12 Kruse, Thomas ...and 5,902 more Authors all top 5 Cited in 534 Serials 367 Stochastic Processes and their Applications 246 The Annals of Applied Probability 224 Mathematical Finance 176 Finance and Stochastics 156 Insurance Mathematics & Economics 129 Journal of Economic Dynamics & Control 109 SIAM Journal on Control and Optimization 107 Journal of Mathematical Analysis and Applications 105 The Annals of Probability 104 International Journal of Theoretical and Applied Finance 99 Stochastic Analysis and Applications 98 Applied Mathematics and Optimization 91 Quantitative Finance 90 Stochastics 90 Mathematics and Financial Economics 89 SIAM Journal on Financial Mathematics 85 Statistics & Probability Letters 80 Probability Theory and Related Fields 78 Journal of Applied Probability 74 European Journal of Operational Research 73 Electronic Journal of Probability 65 Journal of Computational and Applied Mathematics 60 Journal of Mathematical Economics 59 Advances in Applied Probability 58 Journal of Theoretical Probability 58 Bernoulli 57 Mathematical Methods of Operations Research 55 Journal of Econometrics 53 Annals of Finance 52 Annales de l’Institut Henri Poincaré. 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Mathematics 13 International Journal of Stochastic Analysis 12 Chaos, Solitons and Fractals 12 Japan Journal of Industrial and Applied Mathematics 12 Applied Mathematics. Series B (English Edition) 12 NoDEA. Nonlinear Differential Equations and Applications 12 Discrete and Continuous Dynamical Systems 12 Abstract and Applied Analysis 12 Statistical Inference for Stochastic Processes 12 European Series in Applied and Industrial Mathematics (ESAIM): Mathematical Modelling and Numerical Analysis 12 ALEA. Latin American Journal of Probability and Mathematical Statistics 11 Proceedings of the American Mathematical Society 11 Physica D 11 Random Operators and Stochastic Equations 11 Bulletin des Sciences Mathématiques 11 Acta Mathematica Sinica. 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