×
Author ID: karatzas.ioannis Recent zbMATH articles by "Karatzas, Ioannis"
Published as: Karatzas, Ioannis; Karatzas, I.; Karatzsas, Ioannis; Karatzas, Ioanis
Homepage: http://www.math.columbia.edu/~ik/
External Links: MGP · Wikidata · GND · IdRef
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

Publications by Year

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.
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.
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 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. Probabilités et Statistiques
52 Applied Mathematical Finance
51 Journal of Statistical Physics
46 Journal of Economic Theory
44 Journal of Optimization Theory and Applications
44 Annals of Operations Research
39 Stochastics and Dynamics
37 Applied Mathematics and Computation
36 Journal of Functional Analysis
34 Journal of Differential Equations
34 Systems & Control Letters
33 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
33 Methodology and Computing in Applied Probability
32 Automatica
32 Mathematics of Operations Research
31 Communications in Mathematical Physics
31 Electronic Communications in Probability
30 Asia-Pacific Financial Markets
28 Queueing Systems
27 Scandinavian Actuarial Journal
27 Decisions in Economics and Finance
26 Transactions of the American Mathematical Society
26 Communications in Statistics. Theory and Methods
24 Theory of Probability and its Applications
24 Discrete and Continuous Dynamical Systems. Series B
24 Stochastic and Partial Differential Equations. Analysis and Computations
23 Journal of Mathematical Physics
23 Stochastic Models
23 Advances in Difference Equations
22 Acta Mathematicae Applicatae Sinica. English Series
20 Physica A
20 Stochastics and Stochastics Reports
19 The Annals of Statistics
19 Mathematical Problems in Engineering
18 Journal of Systems Science and Complexity
18 ASTIN Bulletin
18 Mathematical Control and Related Fields
18 Probability, Uncertainty and Quantitative Risk
17 Journal of Computational Physics
17 North American Actuarial Journal
17 Review of Derivatives Research
17 Journal of Industrial and Management Optimization
16 Journal of Statistical Planning and Inference
16 Potential Analysis
15 International Journal of Control
15 Stochastics
15 Acta Applicandae Mathematicae
14 Optimization
14 Journal of Applied Mathematics and Stochastic Analysis
14 SIAM Journal on Mathematical Analysis
14 Journal of Nonlinear Science
13 Computers & Mathematics with Applications
13 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
13 Operations Research Letters
13 Journal of Applied Mathematics and Computing
13 Science China. 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. English Series
...and 434 more Serials
all top 5

Cited in 55 Fields

3,951 Probability theory and stochastic processes (60-XX)
3,067 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
1,105 Systems theory; control (93-XX)
655 Partial differential equations (35-XX)
591 Statistics (62-XX)
535 Calculus of variations and optimal control; optimization (49-XX)
491 Numerical analysis (65-XX)
342 Operations research, mathematical programming (90-XX)
230 Ordinary differential equations (34-XX)
205 Statistical mechanics, structure of matter (82-XX)
196 Biology and other natural sciences (92-XX)
113 Dynamical systems and ergodic theory (37-XX)
98 Fluid mechanics (76-XX)
72 Operator theory (47-XX)
61 Computer science (68-XX)
57 Quantum theory (81-XX)
53 Functional analysis (46-XX)
49 Measure and integration (28-XX)
49 Global analysis, analysis on manifolds (58-XX)
41 Integral equations (45-XX)
36 Real functions (26-XX)
29 Information and communication theory, circuits (94-XX)
26 Linear and multilinear algebra; matrix theory (15-XX)
25 Combinatorics (05-XX)
25 Potential theory (31-XX)
21 Integral transforms, operational calculus (44-XX)
19 Harmonic analysis on Euclidean spaces (42-XX)
18 Approximations and expansions (41-XX)
17 Differential geometry (53-XX)
16 Mechanics of particles and systems (70-XX)
16 Mechanics of deformable solids (74-XX)
15 Geophysics (86-XX)
13 Special functions (33-XX)
13 Classical thermodynamics, heat transfer (80-XX)
11 Difference and functional equations (39-XX)
8 Number theory (11-XX)
8 Functions of a complex variable (30-XX)
7 Mathematical logic and foundations (03-XX)
7 Topological groups, Lie groups (22-XX)
7 Convex and discrete geometry (52-XX)
5 General and overarching topics; collections (00-XX)
5 History and biography (01-XX)
4 Order, lattices, ordered algebraic structures (06-XX)
4 Relativity and gravitational theory (83-XX)
4 Mathematics education (97-XX)
3 General topology (54-XX)
3 Optics, electromagnetic theory (78-XX)
2 Abstract harmonic analysis (43-XX)
1 Algebraic geometry (14-XX)
1 Associative rings and algebras (16-XX)
1 Nonassociative rings and algebras (17-XX)
1 Group theory and generalizations (20-XX)
1 Several complex variables and analytic spaces (32-XX)
1 Sequences, series, summability (40-XX)
1 Algebraic topology (55-XX)

Citations by Year

The data are displayed as stored in Wikidata under a Creative Commons CC0 License. Updates and corrections should be made in Wikidata.