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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
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

133 Publications have been cited 8,125 times in 5,713 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.
822
1988
Methods of mathematical finance. Zbl 0941.91032
Karatzas, Ioannis; Shreve, Steven E.
720
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.
305
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
240
1991
Convex duality in constrained portfolio optimization. Zbl 0770.90002
Cvitanić, Jakša; Karatzas, Ioannis
187
1992
Backward stochastic differential equations with reflection and Dynkin games. Zbl 0876.60031
Cvitanić, Jakša; Karatzas, Ioannis
157
1996
The numéraire portfolio in semimartingale financial models. Zbl 1144.91019
Karatzas, Ioannis; Kardaras, Constantinos
151
2007
On the pricing of American options. Zbl 0699.90010
Karatzas, Ioannis
131
1988
On the optimal stopping problem for one-dimensional diffusions. Zbl 1075.60524
Dayanik, Savas; Karatzas, Ioannis
118
2003
Hedging and portfolio optimization under transaction costs: A martingale approach. Zbl 0919.90007
Cvitanić, Jakša; Karatzas, Ioannis
111
1996
Optimization problems in the theory of continuous trading. Zbl 0701.90008
Karatzas, Ioannis
98
1989
Explicit solution of a consumption/investment problem. Zbl 0622.90018
Karatzas, I.; Lehoczky, J.; Sethi, S.; Shreve, S.
96
1986
Utility maximization with discretionary stopping. Zbl 0963.93079
Karatzas, Ioannis; Wang, Hui
86
2000
Connections between optimal stopping and singular stochastic control. I: Monotone follower problems. Zbl 0551.93078
Karatzas, Ioannis; Shreve, Steven E.
85
1984
A generalized Clark representation formula, with application to optimal portfolios. Zbl 0727.60070
Ocone, Daniel L.; Karatzas, Ioannis
83
1991
Anticipative portfolio optimization. Zbl 0867.90013
Pikovsky, Igor; Karatzas, Ioannis
82
1996
Hedging contingent claims with constrained portfolios. Zbl 0825.93958
Cvitanić, Jakša; Karatzas, Ioannis
81
1993
Optimal consumption from investment and random endowment in incomplete semimartingale markets. Zbl 1076.91017
Karatzas, Ioannis; Žitković, Gordan
77
2003
Stochastic portfolio theory: an overview. Zbl 1180.91267
Karatzas, Ioannis; Fernholz, Robert
75
2009
A class of singular stochastic control problems. Zbl 0511.93076
Karatzas, Ioannis
73
1983
Atlas models of equity markets. Zbl 1099.91056
Banner, Adrian D.; Fernholz, Robert; Karatzas, Ioannis
69
2005
On the pricing of contingent claims under constraints. Zbl 0856.90012
Karatzas, I.; Kou, S. G.
67
1996
Hybrid Atlas models. Zbl 1230.60046
Ichiba, Tomoyuki; Papathanakos, Vassilios; Banner, Adrian; Karatzas, Ioannis; Fernholz, Robert
55
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
45
1995
Relative arbitrage in volatility-stabilized markets. Zbl 1233.91244
Fernholz, Robert; Karatzas, Ioannis
44
2005
Hedging American contingent claims with constrained portfolios. Zbl 0904.90012
Karatzas, Ioannis; Kou, S. G.
43
1998
Connections between optimal stopping and singular stochastic control. II: Reflected follower problems. Zbl 0573.93078
Karatzas, Ioannis; Shreve, Steven E.
42
1985
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.
42
1990
The stochastic maximum principle for linear convex optimal control with random coefficients. Zbl 0826.93069
Cadenillas, Abel; Karatzas, Ioannis
42
1995
Diversity and relative arbitrage in equity markets. Zbl 1064.60132
Fernholz, Robert; Karatzas, Ioannis; Kardaras, Constantinos
40
2005
Bayesian adaptive portfolio optimization. Zbl 1012.91022
Karatzas, Ioannis; Zhao, Xiaoliang
39
2001
Irreversible investment and industry equilibrium. Zbl 0883.90009
Baldursson, Fridrik M.; Karatzas, Ioannis
36
1997
On optimal arbitrage. Zbl 1206.60055
Fernholz, Daniel; Karatzas, Ioannis
33
2010
Adaptive Poisson disorder problem. Zbl 1104.62093
Bayraktar, Erhan; Dayanik, Savas; Karatzas, Ioannis
32
2006
Utility maximization with habit formation: dynamic programming and stochastic PDEs. Zbl 1195.93145
Englezos, Nikolaos; Karatzas, Ioannis
32
2009
Backward stochastic differential equations with constraints on the gains-process. Zbl 0935.60039
Cvitanić, Jakša; Karatzas, Ioannis; Soner, H. Mete
31
1998
Martingale approach to stochastic differential games of control and stopping. Zbl 1142.93040
Karatzas, Ioannis; Zamfirescu, Ingrid-Mona
31
2008
An extension of Clark’s formula. Zbl 0745.60056
Karatzas, Ioannis; Ocone, Daniel L.; Li, Jinlu
30
1991
Optimal stopping for dynamic convex risk measures. Zbl 1259.60042
Bayraktar, Erhan; Karatzas, Ioannis; Yao, Song
30
2010
Strong solutions of stochastic equations with rank-based coefficients. Zbl 1302.60092
Ichiba, Tomoyuki; Karatzas, Ioannis; Shkolnikov, Mykhaylo
29
2013
Lectures on the mathematics of finance. Zbl 0878.90010
Karatzas, Ioannis
29
1996
A deterministic approach to optimal stopping. Zbl 0855.60041
Davis, M. H. A.; Karatzas, I.
29
1994
A new approach to the Skorohod problem, and its applications. Zbl 0735.60046
El Karoui, Nicole; Karatzas, Ioannis
28
1991
Equivalent models for finite-fuel stochastic control. Zbl 0635.93076
Karatzas, Ioannis; Shreve, Steven E.
26
1986
The standard Poisson disorder problem revisited. Zbl 1070.62062
Bayraktar, Erhan; Dayanik, Savas; Karatzas, Ioannis
26
2005
Gittins indices in the dynamic allocation problem for diffusion processes. Zbl 0536.60058
Karatzas, Ioannis
26
1984
On collisions of Brownian particles. Zbl 1235.60111
Ichiba, Tomoyuki; Karatzas, Ioannis
26
2010
Probabilistic aspects of finite-fuel stochastic control. Zbl 0572.93078
Karatzas, Ioannis
24
1985
Finite-fuel singular control with discretionary stopping. Zbl 0979.93121
Karatzas, Ioannis; Ocone, Daniel; Wang, Hui; Zervos, Mihail
24
2000
The monotone follower problem in stochastic decision theory. Zbl 0438.93078
Karatzas, Ioannis
23
1981
Generalized Neyman-Pearson lemma via convex duality. Zbl 1054.62056
Cvitanić, Jakša; Karatzas, Ioannis
23
2001
Construction of stationary Markov equilibria in a strategic market game. Zbl 0822.90145
Karatzas, Ioannis; Shubik, Martin; Sudderth, William D.
23
1994
Trivariate density of Brownian motion, its local and occupation times, with application to stochastic control. Zbl 0544.60069
Karatzas, Ioannis; Shreve, Steven E.
23
1984
The controller-and-stopper game for a linear diffusion. Zbl 1039.60043
Karatzas, Ioannis; Sudderth, William D.
22
2001
Optimal arbitrage under model uncertainty. Zbl 1239.60057
Fernholz, Daniel; Karatzas, Ioannis
22
2011
A barrier option of American type. Zbl 1098.91054
Karatzas, I.; Wang, H.
22
2000
Dynamic allocation problems in continuous time. Zbl 0831.93069
El Karoui, Nicole; Karatzas, Ioannis
21
1994
A note on utility maximization under partial observations. Zbl 0900.90051
Karatzas, Ioannis; Xue, Xing-Xiong
21
1991
Probabilistic aspects of finite-fuel, reflected follower problems. Zbl 0654.93078
Karoui, Nicole El; Karatzas, Ioannis
21
1988
Planar diffusions with rank-based characteristics and perturbed Tanaka equations. Zbl 1274.60247
Fernholz, E. Robert; Ichiba, Tomoyuki; Karatzas, Ioannis; Prokaj, Vilmos
20
2013
A decomposition of the Brownian path. Zbl 0615.60075
Karatzas, Ioannis; Shreve, Steven E.
19
1987
Systems of Brownian particles with asymmetric collisions. Zbl 1333.60206
Karatzas, Ioannis; Pal, Soumik; Shkolnikov, Mykhaylo
19
2016
Trading strategies generated by Lyapunov functions. Zbl 1414.91343
Karatzas, Ioannis; Ruf, Johannes
19
2017
Martingale approach to stochastic control with discretionary stopping. Zbl 1136.93047
Karatzas, Ioannis; Zamfirescu, Ingrid-Mona
17
2006
Control and stopping of a diffusion process on an interval. Zbl 0938.93067
Karatzas, Ioannis; Sudderth, William D.
17
1999
Non-addictive habits: optimal consumption-portfolio policies. Zbl 1157.91395
Detemple, Jérôme B.; Karatzas, Ioannis
17
2003
Adaptive control of a diffusion to a goal and a parabolic Monge-Ampère-type equation. Zbl 0906.93064
Karatzas, Ioannis
15
1997
Connections between bounded-variation control and Dynkin games. Zbl 1054.91512
Karatzas, Ioannis; Wang, Hui
14
2001
A second-order stock market model. Zbl 1298.91136
Fernholz, Robert; Ichiba, Tomoyuki; Karatzas, Ioannis
14
2013
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
Distribution of the time to explosion for one-dimensional diffusions. Zbl 1350.60077
Karatzas, Ioannis; Ruf, Johannes
14
2016
A leavable bounded-velocity stochastic control problem. Zbl 1064.93049
Karatzas, Ioannis; Ocone, Daniel
13
2002
Estimation and control for linear, partially observable systems with non- Gaussian initial distribution. Zbl 0501.93063
Benes, Vaclav E.; Karatzas, Ioannis
13
1983
On the relation of Zakai’s and Mortensen’s equations. Zbl 0518.93062
Benes, Vaclav E.; Karatzas, Ioannis
12
1983
Equilibrium models with singular asset prices. Zbl 0900.90111
Karatzas, Ioannis; Lehoczky, John P.; Shreve, Steven E.
12
1991
On a stochastic representation for the principal eigenvalue of a second- order differential equation. Zbl 0434.60065
Karatzas, Ioannis
11
1980
On the one-sided tanaka equation with drift. Zbl 1243.60048
Karatzas, Ioannis; Shiryaev, Albert N.; Shkolnikov, Mykhaylo
10
2011
Stochastic games of control stopping for a linear diffusion. Zbl 1153.91347
Karatzas, Ioannis; Sudderth, William
10
2006
A strategic market game with secured lending. Zbl 0887.90014
Karatzas, Ioannis; Shubik, Martin; Sudderth, William D.
10
1997
Stochastic integral equations for Walsh semimartingales. Zbl 1391.60090
Ichiba, Tomoyuki; Karatzas, Ioannis; Prokaj, Vilmos; Yan, Minghan
9
2018
Game approach to the optimal stopping problem. Zbl 1084.60027
Karatzas, Ioannis; Zamfirescu, Ingrid-Mona
9
2005
Volatility and arbitrage. Zbl 1391.60093
Fernholz, E. Robert; Karatzas, Ioannis; Ruf, Johannes
9
2018
Portfolio theory and arbitrage. A course in mathematical finance. Zbl 1520.91001
Karatzas, Ioannis; Kardaras, Constantinos
8
2021
Optimal discounted linear control of the Wiener process. Zbl 0417.93081
Karatzas, I.
8
1980
Diversity-weighted portfolios with negative parameter. Zbl 1369.91167
Vervuurt, Alexander; Karatzas, Ioannis
8
2015
Two characterizations of optimality in dynamic programming. Zbl 1196.49023
Karatzas, Ioannis; Sudderth, William D.
8
2010
Diverse market models of competing Brownian particles with splits and mergers. Zbl 1347.91229
Karatzas, Ioannis; Sarantsev, Andrey
8
2016
A strategic market game with active bankruptcy. Zbl 0971.91013
Geanakoplos, J.; Karatzas, I.; Shubik, M.; Sudderth, W.
7
2000
The inflationary bias of real uncertainty and the harmonic Fisher equation. Zbl 1099.91063
Karatzas, Ioannis; Shubik, Martin; Sudderth, William D.; Geanakoplos, John
6
2006
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
Probabilistic aspects of arbitrage. Zbl 1217.91218
Fernholz, Daniel; Karatzas, Ioannis
6
2010
Stationary control of Brownian motion in several dimensions. Zbl 0574.93068
Cox, R. Mitchell; Karatzas, Ioannis
6
1985
General Gittins index processes in discrete time. Zbl 0783.60046
El Karoui, Nicole; Karatzas, Ioannis
6
1993
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
Testing composite hypotheses via convex duality. Zbl 1207.62101
Rudloff, Birgit; Karatzas, Ioannis
5
2010
Optimal stationary linear control of the Wiener process. Zbl 0446.93056
Benes, V. E.; Karatzas, I.
5
1981
Semimartingales on rays, Walsh diffusions, and related problems of control and stopping. Zbl 1478.60165
Karatzas, Ioannis; Yan, Minghan
5
2019
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
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
8
2021
Trajectorial dissipation and gradient flow for the relative entropy in Markov chains. Zbl 1491.60129
Karatzas, Ioannis; Maas, Jan; Schachermayer, Walter
4
2021
Open markets. Zbl 1522.91227
Karatzas, Ioannis; Kim, Donghan
3
2021
Trading strategies generated pathwise by functions of market weights. Zbl 1433.91164
Karatzas, Ioannis; Kim, Donghan
5
2020
Semimartingales on rays, Walsh diffusions, and related problems of control and stopping. Zbl 1478.60165
Karatzas, Ioannis; Yan, Minghan
5
2019
Stochastic integral equations for Walsh semimartingales. Zbl 1391.60090
Ichiba, Tomoyuki; Karatzas, Ioannis; Prokaj, Vilmos; Yan, Minghan
9
2018
Volatility and arbitrage. Zbl 1391.60093
Fernholz, E. Robert; Karatzas, Ioannis; Ruf, Johannes
9
2018
Trading strategies generated by Lyapunov functions. Zbl 1414.91343
Karatzas, Ioannis; Ruf, Johannes
19
2017
Systems of Brownian particles with asymmetric collisions. Zbl 1333.60206
Karatzas, Ioannis; Pal, Soumik; Shkolnikov, Mykhaylo
19
2016
Distribution of the time to explosion for one-dimensional diffusions. Zbl 1350.60077
Karatzas, Ioannis; Ruf, Johannes
14
2016
Diverse market models of competing Brownian particles with splits and mergers. Zbl 1347.91229
Karatzas, Ioannis; Sarantsev, Andrey
8
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
4
2015
Impulse control of a diffusion with a change point. Zbl 1339.60113
Abbas-Turki, Lokman A.; Karatzas, Ioannis; Li, Qinghua
1
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
29
2013
Planar diffusions with rank-based characteristics and perturbed Tanaka equations. Zbl 1274.60247
Fernholz, E. Robert; Ichiba, Tomoyuki; Karatzas, Ioannis; Prokaj, Vilmos
20
2013
A second-order stock market model. Zbl 1298.91136
Fernholz, Robert; Ichiba, Tomoyuki; Karatzas, Ioannis
14
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
55
2011
Optimal arbitrage under model uncertainty. Zbl 1239.60057
Fernholz, Daniel; Karatzas, Ioannis
22
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
33
2010
Optimal stopping for dynamic convex risk measures. Zbl 1259.60042
Bayraktar, Erhan; Karatzas, Ioannis; Yao, Song
30
2010
On collisions of Brownian particles. Zbl 1235.60111
Ichiba, Tomoyuki; Karatzas, Ioannis
26
2010
Two characterizations of optimality in dynamic programming. Zbl 1196.49023
Karatzas, Ioannis; Sudderth, William D.
8
2010
Probabilistic aspects of arbitrage. Zbl 1217.91218
Fernholz, Daniel; Karatzas, Ioannis
6
2010
Testing composite hypotheses via convex duality. Zbl 1207.62101
Rudloff, Birgit; Karatzas, Ioannis
5
2010
Stochastic portfolio theory: an overview. Zbl 1180.91267
Karatzas, Ioannis; Fernholz, Robert
75
2009
Utility maximization with habit formation: dynamic programming and stochastic PDEs. Zbl 1195.93145
Englezos, Nikolaos; Karatzas, Ioannis
32
2009
Martingale approach to stochastic differential games of control and stopping. Zbl 1142.93040
Karatzas, Ioannis; Zamfirescu, Ingrid-Mona
31
2008
The numéraire portfolio in semimartingale financial models. Zbl 1144.91019
Karatzas, Ioannis; Kardaras, Constantinos
151
2007
Adaptive Poisson disorder problem. Zbl 1104.62093
Bayraktar, Erhan; Dayanik, Savas; Karatzas, Ioannis
32
2006
Martingale approach to stochastic control with discretionary stopping. Zbl 1136.93047
Karatzas, Ioannis; Zamfirescu, Ingrid-Mona
17
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
6
2006
The implied liquidity premium for equities. Zbl 1233.91324
Fernholz, Robert; Karatzas, Ioannis
3
2006
Production, interest, and saving in deterministic economies with additive endowments. Zbl 1109.91043
Karatzas, I.; Shubik, M.; Sudderth, W. D.
2
2006
Atlas models of equity markets. Zbl 1099.91056
Banner, Adrian D.; Fernholz, Robert; Karatzas, Ioannis
69
2005
Relative arbitrage in volatility-stabilized markets. Zbl 1233.91244
Fernholz, Robert; Karatzas, Ioannis
44
2005
Diversity and relative arbitrage in equity markets. Zbl 1064.60132
Fernholz, Robert; Karatzas, Ioannis; Kardaras, Constantinos
40
2005
The standard Poisson disorder problem revisited. Zbl 1070.62062
Bayraktar, Erhan; Dayanik, Savas; Karatzas, Ioannis
26
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
118
2003
Optimal consumption from investment and random endowment in incomplete semimartingale markets. Zbl 1076.91017
Karatzas, Ioannis; Žitković, Gordan
77
2003
Non-addictive habits: optimal consumption-portfolio policies. Zbl 1157.91395
Detemple, Jérôme B.; Karatzas, Ioannis
17
2003
A note on Bayesian detection of change-points with an expected miss criterion. Zbl 1037.62080
Karatzas, Ioannis
4
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
39
2001
Generalized Neyman-Pearson lemma via convex duality. Zbl 1054.62056
Cvitanić, Jakša; Karatzas, Ioannis
23
2001
The controller-and-stopper game for a linear diffusion. Zbl 1039.60043
Karatzas, Ioannis; Sudderth, William D.
22
2001
Connections between bounded-variation control and Dynkin games. Zbl 1054.91512
Karatzas, Ioannis; Wang, Hui
14
2001
Utility maximization with discretionary stopping. Zbl 0963.93079
Karatzas, Ioannis; Wang, Hui
86
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.
22
2000
A strategic market game with active bankruptcy. Zbl 0971.91013
Geanakoplos, J.; Karatzas, I.; Shubik, M.; Sudderth, W.
7
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.
720
1998
Hedging American contingent claims with constrained portfolios. Zbl 0904.90012
Karatzas, Ioannis; Kou, S. G.
43
1998
Backward stochastic differential equations with constraints on the gains-process. Zbl 0935.60039
Cvitanić, Jakša; Karatzas, Ioannis; Soner, H. Mete
31
1998
Irreversible investment and industry equilibrium. Zbl 0883.90009
Baldursson, Fridrik M.; Karatzas, Ioannis
36
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.
10
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
157
1996
Hedging and portfolio optimization under transaction costs: A martingale approach. Zbl 0919.90007
Cvitanić, Jakša; Karatzas, Ioannis
111
1996
Anticipative portfolio optimization. Zbl 0867.90013
Pikovsky, Igor; Karatzas, Ioannis
82
1996
On the pricing of contingent claims under constraints. Zbl 0856.90012
Karatzas, I.; Kou, S. G.
67
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
45
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.
29
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
81
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
187
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
240
1991
A generalized Clark representation formula, with application to optimal portfolios. Zbl 0727.60070
Ocone, Daniel L.; Karatzas, Ioannis
83
1991
An extension of Clark’s formula. Zbl 0745.60056
Karatzas, Ioannis; Ocone, Daniel L.; Li, Jinlu
30
1991
A new approach to the Skorohod problem, and its applications. Zbl 0735.60046
El Karoui, Nicole; Karatzas, Ioannis
28
1991
A note on utility maximization under partial observations. Zbl 0900.90051
Karatzas, Ioannis; Xue, Xing-Xiong
21
1991
Equilibrium models with singular asset prices. Zbl 0900.90111
Karatzas, Ioannis; Lehoczky, John P.; Shreve, Steven E.
12
1991
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
...and 33 more Documents
all top 5

Cited by 5,682 Authors

65 Karatzas, Ioannis
64 Bayraktar, Erhan
36 Platen, Eckhard
32 Ferrari, Giorgio
32 Touzi, Nizar
30 Ekström, Erik
30 Siu, Tak Kuen
29 Shin, Yong Hyun
29 Young, Virginia R.
28 Ouknine, Youssef
25 De Angelis, Tiziano
25 Schachermayer, Walter
24 Kardaras, Constantinos
22 Russo, Francesco
21 Hamadene, Saïd
21 Zheng, Harry H.
20 Liang, Zongxia
20 Wu, Zhen
19 Elliott, Robert James
19 Muhle-Karbe, Johannes
19 Sarantsev, Andrey
19 Shkolnikov, Mykhaylo
18 Guasoni, Paolo
18 Hobson, David Graham
18 Jeon, Junkee
18 Rásonyi, Miklós
18 Soner, Halil Mete
18 Yong, Jiongmin
18 Žitković, Gordan
17 Budhiraja, Amarjit S.
17 El Karoui, Nicole
17 Jeanblanc, Monique
17 Ruf, Johannes
16 Ankirchner, Stefan
16 Burdzy, Krzysztof
16 Detemple, Jerome B.
16 Djehiche, Boualem
16 Imkeller, Peter
16 Ma, Jin
16 Pal, Soumik
16 Pap, Gyula
15 Bouchard, Bruno
15 Criens, David
15 Gapeev, Pavel V.
15 Ichiba, Tomoyuki
15 Korn, Ralf
15 Pham, Huyên
15 Quenez, Marie-Claire
15 Rutkowski, Marek
15 Taksar, Michael I.
15 Zhang, Jianfeng
15 Zhu, Chao
14 Barczy, Mátyás
14 Cvitanić, Jakša
14 Dokuchaev, Nikolai G.
14 Fontana, Claudio
14 Henderson, Vicky
14 Park, Kyunghyun
13 Biagini, Francesca
13 Bielecki, Tomasz R.
13 Fei, Weiyin
13 Fukasawa, Masaaki
13 Gozzi, Fausto
13 Jourdain, Benjamin
13 Lanconelli, Alberto
13 Li, Xun
13 Nutz, Marcel
13 Peskir, Goran
13 Ramanan, Kavita
13 Riedel, Frank
13 Schweizer, Martin
13 Urusov, Mikhail A.
13 Zhou, Xunyu
12 Bo, Lijun
12 Dolinsky, Yan
12 El Otmani, Mohamed
12 Federico, Salvatore
12 Fernholz, Erhard Robert
12 Grandits, Peter
12 Kallsen, Jan
12 Klimsiak, Tomasz
12 Kohatsu-Higa, Arturo
12 Koo, Hyeng Keun
12 Larsson, Martin
12 Mostovyi, Oleksii
12 Mykland, Per Aslak
12 Øksendal, Bernt Karsten
12 Possamaï, Dylan
12 Wong, Hoi Ying
12 Yang, Hailiang
12 Zagst, Rudi
12 Zariphopoulou, Thaleia
12 Zervos, Mihail
11 Atar, Rami
11 Banerjee, Sayan
11 Bank, Peter
11 Bossy, Mireille
11 Choulli, Tahir
11 Cui, Zhenyu
11 Dayanik, Savas
...and 5,582 more Authors
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Cited in 515 Serials

353 Stochastic Processes and their Applications
242 The Annals of Applied Probability
174 Mathematical Finance
172 Finance and Stochastics
155 Insurance Mathematics & Economics
125 Journal of Economic Dynamics & Control
105 SIAM Journal on Control and Optimization
104 The Annals of Probability
102 Journal of Mathematical Analysis and Applications
100 International Journal of Theoretical and Applied Finance
97 Stochastic Analysis and Applications
93 Applied Mathematics and Optimization
88 Stochastics
87 Quantitative Finance
84 Statistics & Probability Letters
84 Mathematics and Financial Economics
83 SIAM Journal on Financial Mathematics
78 Probability Theory and Related Fields
75 Journal of Applied Probability
73 European Journal of Operational Research
66 Electronic Journal of Probability
59 Advances in Applied Probability
59 Journal of Computational and Applied Mathematics
58 Journal of Mathematical Economics
57 Mathematical Methods of Operations Research
55 Journal of Econometrics
55 Bernoulli
52 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
51 Journal of Theoretical Probability
51 Applied Mathematical Finance
50 Journal of Statistical Physics
50 Annals of Finance
45 Journal of Economic Theory
42 Journal of Optimization Theory and Applications
38 Annals of Operations Research
37 Applied Mathematics and Computation
34 Stochastics and Dynamics
33 Journal of Functional Analysis
33 Systems & Control Letters
32 Automatica
32 Mathematics of Operations Research
32 Methodology and Computing in Applied Probability
31 Communications in Mathematical Physics
31 Journal of Differential Equations
30 Asia-Pacific Financial Markets
29 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
28 Electronic Communications in Probability
27 Queueing Systems
26 Scandinavian Actuarial Journal
25 Decisions in Economics and Finance
23 Transactions of the American Mathematical Society
23 Discrete and Continuous Dynamical Systems. Series B
23 Stochastic Models
23 Advances in Difference Equations
23 Stochastic and Partial Differential Equations. Analysis and Computations
22 Journal of Mathematical Physics
22 Acta Mathematicae Applicatae Sinica. English Series
21 Theory of Probability and its Applications
20 Communications in Statistics. Theory and Methods
20 Stochastics and Stochastics Reports
18 Physica A
18 The Annals of Statistics
18 Mathematical Problems in Engineering
18 Journal of Systems Science and Complexity
17 Journal of Computational Physics
17 North American Actuarial Journal
17 Review of Derivatives Research
16 Journal of Statistical Planning and Inference
16 Potential Analysis
16 ASTIN Bulletin
16 Journal of Industrial and Management Optimization
16 Mathematical Control and Related Fields
15 Stochastics
15 Acta Applicandae Mathematicae
14 International Journal of Control
14 Optimization
14 Journal of Applied Mathematics and Stochastic Analysis
14 Probability, Uncertainty and Quantitative Risk
13 Computers & Mathematics with Applications
13 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
13 SIAM Journal on Mathematical Analysis
13 Journal of Nonlinear Science
13 International Journal of Stochastic Analysis
12 Chaos, Solitons and Fractals
12 Operations Research Letters
12 Japan Journal of Industrial and Applied Mathematics
12 Applied Mathematics. Series B (English Edition)
12 Discrete and Continuous Dynamical Systems
12 Abstract and Applied Analysis
12 Journal of Applied Mathematics and Computing
12 European Series in Applied and Industrial Mathematics (ESAIM): Mathematical Modelling and Numerical Analysis
12 Science China. Mathematics
11 Proceedings of the American Mathematical Society
11 Bulletin des Sciences Mathématiques
11 Statistical Inference for Stochastic Processes
11 Acta Mathematica Sinica. English Series
11 Comptes Rendus. Mathématique. Académie des Sciences, Paris
10 Journal of Mathematical Biology
10 BIT
10 Physica D
...and 415 more Serials
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Cited in 53 Fields

3,742 Probability theory and stochastic processes (60-XX)
2,891 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
1,047 Systems theory; control (93-XX)
612 Partial differential equations (35-XX)
562 Statistics (62-XX)
502 Calculus of variations and optimal control; optimization (49-XX)
461 Numerical analysis (65-XX)
331 Operations research, mathematical programming (90-XX)
224 Ordinary differential equations (34-XX)
196 Statistical mechanics, structure of matter (82-XX)
184 Biology and other natural sciences (92-XX)
103 Dynamical systems and ergodic theory (37-XX)
90 Fluid mechanics (76-XX)
69 Operator theory (47-XX)
58 Computer science (68-XX)
55 Quantum theory (81-XX)
48 Measure and integration (28-XX)
48 Functional analysis (46-XX)
45 Global analysis, analysis on manifolds (58-XX)
34 Integral equations (45-XX)
33 Real functions (26-XX)
29 Information and communication theory, circuits (94-XX)
25 Linear and multilinear algebra; matrix theory (15-XX)
24 Combinatorics (05-XX)
24 Potential theory (31-XX)
18 Integral transforms, operational calculus (44-XX)
17 Approximations and expansions (41-XX)
17 Differential geometry (53-XX)
17 Mechanics of deformable solids (74-XX)
16 Harmonic analysis on Euclidean spaces (42-XX)
15 Mechanics of particles and systems (70-XX)
14 Geophysics (86-XX)
13 Special functions (33-XX)
10 Difference and functional equations (39-XX)
10 Classical thermodynamics, heat transfer (80-XX)
8 Number theory (11-XX)
7 Functions of a complex variable (30-XX)
7 Convex and discrete geometry (52-XX)
6 History and biography (01-XX)
6 Mathematical logic and foundations (03-XX)
6 Topological groups, Lie groups (22-XX)
4 General and overarching topics; collections (00-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)
2 Algebraic geometry (14-XX)
2 Several complex variables and analytic spaces (32-XX)
2 Abstract harmonic analysis (43-XX)
2 Optics, electromagnetic theory (78-XX)
1 Nonassociative rings and algebras (17-XX)
1 Group theory and generalizations (20-XX)
1 Algebraic topology (55-XX)

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