Ioannis Karatzas


Ontology type: schema:Person     


Person Info

NAME

Ioannis

SURNAME

Karatzas

Publications in SciGraph latest 50 shown

  • 2022-04-22 A Variational Characterization of Langevin-Smoluchowski Diffusions in STOCHASTIC ANALYSIS, FILTERING, AND STOCHASTIC OPTIMIZATION
  • 2019-12-17 Trading strategies generated pathwise by functions of market weights in FINANCE AND STOCHASTICS
  • 2017-05-25 Trading strategies generated by Lyapunov functions in FINANCE AND STOCHASTICS
  • 2015-07-21 Diversity-weighted portfolios with negative parameter in ANNALS OF FINANCE
  • 2015-04-08 Distribution of the time to explosion for one-dimensional diffusions in PROBABILITY THEORY AND RELATED FIELDS
  • 2014-12-14 Skew-Unfolding the Skorokhod Reflection of a Continuous Semimartingale in STOCHASTIC ANALYSIS AND APPLICATIONS 2014
  • 2012-05-09 Planar diffusions with rank-based characteristics and perturbed Tanaka equations in PROBABILITY THEORY AND RELATED FIELDS
  • 2012-04-10 Strong solutions of stochastic equations with rank-based coefficients in PROBABILITY THEORY AND RELATED FIELDS
  • 2012-03-07 A second-order stock market model in ANNALS OF FINANCE
  • 2010 Probabilistic Aspects of Arbitrage in CONTEMPORARY QUANTITATIVE FINANCE
  • 2009-11-19 Two Characterizations of Optimality in Dynamic Programming in APPLIED MATHEMATICS & OPTIMIZATION
  • 2007-08-08 The numéraire portfolio in semimartingale financial models in FINANCE AND STOCHASTICS
  • 2006-08 The inflationary bias of real uncertainty and the harmonic Fisher equation in ECONOMIC THEORY
  • 2006-07-26 Production, interest, and saving in deterministic economies with additive endowments in ECONOMIC THEORY
  • 2006-02-20 Martingale Approach to Stochastic Control with Discretionary Stopping in APPLIED MATHEMATICS & OPTIMIZATION
  • 2005-11-18 The implied liquidity premium for equities in ANNALS OF FINANCE
  • 2005-04 Relative arbitrage in volatility-stabilized markets in ANNALS OF FINANCE
  • 2005-01 Diversity and relative arbitrage in equity markets in FINANCE AND STOCHASTICS
  • 2005-01-01 Information and the Existence of Stationary Markovian Equilibrium in ADVANCES IN DYNAMIC GAMES
  • 2004-02-26 Control with Partial Observations and an Explicit Solution of Mortensen’s Equation in APPLIED MATHEMATICS & OPTIMIZATION
  • 2002-12 A Stochastic Overlapping Generations Economy with Inheritance in JOURNAL OF ECONOMICS
  • 2000-11 A Barrier Option of American Type in APPLIED MATHEMATICS & OPTIMIZATION
  • 1999-08 On dynamic measures of risk in FINANCE AND STOCHASTICS
  • 1998-05 Hedging American contingent claims with constrained portfolios in FINANCE AND STOCHASTICS
  • 1998 Brownian Motion and Stochastic Calculus in NONE
  • 1998 Methods of Mathematical Finance in NONE
  • 1998 Methods of Mathematical Finance in NONE
  • 1997 Explicit Solution of a General Consumption/ Investment Problem in OPTIMAL CONSUMPTION AND INVESTMENT WITH BANKRUPTCY
  • 1996-12 Irreversible investment and industry equilibrium in FINANCE AND STOCHASTICS
  • 1995 Contingent Claim Valuation and Hedging with Constrained Portfolios in MATHEMATICAL FINANCE
  • 1995 On Portfolio Optimization under “Drawdown” Constraints in MATHEMATICAL FINANCE
  • 1990 Optimality conditions for utility maximization in an incomplete market in ANALYSIS AND OPTIMIZATION OF SYSTES
  • 1989 Integration of the optimal risk in a stopping problem with absorption in SÉMINAIRE DE PROBABILITÉS XXIII
  • 1988-03 Probabilistic aspects of finite-fuel, reflected follower problems in ACTA APPLICANDAE MATHEMATICAE
  • 1988 Stochastic Control Under Finite-Fuel Constraints in STOCHASTIC DIFFERENTIAL SYSTEMS, STOCHASTIC CONTROL THEORY AND APPLICATIONS
  • 1988-01 On the pricing of American options in APPLIED MATHEMATICS & OPTIMIZATION
  • 1988 Brownian Motion and Stochastic Calculus in NONE
  • 1986 Explicit solution of a consumption/investment problem in STOCHASTIC OPTIMIZATION
  • 1985 Explicit solution of a general consumption/investment problem in STOCHASTIC DIFFERENTIAL SYSTEMS
  • 1985 Stationary control of brownian motion in several dimensions in STOCHASTIC DIFFERENTIAL SYSTEMS
  • 1982 A class of singular stochastic control problems in STOCHASTIC DIFFERENTIAL SYSTEMS
  • 1981-12 Optimal stationary linear control of the Wiener process in JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS
  • 1981-03 The monotone follower problem in stochastic decision theory in APPLIED MATHEMATICS & OPTIMIZATION
  • 1980-07 Optimal discounted linear control of the wiener process in JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS
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