I. Karatzas

发表

Stochastic differential equations

S. Shreve, I. Karatzas, Peter E. Kloeden, 1955, Mathematical Proceedings of the Cambridge Philosophical Society.

On the pricing of American options

I. Karatzas, 1988 .

On Dynamic Measures of Risk

Jakša Cvitanić, I. Karatzas, 1999 .

General Gittins index processes in discrete time.

I. Karatzas, N. El Karoui, 1993, Proceedings of the National Academy of Sciences of the United States of America.

A generalized clark representation formula, with application to optimal portfolios

I. Karatzas, D. Ocone, 1991 .

HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12

Jakša Cvitanić, I. Karatzas, 1996 .

Anticipative portfolio optimization

I. Karatzas, I. Pikovsky, 1996, Advances in Applied Probability.

Backward stochastic differential equations with reflection and Dynkin games

Jakša Cvitanić, I. Karatzas, 1996 .

Dynamic Allocation Problems in Continuous Time

I. Karatzas, N. Karoui, 1994 .

The standard Poisson disorder problem revisited

Savas Dayanik, I. Karatzas, E. Bayraktar, 2005 .

Methods of Mathematical Finance

S. Shreve, I. Karatzas, 2010 .

A class of singular stochastic control problems

I. Karatzas, 1983, Advances in Applied Probability.

Brownian Motion and Stochastic Calculus

Ioannis Karatzas, I. Karatzas, 1987 .

Stochastic Control Under Finite-Fuel Constraints

I. Karatzas, 1988 .

Martingale and duality methods for utility maximization in a incomplete market

S. Shreve, I. Karatzas, J. Lehoczky, 1991 .

1 SYNCHRONIZATION AND OPTIMALITY FOR MULTI-ARMED BANDIT PROBLEMS IN CONTINUOUS TIME

I. Karatzas, N. Karoui, 1996 .

On portfolio optimization under "drawdown" constraints

Jakša Cvitanić, I. Karatzas, 1994 .

On the pricing of contingent claims under constraints

I. Karatzas, S. Kou, 1996 .

Hedging Contingent Claims with Constrained Portfolios

Jakša Cvitanić, I. Karatzas, 1993 .

Optimal portfolio and consumption decisions for a “small investor” on a finite horizon

S. Shreve, I. Karatzas, J. Lehoczky, 1987 .

Construction of Stationary Markov Equilibria in a Strategic Market Game

Martin Shubik, William D. Sudderth, Ioannis Karatzas, 1994, Math. Oper. Res..

Estimation and control for linear, partially observable systems with non-gaussian initial distribution☆☆☆

V. Benes, I. Karatzas, 1983 .

Optimization problems in the theory of continuous trading

I. Karatzas, 1989 .

BSDE Approach to Non-Zero-Sum Stochastic Differential Games of Control and Stopping ∗

Ioannis Karatzas, I. Karatzas, 2011 .

Lectures on the Mathematics of Finance

Ioannis Karatzas, I. Karatzas, 1996 .

On optimal arbitrage

I. Karatzas, Daniel Fernholz, 2010, 1010.4987.

Diffusions with rank-based characteristics and values in the nonnegative quadrant

I. Karatzas, Tomoyuki Ichiba, V. Prokaj, 2012, 1202.0036.

Probability on graphs and groups: theory and applications

I. Karatzas, N. Mosina, 2009 .

Distribution of the time to explosion for one-dimensional diffusions

I. Karatzas, J. Ruf, 2013, Probability Theory and Related Fields.

On the optimal stopping problem for one-dimensional diffusions

Savas Dayanik, I. Karatzas, 2003 .

Trivariate Density of Brownian Motion, Its Local and Occupation Times, with Application to Stochastic Control

S. Shreve, I. Karatzas, 1984 .

STOCHASTIC GAMES OF CONTROL AND STOPPING FOR A LINEAR DIFFUSION

W. Sudderth, I. Karatzas, 2006 .

Atlas models of equity markets

Adrian D. Banner, I. Karatzas, R. Fernholz, 2005, math/0602521.

HYBRID ATLAS MODELS

Adrian D. Banner, I. Karatzas, Tomoyuki Ichiba, 2009, 0909.0065.

Systems of Brownian particles with asymmetric collisions

I. Karatzas, Soumik Pal, Mykhaylo Shkolnikov, 2012, 1210.0259.

Diverse market models of competing Brownian particles with splits and mergers

I. Karatzas, A. Sarantsev, 2014, 1404.0748.

Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems

S. Shreve, I. Karatzas, 1984 .

Connections Between Optimal Stopping and Singular Stochastic Control II. Reflected Follower Problems

S. Shreve, I. Karatzas, 1985 .

Equivalent models for finite-fuel stochastic control

S. Shreve, I. Karatzas, 1986 .

Probabilistic aspects of finite-fuel, reflected follower problems

I. Karatzas, N. Karoui, 1988 .

A new approach to the skorohod problem, and its applications

I. Karatzas, N. Karoui, 1991 .

Gittins Indices in the Dynamic Allocation Problem for Diffusion Processes

I. Karatzas, 1984 .

Martingale Approach to Stochastic Control with Discretionary Stopping

I. Karatzas, I. Zamfirescu, 2006 .

Optimal Stopping for Dynamic Convex Risk Measures

I. Karatzas, E. Bayraktar, Song Yao, 2009, 0909.4948.

Inflationary Equilibrium in a Stochastic Economy with Independent Agents

J. Geanakoplos, M. Shubik, W. Sudderth, 2009 .

Convex Duality in Constrained Portfolio Optimization

Jakša Cvitanić, I. Karatzas, 1992 .

Optimal Consumption from Investment and Random Endowment in Incomplete Semimartingale Markets

I. Karatzas, Gordan Zitkovic, 2001, 0706.0051.

Relative arbitrage in volatility-stabilized markets

I. Karatzas, R. Fernholz, 2005 .

Finite-Fuel Singular Control With Discretionary Stopping

I. Karatzas, D. Ocone, Hui Wang, 2000 .

A Note On Utility Maximization Under Partial Observations

I. Karatzas, X. Xue, 1991 .

Stochastic Portfolio Theory: an Overview

I. Karatzas, R. Fernholz, 2009 .

The controller-and-stopper game for a linear diffusion

Ioannis Karatzas, William D. Sudderth, W. Sudderth, 2001 .

Martingale approach to stochastic differential games of control and stopping.

Ioannis Karatzas, I. Karatzas, I. Zamfirescu, 2008, 0808.3656.

A variational characterization of Langevin$\boldsymbol{-}$Smoluchowski diffusions

I. Karatzas, B. Tschiderer, Bertram Tschiderer, 2020, 2010.04847.

Probabilistic Aspects of Arbitrage

I. Karatzas, Daniel Fernholz, 2010 .

Optimal arbitrage under model uncertainty.

Ioannis Karatzas, Daniel Fernholz, I. Karatzas, 2011, 1202.2999.

Stochastic Integral Equations for Walsh Semimartingales

I. Karatzas, Tomoyuki Ichiba, V. Prokaj, 2015, 1505.02504.

COMPETING BROWNIAN PARTICLE SYSTEMS

I. Karatzas, 2013 .

The Stochastic Maximum Principle for Linear, Convex Optimal Control with Random Coefficients

I. Karatzas, A. Cadenillas, 1995 .

Aspects Of Utility Maximization With Habit Formation: Dynamic Programming And Stochastic PDE's

Ioannis Karatzas, I. Karatzas, Nikolaos Egglezos, 2007 .

Applying It\^o calculus to Otto calculus

Walter Schachermayer, Ioannis Karatzas, Bertram Tschiderer, 2018 .

An overview of stochastic filtering theory

I. Karatzas, 1985, Advances in Applied Probability.

Time-reversal of reflected Brownian motions in the orthant

I. Karatzas, Mykhaylo Shkolnikov, 2013, 1307.4422.

A weak law of large numbers for dependent random variables

I. Karatzas, W. Schachermayer, 2022, Teoriya Veroyatnostei i ee Primeneniya.

Impulse control of a diffusion with a change point

I. Karatzas, Qinghua Li, L. Abbas-Turki, 2014, 1404.1761.

Bayesian sequential least-squares estimation for the drift of a Wiener process

I. Karatzas, Erik Ekstrom, Juozas Vaicenavicius, 2019, Stochastic Processes and their Applications.

CONNECTIONS BETWEEN BOUNDED-VARIATION CONTROL AND DYNKIN GAMES

I. Karatzas, 2001 .

A Barrier Option of American Type

Hui Wang, Ioannis Karatzas, I. Karatzas, 2000 .

A Stochastic Infinite-Horizon Economy with Secured Lending, or Unsecured Lending and Bankruptcy

M. Shubik, W. Sudderth, I. Karatzas, 1997 .

The inflationary bias of real uncertainty and the harmonic Fisher equation

J. Geanakoplos, M. Shubik, W. Sudderth, 2006 .

Financial Control of a Competitive Economy without Randomness

M. Shubik, W. Sudderth, I. Karatzas, 2008 .

A Stochastic Overlapping Generations Economy with Inheritance

M. Shubik, W. Sudderth, I. Karatzas, 2002 .

Trajectorial dissipation and gradient flow for the relative entropy in Markov chains

I. Karatzas, J. Maas, W. Schachermayer, 2020, Commun. Inf. Syst..

Treatment with oral paricalcitol in daily clinical practice for patients with chronic kidney disease stage 3–4: a preliminary study

I. Karatzas, D. Vlassopoulos, D. Hadjiyannakos, 2013, Clinical kidney journal.

A strategic market game with active bankruptcy

J. Geanakoplos, M. Shubik, W. Sudderth, 2000 .

Transition probabilities for some ‘special' diffusions

V. Benes, I. Karatzas, 1987, Journal of Applied Probability.

Financial Control of a Competitive Economy with Public Goods but Without Randomness

M. Shubik, W. Sudderth, I. Karatzas, 2011 .

Paricalcitol Treatment of Secondary Hyperparathyroidism in Hemodialysis Patients on Sevelamer Hydrochloride: Which Dialysate Calcium Concentration to Use?

I. Karatzas, D. Vlassopoulos, P. Metaxaki, 2009, Blood Purification.

A Brownian Model of Financial Markets

S. Shreve, I. Karatzas, 1998 .

Information and the Existence of Stationary Markovian Equilibrium

M. Shubik, W. Sudderth, I. Karatzas, 2005 .

Stochastic Processes and Related Topics

Murad S. Taqqu, Ioannis Karatzas, Balram S. Rajput, 1998 .

Optimal stationary linear control of the Wiener process

V. Benes, I. Karatzas, V. E. Beneš, 1980, Advances in Applied Probability.

A second-order stock market model

I. Karatzas, Tomoyuki Ichiba, R. Fernholz, 2012, Annals of Finance.

Distribution of the time to explosion for one-dimensional diffusions

I. Karatzas, J. Ruf, 2015, Probability Theory and Related Fields.

Dynamic equilibrium in a multi-agent economy : construction and uniqueness

I. Karatzas, 1988 .

Trading strategies generated by Lyapunov functions

I. Karatzas, J. Ruf, 2017, Finance and Stochastics.

Pathwise Otto calculus

I. Karatzas, W. Schachermayer, B. Tschiderer, 2018 .

Diversity-weighted portfolios with negative parameter

I. Karatzas, A. Vervuurt, 2015, Annals of Finance.

Hedging American contingent claims with constrained portfolios

Steven Kou, Ioannis Karatzas, I. Karatzas, 1998, Finance Stochastics.

The Role of Dialysis Membranes on Intradialytic Selenium Removal and on Selenium Status in Patients Receiving Renal Replacement Therapy

I. Karatzas, C. Spiliopoulou, A. Dona, 2015, Blood Purification.

A second-order stock market model

I. Karatzas, Tomoyuki Ichiba, R. Fernholz, 2013, 1302.3870.

Two Characterizations of Optimality in Dynamic Programming

Ioannis Karatzas, William D. Sudderth, W. Sudderth, 2010 .

Filtering of diffusions controlled through their conditional measures

V. Benes, I. Karatzas, 1981, 1981 20th IEEE Conference on Decision and Control including the Symposium on Adaptive Processes.

Trading strategies generated by Lyapunov functions

Ioannis Karatzas, Johannes Ruf, I. Karatzas, 2016, Finance Stochastics.

PATHWISE SOLVABILITY OF STOCHASTIC INTEGRAL EQUATIONS WITH GENERALIZED DRIFT AND NON-SMOOTH DISPERSION FUNCTIONS

I. Karatzas, J. Ruf, 2013, 1312.7257.

Filtering for piecewise linear drift and observation

V. Benes, I. Karatzas, 1981, 1981 20th IEEE Conference on Decision and Control including the Symposium on Adaptive Processes.

Applications of Stochastic Calculus in Financial Economics

I. Karatzas, 1990 .

EQUILIBRIUM MODELS WITH SINGULAR ASSET PRICES by loannis Karatzas

S. Shreve, I. Karatzas, J. Lehoczky, 2015 .

Equilibrium Models with Singular Asset Prices

Ioannis Karatzas, S. Shreve, I. Karatzas, 1991 .

A trajectorial approach to the gradient flow properties of Langevin-Smoluchowski diffusions

Walter Schachermayer, Ioannis Karatzas, Bertram Tschiderer, 2020, Teoriya Veroyatnostei i ee Primeneniya.

Trajectorial Otto calculus

I. Karatzas, W. Schachermayer, B. Tschiderer, 2018, 1811.08686.

Optimal Stopping of a Diffusion with a Change Point

I. Karatzas, Qinghua Li, 2010 .

Explicit Solution of a General Consumption/Investment Problem

Suresh P. Sethi, John P. Lehoczky, Steven E. Shreve, 1986, Math. Oper. Res..

Contingent Claim Valuation and Hedging with Constrained Portfolios

Ioannis Karatzas, Jakša Cvitanić, Jakša Cvitanić, 1995 .

Optimality conditions for utility maximization in an incomplete market

John P. Lehoczky, Steven E. Shreve, Ioannis Karatzas, 1990 .

Martingale and duality methods for utuility [i.e., utility] maximization in an incomplete market

I. Karatzas, 1989 .

Portfolio Theory and Arbitrage

I. Karatzas, C. Kardaras, 2021, Graduate Studies in Mathematics.

The numéraire portfolio in semimartingale financial models

Constantinos Kardaras, Ioannis Karatzas, I. Karatzas, 2007, Finance Stochastics.

A TUTORIAL INTRODUCTION TO STOCHASTIC ANALYSIS AND ITS APPLICATIONS by IOANNIS KARATZAS

I. Karatzas, IOANNIS KARATZAS, 1998 .

On dynamic measures of risk

Jaksa Cvitanic, Ioannis Karatzas, Jakša Cvitanić, 1999, Finance Stochastics.

A strategic market game with secured lending

Martin Shubik, Ioannis Karatzas, William D. Sudderth, 1997 .

The finite–horizon version for a partially–observed stochastic control problem of benesš & rishel

I. Karatzas, D. Ocone, 1993 .

Stationary control of Brownian motion in several dimensions

R. M. Cox, I. Karatzas, 1985, Advances in Applied Probability.

Examples of optimal control for partially observable systems:comparison, classical, and martingale methods†

V. Benes, I. Karatzas, 1981 .

The monotone follower problem in stochastic decision theory

Ioannis Karatzas, I. Karatzas, 1981 .

Strong solutions of stochastic equations with rank-based coefficients

I. Karatzas, Mykhaylo Shkolnikov, Tomoyuki Ichiba, 2011, 1109.3823.

Planar diffusions with rank-based characteristics and perturbed Tanaka equations

Ioannis Karatzas, Tomoyuki Ichiba, Vilmos Prokaj, 2011 .

On collisions of Brownian particles

I. Karatzas, Tomoyuki Ichiba, 2008, 0810.2149.

Irreversible investment and industry equilibrium

Ioannis Karatzas, Fridrik M. Baldursson, I. Karatzas, 1996, Finance Stochastics.

Backward stochastic differential equations with constraints on the gains-process

Ioannis Karatzas, Jakša Cvitanić, H. Mete Soner, 1998 .

CONNECTIONS BETWEEN BOUNDED-VARIATION CONTROL AND DYNKIN GAMES

I. Karatzas, 2001 .

Semimartingales on rays, Walsh diffusions, and related problems of control and stopping

I. Karatzas, Minghan Yan, 2016, Stochastic Processes and their Applications.

Adaptive control of a diffusion to a goal and a parabolic Monge–Ampère-type equation

Ioannis Karatzas, I. Karatzas, 1997 .

Diversity and relative arbitrage in equity markets

Robert Fernholz, Constantinos Kardaras, Ioannis Karatzas, 2008, Finance Stochastics.

DIVERSITY AND RELATIVE ARBITRAGE IN FINANCIAL MARKETS

I. Karatzas, C. Kardaras, R. Fernholz, 2003 .

Probabilistic aspects of finite-fuel stochastic control.

I Karatzas, I. Karatzas, 1985, Proceedings of the National Academy of Sciences of the United States of America.

Wiener Chaos Solutions for Linear Backward Stochastic Evolution Equations

Ioannis Karatzas, Athanassios N. Yannacopoulos, Nikolaos E. Frangos, 2011, SIAM J. Math. Anal..

Utility Maximization with Discretionary Stopping

Hui Wang, Ioannis Karatzas, I. Karatzas, 2000, SIAM J. Control. Optim..

A sequential estimation problem with control and discretionary stopping

I. Karatzas, Erik Ekstrom, 2021, Probability, Uncertainty and Quantitative Risk.

Trading strategies generated pathwise by functions of market weights

I. Karatzas, Donghan Kim, 2018, Finance and Stochastics.

Planar Diffusions with Rank-Based Characteristics: Transition Probabilities, Time Reversal, Maximality and Perturbed Tanaka equations

I. Karatzas, E. Fernholz, Tomoyuki Ichiba, 2011, 1108.3992.

Utility Maximization with Habit Formation: Dynamic Programming and Stochastic PDEs

Nikolaos Englezos, Ioannis Karatzas, I. Karatzas, 2009, SIAM J. Control. Optim..

Non-addictive habits: optimal consumption-portfolio policies

Jérôme Detemple, Ioannis Karatzas, J. Detemple, 2003, J. Econ. Theory.

A decomposition of the Brownian path

S. Shreve, I. Karatzas, 1987 .

On the one-sided Tanaka equation with drift

A. Shiryaev, I. Karatzas, Mykhaylo Shkolnikov, 2011, 1108.4069.

A leavable bounded-velocity stochastic control problem

I. Karatzas, D. Ocone, 2002 .

Control and stopping of a diffusion process on an interval

Ioannis Karatzas, William D. Sudderth, W. Sudderth, 1999 .

Two Brownian Particles with Rank-Based Characteristics and Skew-Elastic Collisions

I. Karatzas, E. Fernholz, Tomoyuki Ichiba, 2012, 1206.4350.

Contributions to the Theory of Optimal Stopping for One–Dimensional Diffusions

I. Karatzas, 2002 .

A strong law of large numbers for positive random variables

I. Karatzas, W. Schachermayer, 2021, Illinois Journal of Mathematics.

Adaptive Poisson disorder problem pdf

Erhan Bayraktar, Savas Dayanik, Ioannis Karatzas, 2006, ArXiv.

Volatility and Arbitrage

I. Karatzas, J. Ruf, R. Fernholz, 2016, 1608.06121.

Control with Partial Observations and an Explicit Solution of Mortensen’s Equation

Hui Wang, Ioannis Karatzas, Daniel Ocone, 2004 .