Ioannis Karatzas - researchr alias

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Viewing Publication 1 - 15 from 15

2021

Trajectorial dissipation and gradient flow for the relative entropy in Markov chainsIoannis Karatzas, Jan Maas, Walter Schachermayer. cominfsys, 21(4):481-536, 2021. [doi]

2017

Trading strategies generated by Lyapunov functionsIoannis Karatzas, Johannes Ruf. fs, 21(3):753-787, 2017. [doi]

2011

Wiener Chaos Solutions for Linear Backward Stochastic Evolution EquationsAthanassios N. Yannacopoulos, Nikolaos E. Frangos, Ioannis Karatzas. siamma, 43(1):68-113, 2011. [doi]

2009

Utility Maximization with Habit Formation: Dynamic Programming and Stochastic PDEsNikolaos Englezos, Ioannis Karatzas. siamco, 48(2):481-520, 2009. [doi]

2007

Some Stochastic Control Problems in Mathematical FinanceIoannis Karatzas. amcc 2007: 1-2 [doi]

The numéraire portfolio in semimartingale financial modelsIoannis Karatzas, Constantinos Kardaras. fs, 11(4):447-493, 2007. [doi]

2005

Diversity and relative arbitrage in equity marketsRobert Fernholz, Ioannis Karatzas, Constantinos Kardaras. fs, 9(1):1-27, 2005. [doi]

2003

Non-addictive habits: optimal consumption-portfolio policiesJérôme Detemple, Ioannis Karatzas. jet, 113(2):265-285, 2003. [doi]

2000

Utility Maximization with Discretionary StoppingIoannis Karatzas, Hui Wang. siamco, 39(1):306-329, 2000. [doi]

1999

On dynamic measures of riskJaksa Cvitanic, Ioannis Karatzas. fs, 3(4):451-482, 1999. [doi]

1998

Hedging American contingent claims with constrained portfoliosIoannis Karatzas, S. G. Kou. fs, 2(3):215-258, 1998. [doi]

1996

Irreversible investment and industry equilibriumFridrik M. Baldursson, Ioannis Karatzas. fs, 1(1):69-89, 1996. [doi]

1994

Construction of Stationary Markov Equilibria in a Strategic Market GameIoannis Karatzas, Martin Shubik, William D. Sudderth. mor, 19(4):975-1006, 1994. [doi]

1990

Existence and Uniqueness of Multi-Agent Equilibrium in a Stochastic, Dynamic Consumption/Investment ModelIoannis Karatzas, John P. Lehoczky, Steven E. Shreve. mor, 15(1):80-128, 1990. [doi]

1986

Explicit Solution of a General Consumption/Investment ProblemIoannis Karatzas, John P. Lehoczky, Suresh P. Sethi, Steven E. Shreve. mor, 11(2):261-294, 1986. [doi]

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