Ioannis Karatzas

According to our database1, Ioannis Karatzas authored at least 15 papers between 1986 and 2017.

Collaborative distances:
  • Dijkstra number2 of five.
  • Erdős number3 of four.

Timeline

Legend:

Book 
In proceedings 
Article 
PhD thesis 
Other 

Links

On csauthors.net:

Bibliography

2017
Trading strategies generated by Lyapunov functions.
Finance Stochastics, 2017

2011
Wiener Chaos Solutions for Linear Backward Stochastic Evolution Equations.
SIAM J. Math. Anal., 2011

2009
Utility Maximization with Habit Formation: Dynamic Programming and Stochastic PDEs.
SIAM J. Control. Optim., 2009

2007
The numéraire portfolio in semimartingale financial models.
Finance Stochastics, 2007

Some Stochastic Control Problems in Mathematical Finance.
Proceedings of the American Control Conference, 2007

2006
Adaptive Poisson disorder problem
CoRR, 2006

2005
Diversity and relative arbitrage in equity markets.
Finance Stochastics, 2005

2003
Non-addictive habits: optimal consumption-portfolio policies.
J. Econ. Theory, 2003

2000
Utility Maximization with Discretionary Stopping.
SIAM J. Control. Optim., 2000

1999
On dynamic measures of risk.
Finance Stochastics, 1999

1998
Hedging American contingent claims with constrained portfolios.
Finance Stochastics, 1998

1996
Irreversible investment and industry equilibrium.
Finance Stochastics, 1996

1994
Construction of Stationary Markov Equilibria in a Strategic Market Game.
Math. Oper. Res., 1994

1990
Existence and Uniqueness of Multi-Agent Equilibrium in a Stochastic, Dynamic Consumption/Investment Model.
Math. Oper. Res., 1990

1986
Explicit Solution of a General Consumption/Investment Problem.
Math. Oper. Res., 1986


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