Steven E. Shreve

According to our database1, Steven E. Shreve authored at least 15 papers between 1979 and 2013.

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

Timeline

Legend:

Book 
In proceedings 
Article 
PhD thesis 
Other 

Links

On csauthors.net:

Bibliography

2013
Utility Maximization Trading Two Futures with Transaction Costs.
SIAM J. Financial Math., 2013

2011
Optimal Execution in a General One-Sided Limit-Order Book.
SIAM J. Financial Math., 2011

2006
A Two-Person Game for Pricing Convertible Bonds.
SIAM J. Control. Optim., 2006

2005
Satisfying convex risk limits by trading.
Finance Stochastics, 2005

2004
Perpetual Convertible Bonds.
SIAM J. Control. Optim., 2004

Asymptotic analysis for optimal investment and consumption with transaction costs.
Finance Stochastics, 2004

Editorial.
Finance Stochastics, 2004

2003
Second order approximation for the customer time in queue distribution under the FIFO service discipline.
Ann. UMCS Informatica, 2003

2002
Valuation of exotic options under shortselling constraints.
Finance Stochastics, 2002

2001
Editorial.
Finance Stochastics, 2001

2000
Options on a traded account: Vacation calls, vacation puts and passport options.
Finance Stochastics, 2000

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

1983
Optimal Consumption and Investment Policies Allowing Consumption Constraints and Bankruptcy.
Math. Oper. Res., 1983

1979
Universally Measurable Policies in Dynamic Programming.
Math. Oper. Res., 1979


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