Ioannis Karatzas
- Explicit Solution of a General Consumption/Investment Problem
1986/05/01 by Ioannis Karatzas, John P. Lehoczky, Suresh P. Sethi +1 · 4 citations
- The numeraire portfolio in semimartingale financial models
2008/03/13 by Ioannis Karatzas, Constantinos Kardaras, Karatzas, Ioannis +1 · 5 citations
Decision Sciences · Economics, Econometrics and Finance · #60H05 #60H30 #91B28 #FOS: Economics and business #FOS: Mathematics #Financial Markets and Investment Strategies #Optimization and Control (math.OC) #Pricing of Securities (q-fin.PR) #Probability (math.PR) #Risk and Portfolio Optimization #Stochastic processes and financial applications
- Martingale and Duality Methods for Utility Maximization in an Incomplete Market
1991/05/01 by Ioannis Karatzas, John P. Lehoczky, Steven E. Shreve +1 · 1 citation
- Bayesian sequential least-squares estimation for the drift of a Wiener\n process
2019/01/16 by Erik Ekström, Ioannis Karatzas, Ekström, Erik +3 · 1 citation
Mathematics · Decision Sciences · Health Professions · #Statistical Methods and Inference #Advanced Statistical Process Monitoring #Healthcare Operations and Scheduling Optimization
- A trajectorial approach to the gradient flow properties of Langevin-Smoluchowski diffusions
2020/08/20 by Ioannis Karatzas, Walter Schachermayer, Karatzas, Ioannis +3 · 1 citation
Physics and Astronomy · Mathematics · #Statistical Mechanics and Entropy #Markov Chains and Monte Carlo Methods #Geometric Analysis and Curvature Flows
- A Weak Law of Large Numbers for Dependent Random Variables
2022/04/22 by Ioannis Karatzas, Karatzas, Ioannis, Walter Schachermayer +1 · 1 citation
Decision Sciences · Economics, Econometrics and Finance · #Probability and Risk Models #Credit Risk and Financial Regulations
- Semimartingales on Rays, Walsh Diffusions, and Related Problems of Control and Stopping
2016/03/10 by Ioannis Karatzas, Karatzas, Ioannis, Minghan Yan +1 · 1 citation
Economics, Econometrics and Finance · Mathematics · Decision Sciences · #Stochastic processes and financial applications #Stochastic processes and statistical mechanics #Probability and Risk Models
- Pathwise Portfolio Theory and Market Viability
2026/07/21 by Ioannis Karatzas, Donghan Kim · 1 voice
#q-fin.MF
- Folding representations of reflected diffusions
2026/07/30 by David Itkin, Ioannis Karatzas
Mathematics · #math.PR #msc:60H10 #msc:60J60 #msc:60J65