| Year |
Citation |
Score |
| 2020 |
Karatzas I, Kim D. Trading Strategies Generated Pathwise by Functions of Market Weights Finance and Stochastics. 24: 423-463. DOI: 10.1007/S00780-019-00414-2 |
0.347 |
|
| 2019 |
Ekström E, Karatzas I, Vaicenavicius J. Bayesian sequential least-squares estimation for the drift of a Wiener process Stochastic Processes and Their Applications. DOI: 10.1016/J.Spa.2019.09.006 |
0.376 |
|
| 2019 |
Karatzas I, Yan M. Semimartingales on rays, Walsh diffusions, and related problems of control and stopping Stochastic Processes and Their Applications. 129: 1921-1963. DOI: 10.1016/J.Spa.2018.06.012 |
0.424 |
|
| 2018 |
Fernholz ER, Karatzas I, Ruf J. Volatility and Arbitrage Annals of Applied Probability. 28: 378-417. DOI: 10.1214/17-Aap1308 |
0.708 |
|
| 2018 |
Ichiba T, Karatzas I, Prokaj V, Yan M. Stochastic integral equations for Walsh semimartingales Annales De L Institut Henri Poincare-Probabilites Et Statistiques. 54: 726-756. DOI: 10.1214/16-Aihp819 |
0.643 |
|
| 2017 |
Karatzas I, Ruf J. Trading Strategies Generated by Lyapunov Functions Finance and Stochastics. 21: 753-787. DOI: 10.1007/S00780-017-0332-8 |
0.728 |
|
| 2016 |
Karatzas I, Sarantsev A. Diverse market models of competing Brownian particles with splits and mergers Annals of Applied Probability. 26: 1329-1361. DOI: 10.1214/15-Aap1118 |
0.351 |
|
| 2016 |
Karatzas I, Ruf J. Pathwise Solvability Of Stochastic Integral Equations With Generalized Drift And Non-Smooth Dispersion Functions Annales De L Institut Henri Poincare-Probabilites Et Statistiques. 52: 915-938. DOI: 10.1214/14-Aihp660 |
0.728 |
|
| 2016 |
Karatzas I, Pal S, Shkolnikov M. Systems of Brownian particles with asymmetric collisions Annales De L'Institut Henri Poincare (B) Probability and Statistics. 52: 323-354. DOI: 10.1214/14-Aihp646 |
0.521 |
|
| 2016 |
Karatzas I, Ruf J. Distribution of the time to explosion for one-dimensional diffusions Probability Theory and Related Fields. 164: 1027-1069. DOI: 10.1007/S00440-015-0625-9 |
0.736 |
|
| 2015 |
Abbas-Turki LA, Karatzas I, Li Q. Impulse control of a diffusion with a change point Stochastics. 87: 382-408. DOI: 10.1080/17442508.2014.956458 |
0.593 |
|
| 2015 |
Vervuurt A, Karatzas I. Diversity-weighted portfolios with negative parameter Annals of Finance. 11: 411-432. DOI: 10.1007/S10436-015-0263-3 |
0.324 |
|
| 2014 |
Geanakoplos J, Karatzas I, Shubik M, Sudderth WD. Inflationary equilibrium in a stochastic economy with independent agents Journal of Mathematical Economics. 52: 1-11. DOI: 10.2139/Ssrn.1421985 |
0.35 |
|
| 2014 |
Ichiba T, Karatzas I. Skew-unfolding the skorokhod reflection of a continuous semimartingale Springer Proceedings in Mathematics and Statistics. 100: 349-376. DOI: 10.1007/978-3-319-11292-3_13 |
0.607 |
|
| 2013 |
Ichiba T, Karatzas I, Prokaj V. Diffusions with rank-based characteristics and values in the nonnegative quadrant Bernoulli. 19: 2455-2493. DOI: 10.3150/12-Bej459 |
0.636 |
|
| 2013 |
Fernholz ER, Ichiba T, Karatzas I. Two Brownian particles with rank-based characteristics and skew-elastic collisions Stochastic Processes and Their Applications. 123: 2999-3026. DOI: 10.1016/J.Spa.2013.03.019 |
0.62 |
|
| 2013 |
Fernholz R, Ichiba T, Karatzas I. A second-order stock market model Annals of Finance. 9: 439-454. DOI: 10.1007/S10436-012-0193-2 |
0.586 |
|
| 2013 |
Fernholz ER, Ichiba T, Karatzas I, Prokaj V. Planar diffusions with rank-based characteristics and perturbed Tanaka equations Probability Theory and Related Fields. 156: 343-374. DOI: 10.1007/S00440-012-0430-7 |
0.614 |
|
| 2013 |
Ichiba T, Karatzas I, Shkolnikov M. Strong solutions of stochastic equations with rank-based coefficients Probability Theory and Related Fields. 156: 229-248. DOI: 10.1007/S00440-012-0426-3 |
0.63 |
|
| 2011 |
Karatzas I, Shiryaev AN, Shkolnikov M. On the one-sided Tanaka equation with drift Electronic Communications in Probability. 16: 664-677. DOI: 10.1214/Ecp.V16-1665 |
0.363 |
|
| 2011 |
Fernholz D, Karatzas I. Optimal arbitrage under model uncertainty Annals of Applied Probability. 21: 2191-2225. DOI: 10.1214/10-Aap755 |
0.476 |
|
| 2011 |
Ichiba T, Papathanakos V, Banner A, Karatzas I, Fernholz R. Hybrid atlas models Annals of Applied Probability. 21: 609-644. DOI: 10.1214/10-Aap706 |
0.624 |
|
| 2011 |
Karatzas I, Shubik M, Sudderth WD. Financial control of a competitive economy with public goods but without randomness Journal of Public Economic Theory. 13: 503-537. DOI: 10.1111/J.1467-9779.2011.01511.X |
0.308 |
|
| 2010 |
Rudloff B, Karatzas I. Testing composite hypotheses via convex duality Bernoulli. 16: 1224-1239. DOI: 10.3150/10-Bej249 |
0.357 |
|
| 2010 |
Bayraktar E, Karatzas I, Yao S. Optimal stopping for dynamic convex risk measures Illinois Journal of Mathematics. 54: 1025-1067. DOI: 10.1215/Ijm/1336049984 |
0.372 |
|
| 2010 |
Fernholz D, Karatzas I. On optimal arbitrage Annals of Applied Probability. 20: 1179-1204. DOI: 10.1214/09-Aap642 |
0.398 |
|
| 2010 |
Ichiba T, Karatzas I. On collisions of brownian particles Annals of Applied Probability. 20: 951-977. DOI: 10.1214/09-Aap641 |
0.596 |
|
| 2010 |
Karatzas I, Sudderth WD. Two characterizations of optimality in dynamic programming Applied Mathematics and Optimization. 61: 421-434. DOI: 10.1007/S00245-009-9093-X |
0.376 |
|
| 2009 |
Englezos N, Karatzas I. Utility maximization with habit formation: Dynamic programming and stochastic PDEs Siam Journal On Control and Optimization. 48: 481-520. DOI: 10.1137/070686998 |
0.46 |
|
| 2009 |
Karatzas I, Fernholz R. Stochastic Portfolio Theory: an Overview Handbook of Numerical Analysis. 15: 89-167. DOI: 10.1016/S1570-8659(08)00003-3 |
0.353 |
|
| 2008 |
Karatzas I, Zamfirescu IM. Martingale approach to stochastic differential games of control and stopping Annals of Probability. 36: 1495-1527. DOI: 10.1214/07-Aop367 |
0.729 |
|
| 2007 |
Karatzas I, Kardaras C. The numéraire portfolio in semimartingale financial models Finance and Stochastics. 11: 447-493. DOI: 10.1007/S00780-007-0047-3 |
0.379 |
|
| 2006 |
Bayraktar E, Dayanik S, Karatzas I. Adaptive poisson disorder problem Annals of Applied Probability. 16: 1190-1261. DOI: 10.1214/105051606000000312 |
0.731 |
|
| 2006 |
Fernholz R, Karatzas I. The implied liquidity premium for equities Annals of Finance. 2: 87-99. DOI: 10.1007/S10436-005-0026-7 |
0.305 |
|
| 2006 |
Karatzas I, Zamfirescu IM. Martingale approach to stochastic control with discretionary stopping Applied Mathematics and Optimization. 53: 163-184. DOI: 10.1007/S00245-005-0841-2 |
0.736 |
|
| 2006 |
Karatzas I, Shubik M, Sudderth WD, Geanakoplos J. The inflationary bias of real uncertainty and the harmonic Fisher equation Economic Theory. 28: 481-512. DOI: 10.1007/S00199-005-0648-Z |
0.349 |
|
| 2005 |
Banner AD, Fernholz R, Karatzas I. Atlas models of equity markets Annals of Applied Probability. 15: 2296-2330. DOI: 10.1214/105051605000000449 |
0.316 |
|
| 2005 |
Karatzas I, Zamfirescu I. Game approach to the optimal stopping problem Stochastics An International Journal of Probability and Stochastic Processes. 77: 401-435. DOI: 10.1080/17442500500219885 |
0.411 |
|
| 2005 |
Bayraktar E, Dayanik S, Karatzas I. The standard Poisson disorder problem revisited Stochastic Processes and Their Applications. 115: 1437-1450. DOI: 10.1016/J.Spa.2005.04.011 |
0.714 |
|
| 2005 |
Fernholz R, Karatzas I. Relative arbitrage in volatility-stabilized markets Annals of Finance. 1: 149-177. DOI: 10.1007/S10436-004-0011-6 |
0.331 |
|
| 2005 |
Fernholz R, Karatzas I, Kardaras C. Diversity and relative arbitrage in equity markets Finance and Stochastics. 9: 1-27. DOI: 10.1007/S00780-004-0129-4 |
0.336 |
|
| 2004 |
Benes VE, Karatzas I, Ocone D, Wang H. Control with partial observations and an explicit solution of Mortensen's equation Applied Mathematics and Optimization. 49: 217-239. DOI: 10.1007/S00245-003-0788-0 |
0.762 |
|
| 2003 |
Karatzas I, Žitković G. Optimal consumption from investment and random endowment in incomplete semimartingale markets Annals of Probability. 31: 1821-1858. DOI: 10.1214/Aop/1068646367 |
0.411 |
|
| 2003 |
Dayanik S, Karatzas I. On the optimal stopping problem for one-dimensional diffusions Stochastic Processes and Their Applications. 107: 173-212. DOI: 10.1016/S0304-4149(03)00076-0 |
0.748 |
|
| 2003 |
Detemple JB, Karatzas I. Non-addictive habits: Optimal consumption-portfolio policies Journal of Economic Theory. 113: 265-285. DOI: 10.1016/S0022-0531(03)00099-1 |
0.673 |
|
| 2002 |
Karatzas I, Ocone D. A leavable bounded-velocity stochastic control problem Stochastic Processes and Their Applications. 99: 31-51. DOI: 10.1016/S0304-4149(01)00157-0 |
0.447 |
|
| 2002 |
Karatzas I, Shubik M, Sudderth W. A stochastic overlapping generations economy with inheritance Journal of Economics/ Zeitschrift Fur Nationalokonomie. 77: 207-240. DOI: 10.1007/S00712-002-0545-X |
0.339 |
|
| 2001 |
Cvitanić J, Karatzas I. Generalized Neyman-Pearson lemma via convex duality Bernoulli. 7: 79-97. DOI: 10.2307/3318603 |
0.333 |
|
| 2000 |
Karatzas I, Wang H. Utility maximization with discretionary stopping Siam Journal On Control and Optimization. 39: 306-329. DOI: 10.1137/S0363012998346323 |
0.442 |
|
| 2000 |
Karatzas I, Ocone D, Wang H, Zervos M. Finite-Fuel Singular Control With Discretionary Stopping Stochastics and Stochastics Reports. 71: 1-50. DOI: 10.1080/17442500008834257 |
0.4 |
|
| 2000 |
Geanakoplos J, Karatzas I, Shubik M, Sudderth W. A strategic market game with active bankruptcy Journal of Mathematical Economics. 34: 359-396. DOI: 10.1016/S0304-4068(00)00038-0 |
0.423 |
|
| 2000 |
Karatzas I, Wang H. A barrier option of American type Applied Mathematics and Optimization. 42: 259-279. DOI: 10.1007/S002450010013 |
0.431 |
|
| 1999 |
Karatzas I, Sudderth WD. Control and stopping of a diffusion process on an interval Annals of Applied Probability. 9: 188-196. DOI: 10.1214/Aoap/1029962601 |
0.315 |
|
| 1998 |
Cvitanić J, Karatzas I, Soner HM. Backward stochastic differential equations with constraints on the gains-process Annals of Probability. 26: 1522-1551. DOI: 10.1214/Aop/1022855872 |
0.433 |
|
| 1998 |
Karatzas I, Kou S. Hedging American contingent claims with constrained portfolios Finance and Stochastics. 2: 215-258. DOI: 10.1007/S007800050039 |
0.393 |
|
| 1998 |
Karoui NE, Karatzas I. Probabilistic aspects of finite-fuel, reflected follower problems Acta Applicandae Mathematicae. 11: 223-258. DOI: 10.1007/Bf00140120 |
0.44 |
|
| 1997 |
Karatzas I, Shubik M, Sudderth WD. A strategic market game with secured lending Journal of Mathematical Economics. 28: 207-247. DOI: 10.1016/S0304-4068(97)00796-9 |
0.413 |
|
| 1996 |
Pikovsky I, Karatzas I. Anticipative portfolio optimization Advances in Applied Probability. 28: 1095-1122. DOI: 10.2307/1428166 |
0.432 |
|
| 1996 |
Cvitanić J, Karatzas I. Backward stochastic differential equations with reflection and Dynkin games Annals of Probability. 24: 2024-2056. DOI: 10.1214/Aop/1041903216 |
0.455 |
|
| 1996 |
Karatzas I, Kou SG. On the pricing of contingent claims under constraints Annals of Applied Probability. 6: 321-369. DOI: 10.1214/Aoap/1034968135 |
0.368 |
|
| 1996 |
Cvitanić J, Karatzas I. Hedging and portfolio optimization under transaction costs: A martingale approach Mathematical Finance. 6: 133-165. DOI: 10.1111/J.1467-9965.1996.Tb00075.X |
0.459 |
|
| 1996 |
Baldursson FM, Karatzas I. Irreversible investment and industry equilibrium Finance and Stochastics. 1: 69-89. DOI: 10.1007/S007800050017 |
0.406 |
|
| 1995 |
Cadenillas A, Karatzas I. Stochastic maximum principle for linear, convex optimal control with random coefficients Siam Journal On Control and Optimization. 33: 590-624. DOI: 10.1137/S0363012992240722 |
0.493 |
|
| 1994 |
Karatzas I, Shubik M, Sudderth WD. Construction of stationary Markov equilibria in a strategic market game Mathematics of Operations Research. 19: 975-1006. DOI: 10.1287/Moor.19.4.975 |
0.391 |
|
| 1994 |
Karoui NE, Karatzas I. Dynamic Allocation Problems in Continuous Time Annals of Applied Probability. 4: 255-286. DOI: 10.1214/Aoap/1177005062 |
0.35 |
|
| 1994 |
Cadenillas A, Karatzas I. Necessary and sufficient conditions for the optimal control of systems with random coefficients Proceedings of the Ieee Conference On Decision and Control. 1: 501-506. |
0.39 |
|
| 1993 |
Cvitanic J, Karatzas I. Hedging Contingent Claims with Constrained Portfolios Annals of Applied Probability. 3: 652-681. DOI: 10.1214/Aoap/1177005357 |
0.382 |
|
| 1993 |
Karatzas I, Ocone DL. The finite-horizon version for a partially-observed stochastic control problem of beneš & rishel Stochastic Analysis and Applications. 11: 569-605. DOI: 10.1080/07362999308809332 |
0.4 |
|
| 1992 |
Karatzas I, Ocone DL. The Resolvent of a Degenerate Diffusion on the Plane, with Application to Partially Observed Stochastic Control Annals of Applied Probability. 2: 629-668. DOI: 10.1214/Aoap/1177005653 |
0.345 |
|
| 1992 |
Cvitanić J, Karatzas I. Convex Duality in Constrained Portfolio Optimization Annals of Applied Probability. 2: 767-818. DOI: 10.1214/Aoap/1177005576 |
0.468 |
|
| 1991 |
Karatzas I, Lehoczky JP, Shreve SE, Xu GL. Martingale and duality methods for utility maximization in an incomplete market Siam Journal On Control and Optimization. 29: 702-730. DOI: 10.1137/0329039 |
0.403 |
|
| 1991 |
Karatzas I, Lehoczky JP, Shreve SE. Equilibrium Models With Singular Asset Prices Mathematical Finance. 1: 11-29. DOI: 10.1111/J.1467-9965.1991.Tb00013.X |
0.371 |
|
| 1991 |
Karatzas I, Xue X. A Note On Utility Maximization Under Partial Observations Mathematical Finance. 1: 57-70. DOI: 10.1111/J.1467-9965.1991.Tb00009.X |
0.388 |
|
| 1991 |
Ocone DL, Karatzas I. A generalized clark representation formula, with application to optimal portfolios Stochastics and Stochastics Reports. 34: 187-220. DOI: 10.1080/17442509108833682 |
0.361 |
|
| 1991 |
Karoui NE, Karatzas I. A new approach to the skorohod problem, and its applications Stochastics and Stochastics Reports. 34: 57-82. DOI: 10.1080/17442509108833675 |
0.43 |
|
| 1990 |
Karatzas I, Lehoczky JP, Shreve SE. Existence and Uniqueness of Multi-Agent Equilibrium in a Stochastic, Dynamic Consumption/Investment Model Mathematics of Operations Research. 15: 80-128. DOI: 10.1287/Moor.15.1.80 |
0.367 |
|
| 1990 |
Karatzas I, Lehoczky JP, Shreve SE, Xu G. Optimality conditions for utility maximization in an incomplete market Lecture Notes in Control and Information Sciences. 144: 3-23. DOI: 10.1007/Bfb0120024 |
0.387 |
|
| 1989 |
Karatzas I. Optimization problems in the theory of continuous trading Siam Journal On Control and Optimization. 27: 1221-1259. DOI: 10.1137/0327063 |
0.433 |
|
| 1988 |
Karatzas I. On the pricing of American options Applied Mathematics & Optimization. 17: 37-60. DOI: 10.1007/Bf01448358 |
0.318 |
|
| 1987 |
Karatzas I, Lehoczky JP, Shreve SE. OPTIMAL PORTFOLIO AND CONSUMPTION DECISIONS FOR A 'SMALL INVESTOR' ON A FINITE HORIZON Siam Journal On Control and Optimization. 25: 1557-1586. DOI: 10.1137/0325086 |
0.424 |
|
| 1986 |
Karatzas I, Lehoczky JP, Sethi SP, Shreve SE. Explicit Solution of a General Consumption/Investment Problem Mathematics of Operations Research. 11: 261-294. DOI: 10.1287/Moor.11.2.261 |
0.426 |
|
| 1986 |
Karatzas I, Shreve SE. Equivalent models for finite-fuel stochastic control Stochastics An International Journal of Probability and Stochastic Processes. 18: 245-276. DOI: 10.1080/17442508608833410 |
0.406 |
|
| 1985 |
Karatzas I. Probabilistic aspects of finite-fuel stochastic control Proceedings of the National Academy of Sciences of the United States of America. 82: 5579-5581. PMID 16593593 DOI: 10.1073/Pnas.82.17.5579 |
0.407 |
|
| 1985 |
Karatzas I, Shreve SE. CONNECTIONS BETWEEN OPTIMAL STOPPING AND SINGULAR STOCHASTIC CONTROL II. REFLECTED FOLLOWER PROBLEMS Siam Journal On Control and Optimization. 23: 433-451. DOI: 10.1137/0323028 |
0.433 |
|
| 1985 |
Cox RM, Karatzas I. Stationary Control Of Brownian Motion In Several Dimensions Advances in Applied Probability. 17: 137-139. DOI: 10.1007/Bfb0041156 |
0.361 |
|
| 1984 |
Karatzas I. Gittins Indices in the Dynamic Allocation Problem for Diffusion Processes Annals of Probability. 12: 173-192. DOI: 10.1214/Aop/1176993381 |
0.355 |
|
| 1984 |
Karatzas I, Shreve SE. Trivariate Density of Brownian Motion, Its Local and Occupation Times, with Application to Stochastic Control Annals of Probability. 12: 819-828. DOI: 10.1214/Aop/1176993230 |
0.309 |
|
| 1984 |
Karatzas I, Shreve SE. CONNECTIONS BETWEEN OPTIMAL STOPPING AND SINGULAR STOCHASTIC CONTROL. I. MONOTONE FOLLOWER PROBLEMS Siam Journal On Control and Optimization. 22: 856-877. DOI: 10.1137/0322054 |
0.435 |
|
| 1984 |
Benes VE, Karatzas I. FILTERING OF DIFFUSIONS CONTROLLED THROUGH THEIR CONDITIONAL MEASURES Stochastics. 13: 1-23. DOI: 10.1080/17442508408833308 |
0.752 |
|
| 1984 |
Karatzas I, Shreve SE. Connections Between Optimal Stopping and Stochastic Control II: Bounded-Variation Follower Problems Advances in Applied Probability. 16: 16-16. DOI: 10.1017/S0001867800022072 |
0.415 |
|
| 1983 |
Beneš VE, Karatzas I. On the Relation of Zakai’s and Mortensen’s Equations Siam Journal On Control and Optimization. 21: 472-489. DOI: 10.1137/0321029 |
0.445 |
|
| 1983 |
Beneš VE, Karatzas I. Estimation and control for linear, partially observable systems with non-gaussian initial distribution Stochastic Processes and Their Applications. 14: 233-248. DOI: 10.1016/0304-4149(83)90002-9 |
0.302 |
|
| 1983 |
Karatzas I. A class of singular stochastic control problems Advances in Applied Probability. 15: 312-319. DOI: 10.1007/Bfb0044311 |
0.455 |
|
| 1983 |
Benes VE, Karatzas I. ON THE RELATION OF ZAKAI'S AND MORTENSEN'S EQUATIONS Siam Journal On Control and Optimization. 21: 472-489. |
0.743 |
|
| 1982 |
Karatzas I. Diffusions with reflection on an orthant and associated initial-boundary value problems Advances in Applied Mathematics. 3: 417-429. DOI: 10.1016/S0196-8858(82)80014-6 |
0.424 |
|
| 1981 |
Beneš VE, Karatzas I. Optimal stationary linear control of the Wiener process Journal of Optimization Theory and Applications. 35: 611-633. DOI: 10.2307/1426561 |
0.433 |
|
| 1981 |
Karatzas I, Benes VE. DEGREE METHOD FOR FREE BOUNDARIES IN STOCHASTIC CONTROL Siam Journal On Control and Optimization. 19: 283-332. DOI: 10.1137/0319019 |
0.42 |
|
| 1981 |
Karatzas I. Certain convexity questions in stochastic optimization Systems and Control Letters. 1: 105-107. DOI: 10.1016/S0167-6911(81)80045-X |
0.346 |
|
| 1981 |
Karatzas I. The monotone follower problem in stochastic decision theory Applied Mathematics & Optimization. 7: 175-189. DOI: 10.1007/Bf01442115 |
0.374 |
|
| 1981 |
Benes VE, Karatzas I. FILTERING FOR PIECEWISE LINEAR DRIFT AND OBSERVATION Proceedings of the Ieee Conference On Decision and Control. 2: 583-589. |
0.661 |
|
| 1981 |
Benes VE, Karatzas I. EXAMPLES OF OPTIMAL CONTROL FOR PARTIALLY OBSERVABLE SYSTEMS: COMPARISON, CLASSICAL, AND MARTINGALE METHODS Stochastics. 5: 43-64. |
0.758 |
|
| 1980 |
Karatzas I. ON A STOCHASTIC REPRESENTATION FOR THE PRINCIPAL EIGENVALUE OF A SECOND-ORDER DIFFERENTIAL EQUATION Stochastics. 3: 305-321. |
0.301 |
|
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