Ioannis Karatzas

Publication Activity (10 Years)

Years Active: 1986-2021
Publications (10 Years): 2

Top Topics

Relative Entropy

Trading Strategies

Energy Functional

Top Venues

Finance Stochastics

Commun. Inf. Syst.

Publications

Ioannis Karatzas, Jan Maas, Walter Schachermayer
Trajectorial dissipation and gradient flow for the relative entropy in Markov chains. Commun. Inf. Syst. 21 (4) (2021)
Ioannis Karatzas, Johannes Ruf
Trading strategies generated by Lyapunov functions. Finance Stochastics 21 (3) (2017)
Athanasios N. Yannacopoulos, Nikolaos E. Frangos, Ioannis Karatzas
Wiener Chaos Solutions for Linear Backward Stochastic Evolution Equations. SIAM J. Math. Anal. 43 (1) (2011)
Nikolaos Englezos, Ioannis Karatzas
Utility Maximization with Habit Formation: Dynamic Programming and Stochastic PDEs. SIAM J. Control. Optim. 48 (2) (2009)
Ioannis Karatzas
Some Stochastic Control Problems in Mathematical Finance. ACC (2007)
Ioannis Karatzas, Constantinos Kardaras
The numéraire portfolio in semimartingale financial models. Finance Stochastics 11 (4) (2007)
Erhan Bayraktar, Savas Dayanik, Ioannis Karatzas
Adaptive Poisson disorder problem CoRR (2006)
Robert Fernholz, Ioannis Karatzas, Constantinos Kardaras
Diversity and relative arbitrage in equity markets. Finance Stochastics 9 (1) (2005)
Jérôme Detemple, Ioannis Karatzas
Non-addictive habits: optimal consumption-portfolio policies. J. Econ. Theory 113 (2) (2003)
Ioannis Karatzas, Hui Wang
Utility Maximization with Discretionary Stopping. SIAM J. Control. Optim. 39 (1) (2000)
Jaksa Cvitanic, Ioannis Karatzas
On dynamic measures of risk. Finance Stochastics 3 (4) (1999)
Ioannis Karatzas, S. G. Kou
Hedging American contingent claims with constrained portfolios. Finance Stochastics 2 (3) (1998)
Fridrik M. Baldursson, Ioannis Karatzas
Irreversible investment and industry equilibrium. Finance Stochastics 1 (1) (1996)
Ioannis Karatzas, Martin Shubik, William D. Sudderth
Construction of Stationary Markov Equilibria in a Strategic Market Game. Math. Oper. Res. 19 (4) (1994)
Ioannis Karatzas, John P. Lehoczky, Steven E. Shreve
Existence and Uniqueness of Multi-Agent Equilibrium in a Stochastic, Dynamic Consumption/Investment Model. Math. Oper. Res. 15 (1) (1990)
Ioannis Karatzas, John P. Lehoczky, Suresh P. Sethi, Steven E. Shreve
Explicit Solution of a General Consumption/Investment Problem. Math. Oper. Res. 11 (2) (1986)