Ioannis Karatzas

According to our database, Ioannis Karatzas authored at least 16 papers between 1986 and 2021.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2021

Trajectorial dissipation and gradient flow for the relative entropy in Markov chains.

Ioannis Karatzas, Jan Maas, Walter Schachermayer

Commun. Inf. Syst., 2021

2017

Trading strategies generated by Lyapunov functions.

Ioannis Karatzas, Johannes Ruf

Finance Stochastics, 2017

2011

Wiener Chaos Solutions for Linear Backward Stochastic Evolution Equations.

Athanasios N. Yannacopoulos, Nikolaos E. Frangos, Ioannis Karatzas

SIAM J. Math. Anal., 2011

2009

Utility Maximization with Habit Formation: Dynamic Programming and Stochastic PDEs.

Nikolaos Englezos, Ioannis Karatzas

SIAM J. Control. Optim., 2009

2007

The numéraire portfolio in semimartingale financial models.

Ioannis Karatzas, Constantinos Kardaras

Finance Stochastics, 2007

Some Stochastic Control Problems in Mathematical Finance.

Ioannis Karatzas

Proceedings of the American Control Conference, 2007

2006

Adaptive Poisson disorder problem

Erhan Bayraktar, Savas Dayanik, Ioannis Karatzas

CoRR, 2006

2005

Diversity and relative arbitrage in equity markets.

Robert Fernholz, Ioannis Karatzas, Constantinos Kardaras

Finance Stochastics, 2005

2003

Non-addictive habits: optimal consumption-portfolio policies.

Jérôme Detemple, Ioannis Karatzas

J. Econ. Theory, 2003

2000

Utility Maximization with Discretionary Stopping.

Ioannis Karatzas, Hui Wang

SIAM J. Control. Optim., 2000

1999

On dynamic measures of risk.

Jaksa Cvitanic, Ioannis Karatzas

Finance Stochastics, 1999

1998

Hedging American contingent claims with constrained portfolios.

Ioannis Karatzas, S. G. Kou

Finance Stochastics, 1998

1996

Irreversible investment and industry equilibrium.

Fridrik M. Baldursson, Ioannis Karatzas

Finance Stochastics, 1996

1994

Construction of Stationary Markov Equilibria in a Strategic Market Game.

Ioannis Karatzas, Martin Shubik, William D. Sudderth

Math. Oper. Res., 1994

1990

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

Ioannis Karatzas, John P. Lehoczky, Steven E. Shreve

Math. Oper. Res., 1990

1986

Explicit Solution of a General Consumption/Investment Problem.

Ioannis Karatzas, John P. Lehoczky, Suresh P. Sethi, Steven E. Shreve

Math. Oper. Res., 1986