E-LIB Suche - Ergebnisse für: Karatzas, Ioannis

1

Bayesian sequential least-squares estimation for the drift ..:

Ekström, Erik ; Karatzas, Ioannis ; Vaicenavicius, Juozas
Stochastic Processes and their Applications. 145 (2022) - p. 335-352 , 2022

Link: https://doi.org/10.1016/..

2

A Variational Characterization of Langevin-Smoluchowski Dif..:

, In: Stochastic Analysis, Filtering, and Stochastic Optimization,

Karatzas, Ioannis ; Tschiderer, Bertram - p. 239-265 , 2022

Link: https://doi.org/10.1007/..

3

Open markets:

Karatzas, Ioannis ; Kim, Donghan
Mathematical Finance. 31 (2020) 4 - p. 1111-1161 , 2020

Link: https://doi.org/10.1111/..

4

Semimartingales on rays, Walsh diffusions, and related prob..:

Karatzas, Ioannis ; Yan, Minghan
Stochastic Processes and their Applications. 129 (2019) 6 - p. 1921-1963 , 2019

Link: https://doi.org/10.1016/..

5

Trading strategies generated pathwise by functions of marke..:

Karatzas, Ioannis ; Kim, Donghan
Finance and Stochastics. 24 (2019) 2 - p. 423-463 , 2019

Link: https://doi.org/10.1007/..

6

VOLATILITY AND ARBITRAGE:

Fernholz, E. Robert ; Karatzas, Ioannis ; Ruf, Johannes
The Annals of Applied Probability. 28 (2018) 1 - p. 378-417 , 2018

Link: https://www.jstor.org/st..

7

Trading strategies generated by Lyapunov functions:

Karatzas, Ioannis ; Ruf, Johannes
Finance and Stochastics. 21 (2017) 3 - p. 753-787 , 2017

Link: https://doi.org/10.1007/..

8

DIVERSE MARKET MODELS OF COMPETING BROWNIAN PARTICLES WITH ..:

Karatzas, Ioannis ; Sarantsev, Andrey
The Annals of Applied Probability. 26 (2016) 3 - p. 1329-1361 , 2016

Link: http://www.jstor.org/sta..

9

Diversity-weighted portfolios with negative parameter:

Vervuurt, Alexander ; Karatzas, Ioannis
Annals of Finance. 11 (2015) 3-4 - p. 411-432 , 2015

Link: https://doi.org/10.1007/..

10

Distribution of the time to explosion for one-dimensional d..:

Karatzas, Ioannis ; Ruf, Johannes
Probability Theory and Related Fields. 164 (2015) 3-4 - p. 1027-1069 , 2015

Link: https://doi.org/10.1007/..

11

Impulse control of a diffusion with a change point:

Abbas-Turki, Lokman A. ; Karatzas, Ioannis ; Li, Qinghua
Stochastics. 87 (2014) 3 - p. 382-408 , 2014

Link: https://doi.org/10.1080/..

12

Inflationary equilibrium in a stochastic economy with indep..:

Geanakoplos, John ; Karatzas, Ioannis ; Shubik, Martin.
Journal of Mathematical Economics. 52 (2014) - p. 1-11 , 2014

Link: https://doi.org/10.1016/..

13

Two Brownian particles with rank-based characteristics and ..:

Fernholz, E. Robert ; Ichiba, Tomoyuki ; Karatzas, Ioannis
Stochastic Processes and their Applications. 123 (2013) 8 - p. 2999-3026 , 2013

Link: https://doi.org/10.1016/..

14

Diffusions with rank-based characteristics and values in th..:

ICHIBA, TOMOYUKI ; KARATZAS, IOANNIS ; PROKAJ, VILMOS
Bernoulli. 19 (2013) 5B - p. 2455-2493 , 2013

Link: https://www.jstor.org/st..

15

Diffusions with rank-based characteristics and values in th..:

ICHIBA, TOMOYUKI ; KARATZAS, IOANNIS ; PROKAJ, VILMOS
Bernoulli. 19 (2013) 5B - p. 2455-2493 , 2013

Link: http://dx.doi.org/10.315..