V.E. BENES &
V.E. BENES &
I. KARATZAS (1981) Filtering for
piecewise-linear drift and observation. Proc. 20th IEEE Conference on
Decision & Control
2, 583-589.
V.E. BENES &
I. KARATZAS (1983) On the relation between Zakai’s
and Mortensen’s equations.
V.E. BENES &
I. KARATZAS (1983) Estimation and control for
linear, partially observable systems with non-gaussian
initial distribution. Stochastic
Processes & Applications 14, 233-248.
I. KARATZAS (1983)
A class of singular stochastic control problems. Advances
in Applied Probability 15, 225 -254.
I. KARATZAS &
S.E. SHREVE (1984) Trivariate density
for Brownian motion, its local and occupation times, with application to
stochastic control. Annals of Probability 12, 856-877.
V.E. BENES & I. KARATZAS
(1984) Filtering of diffusions
controlled through their conditional measures. Stochastics 13, 1-23.
I. KARATZAS & S.E. SHREVE (1984/85) Connections between optimal stopping and
singular stochastic control: I, Monotone follower problems; II, Reflected
follower problems.
I. KARATZAS (1985) Probabilistic aspects of finite-fuel
stochastic control. Proceedings of the National
I. KARATZAS, J.P.
LEHOCZKY & S.E. SHREVE (1987) Optimal portfolio
and consumption decisions for a small investor on a finite time-horizon.
I. KARATZAS (1988)
On the pricing of American Options. Applied
Mathematics & Optimization 17,
37-60.
N. El
KAROUI &
D. OCONE & I.
KARATZAS (1991) A generalized Clark
representation formula, with applications to optimal portfolios. Stochastics 37, 187-220.
I.
KARATZAS, D.
OCONE & J. LI (1991) An extension of J.M.C. Clark’s formula. Stochastics 37, 127-131.
I.
KARATZAS, J.P.
LEHOCZKY, S.E. SHREVE & G.L. XU
(1991) Martingale and duality
methods for utility maximization in an incomplete market.
V.E. BENES, I. KARATZAS & R.W. RISHEL (1991) The separation
principle for a Bayesian adaptive control problem with no strict-sense optimal
law. Stochastics
Monographs 5, 121-156.
I.
KARATZAS, J.P.
LEHOCZKY & S.E. SHREVE (1991)
Equilibrium models
with singular asset-prices. Mathematical
Finance 1 (3), 11-29.
I.
KARATZAS, P.
LAKNER, J.P. LEHOCZKY & S.E. SHREVE
(1991) Dynamic
equilibrium in a simplified stochastic economy with heterogeneous agents. In Stochastic Analysis: Liber Amicorum for Moshe Zakai, 245-272. Academic Press.
J. CVITANIC &
I. KARATZAS & D.OCONE
(1992) The resolvent
of a degenerate diffusion on the plane, with applications. Annals of Applied Probability 2,
629-668.
N. El KAROUI &
J. CVITANIC &
M. DAVIS &
I.
KARATZAS, M.SHUBIK
& W.D. SUDDERTH
(1994) Stationary Markovian equilibrium for a strategic market game. Mathematics of Operations Research 19, 975-1006.
J. CVITANIC &
N. El KAROUI &
A. CADENILLAS & I. KARATZAS (1995) The maximum principle for linear convex
stochastic systems with random coefficients.
I. KARATZAS & S.G. KOU
(1996) On the pricing of contingent claims under
constraints. Annals of Applied Probability 6, 321-369.
J.
CVITANIC &
I. PIKOVSKY &
J. CVITANIC &
I.
KARATZAS, M. SHUBIK
& W.D. SUDDERTH (1997)
A strategic market
game with secured lending. Journal
of Mathematical Economics 28, 207-247.
I. KARATZAS (1997) Adaptive control of a
diffusion to a goal, and a parabolic Monge-Ampere-type
equation. Asian Journal of Mathematics 1, 295-313.
N. El
KAROUI &
F.M. BALDURSSON &
I. KARATZAS & S.G. KOU
(1998) Hedging American contingent
claims with constrained portfolios. Finance
& Stochastics 2, 215-258.
J.
CVITANIC,
J. CVITANIC &
I.
KARATZAS, D. OCONE, H.
WANG & M. ZERVOS
(2000) Finite-fuel singular
control with discretionary stopping.
Stochastics 71, 1-50.
J.
GEANAKOPLOS,
I. KARATZAS & H. WANG
(2000) A Barrier Option of
American type. Applied
Mathematics & Optimization 42, 259-280.
I. KARATZAS & W.D. SUDDERTH
(2001) The controller-and-stopper
game for a linear diffusion. Annals
of Probability 29, 1111-1127.
I. KARATZAS & H. WANG
(2001) Utility maximization with discretionary
stopping.
J. CVITANIC &
I. KARATZAS & H. WANG
(2001) Connections between
bounded-variation control and Dynkin games. In “Optimal Control and Partial
Differential Equations”; Volume in Honor of Professor Alain Bensoussan’s 60th Birthday
(J.L.Menaldi, A.Sulem and E.Rofman, eds.), pp.
353-362. IOS Press,
S. DAYANIK &
I. KARATZAS & G. ZITKOVIC
(2003) Optimal consumption from
investment and random endowment in incomplete semi-martingale markets. Annals of Probability 31,
1821-1858.
I. KARATZAS (2003) A note on Bayesian
sequential detection with expected miss
criterion. Statistics and Decisions 21, 3-13.
J. DETEMPLE & I. KARATZAS
(2003) Non-addictive habits: optimal
portfolio and consumption policies. Journal
of Economic Theory 113, 265-285.
Ch. HOU &
V.E.
BENES, I. KARATZAS, D. OCONE
& H. WANG (2004)
Control with
partial observations and explicit solution of Mortensen’s equation. Applied Mathematics & Optimi-zation 49,
217-240.
E.R.
FERNHOLZ, I.
KARATZAS & C. KARDARAS
(2005) Diversity and arbitrage in
financial markets. Finance & Stochastics 9, 1-27.
A.
BANNER, E.R. FERNHOLZ
& I. KARATZAS (2005)
Atlas models of
equity markets. Annals of Applied Probability 15,
2296-2330.
E.R.
FERNHOLZ &
E.
BAYRAKTAR, S. DAYANIK
&
I.
KARATZAS, M. SHUBIK, W.D. SUDDERTH & J. GEANAKOPLOS (2006)
The harmonic
Fisher equation and the inflationary bias of real uncertainty. Economic Theory 28, 481-512.
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