Publications (24)
On collisions of Brownian particles
Tomoyuki Ichiba, Ioannis Karatzas
Distribution of the time to explosion for one-dimensional diffusions
Ioannis Karatzas, Johannes Ruf
Martingale approach to stochastic differential games of control and stopping
Ioannis Karatzas, Ingrid-Mona Zamfirescu
Planar Diffusions with Rank-Based Characteristics: Transition Probabilities, Time Reversal, Maximality and Perturbed Tanaka equations
E. Robert Fernholz, Tomoyuki Ichiba, Ioannis Karatzas +1
Optimal Stopping for Dynamic Convex Risk Measures
Erhan Bayraktar, Ioannis Karatzas, Song Yao
Atlas models of equity markets
Adrian D. Banner, Robert Fernholz, Ioannis Karatzas
Impulse Control of a Diffusion with a Change Point
Lokman A. Abbas-Turki, Ioannis Karatzas, Qinghua Li
Skew-Unfolding the Skorokhod Reflection of a Continuous Semimartingale
Tomoyuki Ichiba, Ioannis Karatzas
Diversity and relative arbitrage in equity markets
Robert Fernholz, Ioannis Karatzas, Constantinos Kardaras
A second-order stock market model
Robert Fernholz, Tomoyuki Ichiba, Ioannis Karatzas
Systems of Brownian particles with asymmetric collisions
Ioannis Karatzas, Soumik Pal, Mykhaylo Shkolnikov
On optimal arbitrage
Daniel Fernholz, Ioannis Karatzas
Diffusions with rank-based characteristics and values in the nonnegative quadrant
Tomoyuki Ichiba, Ioannis Karatzas, Vilmos Prokaj
Hybrid Atlas models
Tomoyuki Ichiba, Vassilios Papathanakos, Adrian Banner +2
Optimal consumption from investment and random endowment in incomplete semimartingale markets
Ioannis Karatzas, Gordan Zitkovic
Optimal arbitrage under model uncertainty
Daniel Fernholz, Ioannis Karatzas
On the one-sided Tanaka equation with drift
Ioannis Karatzas, Albert N. Shiryaev, Mykhaylo Shkolnikov
Adaptive Poisson disorder problem
Erhan Bayraktar, Savas Dayanik, Ioannis Karatzas
Optional Decomposition for continuous semimartingales under arbitrary filtrations
Ioannis Karatzas, Constantinos Kardaras
Strong solutions of stochastic equations with rank-based coefficients
Tomoyuki Ichiba, Ioannis Karatzas, Mykhaylo Shkolnikov
Testing composite hypotheses via convex duality
Birgit Rudloff, Ioannis Karatzas
Time-reversal of reflected Brownian motions in the orthant
Mykhaylo Shkolnikov, Ioannis Karatzas
Two Brownian Particles with Rank-Based Characteristics and Skew-Elastic Collisions
E. Robert Fernholz, Tomoyuki Ichiba, Ioannis Karatzas
The numeraire portfolio in semimartingale financial models
Ioannis Karatzas, Constantinos Kardaras