Karatzas, Ioannis - Departments of Mathematics & Statistics, Columbia University

• Columbia University in the City of New York | New York, N.Y. 10027 DEPARTMENT OF MATHEMATICS 508 Mathematics Building
• Two Characterizations of Optimality in Dynamic Programming
• SYNCHRONIZATION AND OPTIMALITY FOR MULTI-ARMED BANDIT PROBLEMS IN CONTINUOUS TIME
• Optimal Stopping under Model Uncertainty Ingrid-Mona Zamfirescu
• Submitted to the Annals of Applied Probability ADAPTIVE POISSON DISORDER PROBLEM
• Columbia University in the City of New York | New York, N.Y. 10027 DEPARTMENT OF MATHEMATICS 508 Mathematics Building
• THE NUMERAIRE PORTFOLIO IN SEMIMARTINGALE FINANCIAL MODELS
• HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH
• A NOTE ON BAYESIAN DETECTION OF CHANGE-POINTS WITH AN EXPECTED MISS CRITERION *
• HEDGING AMERICAN CONTINGENT CLAIMS WITH CONSTRAINED PORTFOLIOS
• A BARRIER OPTION OF AMERICAN TYPE IOANNIS KARATZAS
• arXiv:0810.2149v1[math.PR]13Oct2008 ON COLLISIONS OF BROWNIAN PARTICLES
• PROBABILITY SEMINAR The Probability Seminar takes place Fridays from 11:00 to 12:00
• Biographical Synopsis Ioannis Karatzas studied at the Ionideion Gymnaseion in Piraeus (Bacc. 1970), at the
• Columbia University in the City of New York | New York, N.Y. 10027 DEPARTMENT OF MATHEMATICS 508 Mathematics Building
• Contributions to the Theory of Optimal Stopping for OneDimensional Diffusions
• OPTIMAL CONSUMPTION FROM INVESTMENT AND RANDOM ENDOWMENT IN INCOMPLETE SEMIMARTINGALE MARKETS
• Aspects Of Utility Maximization With Habit Formation
• A TUTORIAL INTRODUCTION TO STOCHASTIC ANALYSIS AND ITS APPLICATIONS
• TA3 = 1O:OO FILTERING FOR PIECEWISE LINEAR DRIFT AND OBSERVATION
• Appl Math Optim 17:37-60(1988) Applied Mathematics
• Mathematical Finance. Vol. I , No. 3 (July 1991), I 1 -29 EQUILIBRIUM MODELS WITH SINGULAR
• On the Pricing of Contingent Claims under Constraints I. KARATZAS
• Finance Stochast. 1, 6989 (1997) c Springer-Verlag 1997
• A STRATEGIC MARKET GAME WITH ACTIVE BANKRUPTCY
• UTILITY MAXIMIZATION WITH DISCRETIONARY STOPPING IOANNIS KARATZAS
• GENERALIZED NEYMAN-PEARSON LEMMA VIA CONVEX DUALITY
• CONNECTIONS BETWEEN BOUNDED-VARIATION CONTROL AND DYNKIN GAMES
• RELATIVE ARBITRAGE IN VOLATILITY-STABILIZED MARKETS
• ASPECTS OF UTILITY MAXIMIZATION WITH HABIT FORMATION
• Stochastic Portfolio Theory: an Overview ROBERT FERNHOLZ
• STOCHASTIC GAMES OF CONTROL AND STOPPING FOR A LINEAR DIFFUSION
• Submitted to the Annals of Probability MARTINGALE APPROACH TO STOCHASTIC
• ON OPTIMAL ARBITRAGE DANIEL FERNHOLZ
• THE CONTROLLER-AND-STOPPER GAME FOR A LINEAR DIFFUSION
• Stochastic Processes and their Applications 14 (1983) 233-248 North-Holland Publishing Company
• arXiv:0809.4297v1[math.PR]24Sep2008 Testing Composite Hypotheses via Convex Duality
• Columbia University in the City of New York | New York, N.Y. 10027 DEPARTMENT OF MATHEMATICS 508 Mathematics Building
• ADAPTIVE CONTROL OF A DIFFUSION TO A GOAL AND A PARABOLIC MONGE-AMPERE-TYPE EQUATIONy
• LEAST-SQUARES APPROXIMATION OF RANDOM VARIABLES BY
• ON THE OPTIMAL STOPPING PROBLEM FOR ONEDIMENSIONAL DIFFUSIONS
• The Numeraire Portfolio and Arbitrage in Semimartingale Models of Financial Markets
• on capital requirements and optimal strategies to achieve acceptability
• DIVERSITY AND RELATIVE ARBITRAGE IN EQUITY MARKETS