Ioannis Karatzas

Finance · 2000–2013

A researcher in the Science corpus: 20 papers; trusts 36 researchers and is trusted by 56 researchers here, as inferred from the citation graph.

Subfields

• Finance — 64 citations into it; #575 of 10,518 by trust here, #785 by citations
• Management Science and Operations Research — 32 citations into it; #1,569 of 11,946 by trust here, #1,904 by citations
• Economics and Econometrics — 18 citations into it; #1,957 of 23,481 by trust here, #3,351 by citations
• Mathematical Physics — 16 citations into it; #5,630 of 8,562 by trust here, #6,594 by citations
• Demography — 13 citations into it; #2,191 of 4,236 by trust here, #2,175 by citations
• Applied Mathematics — 10 citations into it; #7,087 of 7,620 by trust here, #5,850 by citations
• Statistics and Probability — 9 citations into it; #9,246 of 12,932 by trust here, #10,855 by citations
• Computational Theory and Mathematics — 7 citations into it

Whom Ioannis Karatzas trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Adrian Banner
2. Robert Fernholz
3. Svante Janson
4. Jon Warren
5. Johan Tysk
6. Tomoyuki Ichiba
7. Erik Ekström
8. Dmitry O. Kramkov
9. J. Ruf
10. Eckhard Platen

Who trusts Ioannis Karatzas overall

1. Soumik Pal
2. Gordan Zitkovic
3. Tomoyuki Ichiba
4. Constantinos Kardaras
5. Eitan Tadmor
6. Marcel Nutz
7. Aleksandar Mijatovic
8. Jan Kallsen
9. Erhan Bayraktar
10. Michel H. Vellekoop

Papers from Ioannis Karatzas's perspective

Ordered by how strongly the researchers Ioannis Karatzas trusts endorse each paper. Same corpus, a different order for every researcher.

1. Diffusions, Markov Processes, and Martingales by L. C. G. Rogers
2. Atlas models of equity markets
3. Dyson's Brownian motions, intertwining and interlacing
4. Local times of ranked continuous semimartingales
5. Martingales versus PDEs in finance: an equivalence result with examples (Journal of Applied Probability)
6. Degenerate stochastic differential equations with Hölder continuous coefficients and super-Markov chains
7. Bubbles, convexity and the Black–Scholes equation
8. Markov Processes: Characterization and Convergence
9. Controlled Markov processes and viscosity solutions
10. Stochastic Portfolio Theory

Their papers

• Methods of Mathematical Finance (2010) — 1,586 citations
• Optimal arbitrage under model uncertainty. (2011) — 53 citations
• Optimal Stopping for Dynamic Convex Risk Measures (2009) — 71 citations
• The numéraire portfolio in semimartingale financial models (2007) — 381 citations
• Optimal consumption from investment and random endowment in incomplete semimartingale markets (2003) — 172 citations
• A Barrier Option of American Type (2000) — 60 citations
• Martingale approach to stochastic differential games of control and stopping. (2008) — 73 citations
• Atlas models of equity markets (2005) — 173 citations
• Stochastic Portfolio Theory: an Overview (2009) — 218 citations
• HYBRID ATLAS MODELS (2009) — 136 citations
• Strong solutions of stochastic equations with rank-based coefficients (2011) — 72 citations
• The controller-and-stopper game for a linear diffusion (2001) — 59 citations
• On collisions of Brownian particles (2008) — 67 citations
• Distribution of the time to explosion for one-dimensional diffusions (2013) — 47 citations
• Systems of Brownian particles with asymmetric collisions (2012) — 56 citations
• Relative arbitrage in volatility-stabilized markets (2005) — 125 citations
• The standard Poisson disorder problem revisited (2005) — 62 citations
• On the optimal stopping problem for one-dimensional diffusions (2003) — 272 citations
• GENERALIZED NEYMAN-PEARSON LEMMA VIA CONVEX DUALITY ⁄ (2001) — 72 citations
• Finite-Fuel Singular Control With Discretionary Stopping (2000) — 61 citations