I
Ioannis Karatzas
Researcher at Columbia University
Publications - 190
Citations - 26325
Ioannis Karatzas is an academic researcher from Columbia University. The author has contributed to research in topics: Stochastic control & Optimal stopping. The author has an hindex of 58, co-authored 189 publications receiving 25152 citations. Previous affiliations of Ioannis Karatzas include University of North Carolina at Chapel Hill & Princeton University.
Papers
More filters
Journal ArticleDOI
Inflationary Equilibrium in a Stochastic Economy with Independent Agents
John Geanakoplos,John Geanakoplos,Ioannis Karatzas,Martin Shubik,Martin Shubik,William D. Sudderth +5 more
TL;DR: In this paper, the authors show that even when macroeconomic variables are constant, underlying microeconomic uncertainty and borrowing constraints generate inflation, and that there is no equilibrium with a stationary wealth distribution and a fixed price for the commodity.
Journal ArticleDOI
Inflationary equilibrium in a stochastic economy with independent agents
John Geanakoplos,John Geanakoplos,Ioannis Karatzas,Ioannis Karatzas,Martin Shubik,Martin Shubik,William D. Sudderth +6 more
TL;DR: In this article, the authors prove the existence of stationary monetary equilibrium with inflation in a Bewley model with constant aggregate real variables but with idiosyncratic shocks to the endowments of a continuum of individual agents, when a central bank stands ready to borrow or lend fiat money at a fixed nominal rate of interest.
Book ChapterDOI
Stationary control of brownian motion in several dimensions
R. Mitchell Cox,Ioannis Karatzas +1 more
TL;DR: In this article, the authors address the problem of controlling the Brownian path in several dimensions by continually choosing its drift from among vectors of the unit ball in Rd. The past and present of the path are supposed to be completely observable, while no anticipation of the future is allowed.
Diversity and relative arbitrage in financial markets
TL;DR: In this paper, it is shown that weakly-diverse financial markets contain relative arbitrage opportunities: it is possible to outperform such markets significantly over suciently long time-horizons, and to underperform them significantly over arbitrary timehorizons.
Journal ArticleDOI
Diverse market models of competing Brownian particles with splits and mergers
TL;DR: In this paper, the authors studied a regulatory break-up model with a fluctuating number of companies, where each company has a capitalization whose logarithm behaves as a Brownian motion with drift and diffusion coefficients depending on its current rank.