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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.
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Optimal stationary linear control of the Wiener process
Václav E. Beneš,Ioannis Karatzas +1 more
TL;DR: In this paper, the authors considered the problem of minimizing the average expected total cost of a Wiener process under very mild conditions on the running cost function φ(·) through a simple system of integrotranscendental equations.
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Planar Diffusions with Rank-Based Characteristics: Transition Probabilities, Time Reversal, Maximality and Perturbed Tanaka equations
TL;DR: In this paper, a planar diffusion process whose infinitesimal generator depends only on the order of the components of the diffusion process was constructed, and the transition probabilities of this process were discussed in terms of appropriate systems of stochastic differential equations, and its dynamics under a time reversal was studied.
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Stochastic Integral Equations for Walsh Semimartingales
TL;DR: In this article, the authors construct planar semimartingales that include the Walsh Brownian motion as a special case, and derive Harrison-Shepp-type equations and a change-of-variable formula in the spirit of Freidlin-Sheu for these so-called "Walsh Semi-Martingales".
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Filtering of diffusions controlled through their conditional measures
Václav E. Beneš,Ioannis Karatzas +1 more
TL;DR: For the closed-loop nonlinear filtering problem with control in separated form (a functional of the conditional distribution measure), the Kallianpur-Striebel formula yields a stochastic equation for the unnormalized conditional distribution given the past of the observations as mentioned in this paper.
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A Stochastic Overlapping Generations Economy with Inheritance
TL;DR: In this paper, an overlapping generations model of an exchange economy is considered, with individuals having a finite expected life-span. Conditions concerning birth, death, inheritance and bequests are fully specified.