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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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The Stochastic Maximum Principle for Linear, Convex Optimal Control with Random Coefficients
Abel Cadenillas,Ioannis Karatzas +1 more
TL;DR: In this paper, the authors considered a stochastic control problem with linear dynamics, convex cost criterion, and convex state constraint, in which the control entered both the drift and diffusion coefficients.
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Hybrid Atlas models
TL;DR: In this article, the authors study Atlas-type models of equity markets with local characteristics that depend on both name and rank, and in ways that induce a stable capital distribution, and discuss properties of various investment strategies, including the so-called growth-optimal and universal portfolios.
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A new approach to the skorohod problem, and its applications
N. El Karoui,Ioannis Karatzas +1 more
TL;DR: In this article, the authors show that direct integration of the optimal risk in a stopping problem for Brownian motion yields the value function of the monotone follower stochastic control problem and provide an explicit construction of its optimal process.
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Diversity and relative arbitrage in equity markets
TL;DR: It is shown that weakly-diverse markets contain relative arbitrage opportunities: it is possible to outperform or underperform such markets over any given time-horizon, and the existence of this type ofrelative arbitrage does not interfere with the development of contingent claim valuation.
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Backward stochastic differential equations with constraints on the gains-process
TL;DR: In this paper, the authors considered backward stochastic differential equations with convex constraints on the gains (or intensity-ofnoise) process and established the existence and uniqueness of a minimal solution in the case of a drift coefficient which is Lipschitz continuous in the state and gains processes and convex in the gains process.