157 citations · 632 across the 40 of their papers we have counts for
44 papers
Folding representations of reflected diffusions
David Itkin, Ioannis Karatzas
Diffusion processes with reflection, possibly oblique, on the boundary of a given sufficiently regular closed convex domain in Euclidean space, are constructed in a novel way via i…
Pathwise Portfolio Theory and Market Viability
Ioannis Karatzas, Donghan Kim
The theory of portfolios, and its allied notions and fundamental results concerning growth optimality, the numéraire property, and ``market viability'' -- which rules out the possi…
A Weak Law of Large Numbers for Dependent Random Variables
Ioannis Karatzas, Walter Schachermayer
Every sequence of random variables with contains a subsequence $…
A Strong Law of Large Numbers for Positive Random Variables
Ioannis Karatzas, Walter Schachermayer
In the spirit of the famous KOMLÓS (1967) theorem, every sequence of nonnegative, measurable functions on a probability space, contains a subsequence which -…
A sequential estimation problem with control and discretionary stopping
Erik Ekström, Ioannis Karatzas
We show that "full-bang" control is optimal in a problem that combines features of (i) sequential least-squares {\it estimation} with Bayesian updating, for a random quantity obser…
A variational characterization of LangevinSmoluchowski diffusions
Ioannis Karatzas, Bertram Tschiderer
We show that LangevinSmoluchowski measure on path space is invariant under time-reversal, followed by stochastic control of the drift with a novel entropic-type criterion. Repea…