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Martingale approach to stochastic differential games of control and stopping
Ioannis Karatzas, Ingrid-Mona Zamfirescu
We develop a martingale approach for studying continuous-time stochastic differential games of control and stopping, in a non-Markovian framework and with the control affecting onl…
Adaptive Poisson disorder problem
Erhan Bayraktar, Savas Dayanik, Ioannis Karatzas
We study the quickest detection problem of a sudden change in the arrival rate of a Poisson process from a known value to an unknown and unobservable value at an unknown and unobse…
Atlas models of equity markets
Adrian D. Banner, Robert Fernholz, Ioannis Karatzas
Atlas-type models are constant-parameter models of uncorrelated stocks for equity markets with a stable capital distribution, in which the growth rates and variances depend on rank…