157 citations · 632 across the 40 of their papers we have counts for
5 papers · 1 filter
On collisions of Brownian particles
Tomoyuki Ichiba, Ioannis Karatzas
We examine the behavior of Brownian particles diffusing on the real line with bounded, measurable drift and bounded, piecewise continuous diffusion coefficients that depend on…
Testing composite hypotheses via convex duality
Birgit Rudloff, Ioannis Karatzas
We study the problem of testing composite hypotheses versus composite alternatives, using a convex duality approach. In contrast to classical results obtained by Krafft and Witting…
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…
Diversity and relative arbitrage in equity markets
Robert Fernholz, Ioannis Karatzas, Constantinos Kardaras
A financial market is called "diverse" if no single stock is ever allowed to dominate the entire market in terms of relative capitalization. In the context of the standard Ito-proc…
The numeraire portfolio in semimartingale financial models
Ioannis Karatzas, Constantinos Kardaras
We study the existence of the numeraire portfolio under predictable convex constraints in a general semimartingale model of a financial market. The numeraire portfolio generates a…