157 citations · 632 across the 40 of their papers we have counts for
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math.PR2009★ 9 cited
Optimal Stopping for Dynamic Convex Risk Measures
Erhan Bayraktar, Ioannis Karatzas, Song Yao
We use martingale and stochastic analysis techniques to study a continuous-time optimal stopping problem, in which the decision maker uses a dynamic convex risk measure to evaluate…
math.PR2009★ 118 cited
Hybrid Atlas models
Tomoyuki Ichiba, Vassilios Papathanakos, Adrian Banner +2
We 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. Ergodic properties…