157 citations · 632 across the 40 of their papers we have counts for
Showing 2014Show all
3 papers · 1 filter
math.OC2014
Impulse Control of a Diffusion with a Change Point
Lokman A. Abbas-Turki, Ioannis Karatzas, Qinghua Li
This paper solves a Bayes sequential impulse control problem for a diffusion, whose drift has an unobservable parameter with a change point. The partially-observed problem is refor…
math.PR2014
Skew-Unfolding the Skorokhod Reflection of a Continuous Semimartingale
Tomoyuki Ichiba, Ioannis Karatzas
The Skorokhod reflection of a continuous semimartingale is unfolded, in a possibly skewed manner, into another continuous semimartingale on an enlarged probability space according…
math.PR2014★ 11 cited
Diverse market models of competing Brownian particles with splits and mergers
Ioannis Karatzas, Andrey Sarantsev
We study models of regulatory breakup, in the spirit of Strong and Fouque [Ann. Finance 7 (2011) 349-374] but with a fluctuating number of companies. An important class of market m…