157 citations · 632 across the 40 of their papers we have counts for
Showing 2026Show all
2 papers · 1 filter
math.PR2026
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…
q-fin.MF2026
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…