activity
20042023
most citedSensitivity analysis of utility-based prices and risk-tolerance wealth processes

89 citations · 398 across the 17 of their papers we have counts for

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10 papers · 1 filter

math.PR2023★ 1 cited

Backward martingale transport maps and equilibrium with insider

Dmitry Kramkov, Mihai Sîrbu

We consider an optimal transport problem with backward martingale constraint. The objective function is given by the scalar product of a pseudo-Euclidean space . We show that th…

math.PR2022

Backward martingale transport and Fitzpatrick functions in pseudo-Euclidean spaces

Dmitry Kramkov, Mihai Sîrbu

We study an optimal transport problem with a backward martingale constraint in a pseudo-Euclidean space . We show that the dual problem consists in the minimization of the expec…

math.PR2019★ 16 cited

An optimal transport problem with backward martingale constraints motivated by insider trading

Dmitry Kramkov, Yan Xu

We study a single-period optimal transport problem on with a covariance-type cost function and a backward martingale constraint. We sho…

math.PR2017★ 3 cited

Density of the set of probability measures with the martingale representation property

Dmitry Kramkov, Sergio Pulido

Let be a multi-dimensional random variable. We show that the set of probability measures such that the -martingale $S^{\mathbb{Q}}_t=\mathbb{E}^{\mathb…

math.PR2013★ 2 cited

Existence and uniqueness of Arrow-Debreu equilibria with consumptions in

Dmitry Kramkov

We consider an economy where agents' consumption sets are given by the cone of non-negative measurable functions and whose preferences are defined by additive util…

math.PR2013★ 27 cited

Existence of an endogenously complete equilibrium driven by a diffusion

Dmitry Kramkov

The existence of complete Radner equilibria is established in an economy which parameters are driven by a diffusion process. Our results complement those in the literature. In part…