Selected Publications

Prof. Ioannis Karatzas (Mathematics and Statistics)

• I. Karatzas and S.E. Shreve (1988) Brownian Motion and Stochastic Calculus. Volume #113 in Graduate Texts in Mathematics, Springer-Verlag, New York, 470 pages. Subsequent Printings: 1991, 1994, 1996, 1997, 1999, 2000, 2003, 2005. Chinese Edition, World Publishing Corporation, 1990, 1995, 2006. Japanese Translation, Springer-Tokyo, 2002.
• E. Bayraktar, S. Dayanik and I. Karatzas (2006) Adaptive Poisson disorder problem. Annals of Applied Probability 16, 1190-1261.
• E.R. Fernholz and I. Karatzas (2005) Relative arbitrage in volatility-stabilized markets. Annals of Finance 1, 149-177.
• Ch. Hou and I. Karatzas (2004) Least-Squares Approximation of Random Variables by Stochastic Integrals. Advanced Studies in Pure Mathematics 41, 144-161.
• I. Karatzas and W.D. Sudderth (2001) The controller-and-stopper game for a linear diffusion. Annals of Probability 29, 1111-1127.
• M. Davis and I. Karatzas (1994) A deterministic approach to optimal stopping. In Probability, Statistics and Optimization: A Tribute to Peter Whittle (F. Kelly, editor), 455-466. J. Wiley & Sons, New York & Chichester.
• N. El Karoui and I. Karatzas (1993) General Gittins index processes in discrete time. Proceedings of the National Academy of Sciences 90, 1232-1236.

Prof. Peter Bank (Mathematics)

• P. Bank (2005) Optimal Control under a Dynamic Fuel Constraint, SIAM Journal on Control and Optimization, Vol. 44(4), 1529-1541.
• P. Bank and D. Baum (2004) Hedging and Portfolio Optimization in Financial Markets with a Large Trader, Mathematical Finance, 14, 1-18.
• P. Bank and H. Föllmer (2003) American Options, Multi-armed Bandits, and Optimal Consumption Plans: A Unifying View, Lecture Notes in Mathematics, Vol. 1814, Springer
• P. Bank and F. Riedel (2001) Optimal Consumption Choice with Intertemporal Substitution, Annals of Applied Probability, 11, 750-788

Prof Mihai Sirbu (Mathematics)

• Dmitry Kramkov and Mihai Sirbu (2006) Sensitivity analysis of utility based prices and risk-tolerance wealth processes. to appear in The Annals of Applied Probability.
• Dmitry Kramkov and Mihai Sirbu (2006) On the two-times differentiability of the value functions in the problem of optimal investment in incomplete markets. The Annals of Applied Probability, Vol. 16, No. 3, 1352-1384.
• S. E. Shreve and Mihai Sirbu A two-person game for pricing convertible bonds (with S. E. Shreve), to appear in SIAM Journal on Control and Optimization