Karatzas, Ioannis; Zamfirescu, Ingrid-Mona Martingale approach to stochastic differential games of control and stopping. (English) Zbl 1142.93040 Ann. Probab. 36, No. 4, 1495-1527 (2008). MSC: 93E20 60G40 91A15 91A25 60G44 49K45 PDFBibTeX XMLCite \textit{I. Karatzas} and \textit{I.-M. Zamfirescu}, Ann. Probab. 36, No. 4, 1495--1527 (2008; Zbl 1142.93040) Full Text: DOI arXiv
Karatzas, Ioannis; Zamfirescu, Ingrid-Mona Martingale approach to stochastic control with discretionary stopping. (English) Zbl 1136.93047 Appl. Math. Optimization 53, No. 2, 163-184 (2006). MSC: 93E20 60G40 60G44 49K45 PDFBibTeX XMLCite \textit{I. Karatzas} and \textit{I.-M. Zamfirescu}, Appl. Math. Optim. 53, No. 2, 163--184 (2006; Zbl 1136.93047) Full Text: DOI
Karatzas, Ioannis; Lehoczky, John P.; Shreve, Steven E.; Xu, Gan-Lin Martingale and duality methods for utility maximization in an incomplete market. (English) Zbl 0733.93085 SIAM J. Control Optimization 29, No. 3, 702-730 (1991). Reviewer: W.Grecksch (Merseburg) MSC: 93E20 60G44 91B62 49K45 PDFBibTeX XMLCite \textit{I. Karatzas} et al., SIAM J. Control Optim. 29, No. 3, 702--730 (1991; Zbl 0733.93085) Full Text: DOI
Karatzas, Ioannis; Lehoczky, John P.; Shreve, Steven E. Optimal portfolio and consumption decisions for a “small investor” on a finite horizon. (English) Zbl 0644.93066 SIAM J. Control Optimization 25, 1557-1586 (1987). Reviewer: Y.Ohtsubo MSC: 93E20 60G44 91B62 49K45 90B50 PDFBibTeX XMLCite \textit{I. Karatzas} et al., SIAM J. Control Optim. 25, 1557--1586 (1987; Zbl 0644.93066) Full Text: DOI
Cox, R. Mitchell; Karatzas, Ioannis Stationary control of Brownian motion in several dimensions. (English) Zbl 0574.93068 Adv. Appl. Probab. 17, 531-561 (1985). Reviewer: T.Duncan MSC: 93E20 49K45 60J65 PDFBibTeX XMLCite \textit{R. M. Cox} and \textit{I. Karatzas}, Adv. Appl. Probab. 17, 531--561 (1985; Zbl 0574.93068) Full Text: DOI
Karatzas, Ioannis; Shreve, Steven E. Connections between optimal stopping and singular stochastic control. II: Reflected follower problems. (English) Zbl 0573.93078 SIAM J. Control Optimization 23, 433-451 (1985). Reviewer: H.Pragarauskas MSC: 93E20 60G40 60J65 49K45 PDFBibTeX XMLCite \textit{I. Karatzas} and \textit{S. E. Shreve}, SIAM J. Control Optim. 23, 433--451 (1985; Zbl 0573.93078) Full Text: DOI