Kruk, Łukasz; Lehoczky, John; Ramanan, Kavita; Shreve, Steven Heavy traffic analysis for EDF queues with reneging. (English) Zbl 1220.60053 Ann. Appl. Probab. 21, No. 2, 484-545 (2011). Reviewer: Oleg K. Zakusilo (Kyïv) MSC: 60K25 60G57 60J65 68M20 90B22 PDFBibTeX XMLCite \textit{Ł. Kruk} et al., Ann. Appl. Probab. 21, No. 2, 484--545 (2011; Zbl 1220.60053) Full Text: DOI arXiv
Kruk, Łukasz; Lehoczky, John; Shreve, Steven Accuracy of state space collapse for earliest-deadline-first queues. (English) Zbl 1129.60084 Ann. Appl. Probab. 16, No. 2, 516-561 (2006). Reviewer: Jerzy Martyna (Kraków) MSC: 60K25 68M20 60G57 60J65 PDFBibTeX XMLCite \textit{Ł. Kruk} et al., Ann. Appl. Probab. 16, No. 2, 516--561 (2006; Zbl 1129.60084) Full Text: DOI arXiv
Kruk, Łukasz; Lehoczky, John; Shreve, Steven; Yeung, Shu-Ngai Earliest-deadline-first service in heavy-traffic acyclic networks. (English) Zbl 1084.60056 Ann. Appl. Probab. 14, No. 3, 1306-1352 (2004). MSC: 60K25 60G57 60J65 68M20 PDFBibTeX XMLCite \textit{Ł. Kruk} et al., Ann. Appl. Probab. 14, No. 3, 1306--1352 (2004; Zbl 1084.60056) Full Text: DOI arXiv
Doytchinov, Bogdan; Lehoczky, John; Shreve, Steven Real-time queues in heavy traffic with earliest-deadline-first queue discipline. (English) Zbl 1015.60086 Ann. Appl. Probab. 11, No. 2, 332-378 (2001). Reviewer: E.A.van Doorn (Enschede) MSC: 60K25 60G57 60J65 90B22 PDFBibTeX XMLCite \textit{B. Doytchinov} et al., Ann. Appl. Probab. 11, No. 2, 332--378 (2001; Zbl 1015.60086) Full Text: DOI
Karatzas, Ioannis; Shreve, Steven E. Brownian motion and stochastic calculus. 2nd ed. (English) Zbl 0734.60060 Graduate Texts in Mathematics, 113. New York etc.: Springer-Verlag. xxiii, 470 p. DM 68.00/pbk (1991). Reviewer: M.Scheutzow (Berlin) MSC: 60Hxx 60J65 60-02 60J55 PDFBibTeX XMLCite \textit{I. Karatzas} and \textit{S. E. Shreve}, Brownian motion and stochastic calculus. 2nd ed. New York etc.: Springer-Verlag (1991; Zbl 0734.60060) Backlinks: MO
Shreve, Steven E. A control theorist’s view of asset pricing. (English) Zbl 0729.90013 Applied stochastic analysis, Pap. Workshop, London/UK 1989, Stochastic Monogr. 5, 415-445 (1990). MSC: 91B24 93C95 60J65 91B28 PDFBibTeX XML
Karatzas, Ioannis; Shreve, Steven E. Brownian motion and stochastic calculus. (English) Zbl 0638.60065 Graduate Texts in Mathematics, 113. New York etc.: Springer-Verlag. XXIII, 470 p.; DM 138.00 (1988). Reviewer: J.Stoyanov MSC: 60Hxx 60J65 60-02 60J55 PDFBibTeX XMLCite \textit{I. Karatzas} and \textit{S. E. Shreve}, Brownian motion and stochastic calculus. New York etc.: Springer-Verlag (1988; Zbl 0638.60065)
Karatzas, Ioannis; Shreve, Steven E. A decomposition of the Brownian path. (English) Zbl 0615.60075 Stat. Probab. Lett. 5, 87-93 (1987). Reviewer: R.Mikulevičius MSC: 60J65 60G17 60J55 PDFBibTeX XMLCite \textit{I. Karatzas} and \textit{S. E. Shreve}, Stat. Probab. Lett. 5, 87--93 (1987; Zbl 0615.60075) Full Text: DOI
Karatzas, Ioannis; Shreve, Steven E. Equivalent models for finite-fuel stochastic control. (English) Zbl 0635.93076 Stochastics 18, 245-276 (1986). Reviewer: Y.Ohtsubo MSC: 93E20 49J55 60G40 60J65 PDFBibTeX XMLCite \textit{I. Karatzas} and \textit{S. E. Shreve}, Stochastics 18, 245--276 (1986; Zbl 0635.93076) Full Text: DOI
Lehoczky, J. P.; Shreve, S. E. Absolutely continuous and singular stochastic control. (English) Zbl 0564.93068 Stochastics 17, 91-109 (1986). MSC: 93E20 60J65 49L20 49K45 90C39 PDFBibTeX XMLCite \textit{J. P. Lehoczky} and \textit{S. E. Shreve}, Stochastics 17, 91--109 (1986; Zbl 0564.93068) 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
Karatzas, Ioannis; Shreve, Steven E. Connections between optimal stopping and singular stochastic control. I: Monotone follower problems. (English) Zbl 0551.93078 SIAM J. Control Optimization 22, 856-877 (1984). Reviewer: H.Pragarauskas MSC: 93E20 60G40 60J65 49J55 PDFBibTeX XMLCite \textit{I. Karatzas} and \textit{S. E. Shreve}, SIAM J. Control Optim. 22, 856--877 (1984; Zbl 0551.93078) Full Text: DOI
Karatzas, Ioannis; Shreve, Steven E. Trivariate density of Brownian motion, its local and occupation times, with application to stochastic control. (English) Zbl 0544.60069 Ann. Probab. 12, 819-828 (1984). Reviewer: A.D.Borisenko MSC: 60J65 93E20 60G17 PDFBibTeX XMLCite \textit{I. Karatzas} and \textit{S. E. Shreve}, Ann. Probab. 12, 819--828 (1984; Zbl 0544.60069) Full Text: DOI
Shreve, Steven E. Reflected Brownian motion in the ”Bang-Bang” control of Brownian drift. (English) Zbl 0462.49024 SIAM J. Control Optimization 19, 469-478 (1981). MSC: 49J55 60J65 49K30 PDFBibTeX XMLCite \textit{S. E. Shreve}, SIAM J. Control Optim. 19, 469--478 (1981; Zbl 0462.49024) Full Text: DOI