Steven Shreve
Steven Shreve
Professor of Mathematical Sciences, Carnegie Mellon University
Verified email at andrew.cmu.edu
Title
Cited by
Cited by
Year
Brownian motion and stochastic calculus
I Karatzas, S Shreve
springer, 2014
146752014
Methods of mathematical finance
I Karatzas, SE Shreve, I Karatzas, SE Shreve
Springer 39, xvi+ 407, 1998
34941998
Stochastic calculus for finance II: Continuous-time models
SE Shreve
Springer Science & Business Media, 2004
31542004
Stochastic optimal control: the discrete-time case
DP Bertsekas, S Shreve
22292004
Optimal portfolio and consumption decisions for a “small investor” on a finite horizon
I Karatzas, JP Lehoczky, SE Shreve
SIAM journal on control and optimization 25 (6), 1557-1586, 1987
13261987
Martingale and duality methods for utility maximization in an incomplete market
I Karatzas, JP Lehoczky, SE Shreve, GL Xu
SIAM Journal on Control and optimization 29 (3), 702-730, 1991
8541991
Optimal investment and consumption with transaction costs
SE Shreve, HM Soner
The Annals of Applied Probability, 609-692, 1994
7271994
Robustness of the Black and Scholes formula
NE Karoui, M Jeanblanc‐Picquè, SE Shreve
Mathematical finance 8 (2), 93-126, 1998
5031998
Explicit solution of a general consumption/investment problem
I Karatzas, JP Lehoczky, SP Sethi, SE Shreve
Optimal Consumption and Investment with Bankruptcy, 21-56, 1997
4911997
Stochastic calculus for finance I: the binomial asset pricing model
S Shreve
Springer Science & Business Media, 2005
4842005
There is no nontrivial hedging portfolio for option pricing with transaction costs
HM Soner, SE Shreve, J Cvitanic
The Annals of Applied Probability 5 (2), 327-355, 1995
3561995
Existence and uniqueness of multi-agent equilibrium in a stochastic, dynamic consumption/investment model
I Karatzas, JP Lehoczky, SE Shreve
Mathematics of Operations research 15 (1), 80-128, 1990
2571990
Optimal consumption for general diffusions with absorbing and reflecting barriers
SE Shreve, JP Lehoczky, DP Gaver
SIAM Journal on Control and Optimization 22 (1), 55-75, 1984
2401984
Connections between optimal stopping and singular stochastic control I. Monotone follower problems
I Karatzas, SE Shreve
SIAM Journal on Control and Optimization 22 (6), 856-877, 1984
2391984
Optimal execution in a general one-sided limit-order book
S Predoiu, G Shaikhet, S Shreve
SIAM Journal on Financial Mathematics 2 (1), 183-212, 2011
1962011
Real-time queues in heavy traffic with earliest-deadline-first queue discipline
B Doytchinov, J Lehoczky, S Shreve
Annals of Applied Probability, 332-378, 2001
1682001
Asymptotic analysis for optimal investment and consumption with transaction costs
K Janeček, SE Shreve
Finance and Stochastics 8 (2), 181-206, 2004
1602004
A duality method for optimal consumption and investment under short-selling prohibition. I. General market coefficients
GL Xu, SE Shreve
The Annals of Applied Probability, 87-112, 1992
1521992
Connections between optimal stopping and singular stochastic control II. Reflected follower problems
I Karatzas, SE Shreve
SIAM Journal on Control and Optimization 23 (3), 433-451, 1985
1351985
An explicit formula for the Skorokhod map on [0, a]
L Kruk, J Lehoczky, K Ramanan, S Shreve
The Annals of Probability, 1740-1768, 2007
1242007
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