Brownian motion and stochastic calculus I Karatzas, S Shreve Springer Science & Business Media, 1991 | 17588 | 1991 |
Stochastic calculus for finance II: Continuous-time models SE Shreve springer, 2004 | 3964 | 2004 |
Methods of mathematical finance I Karatzas, SE Shreve, I Karatzas, SE Shreve Springer 39, xvi+ 407, 1998 | 3960 | 1998 |
Stochastic optimal control: the discrete-time case D Bertsekas, SE Shreve Athena Scientific, 1996 | 2819 | 1996 |
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 | 1553 | 1987 |
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 | 988 | 1991 |
Optimal investment and consumption with transaction costs SE Shreve, HM Soner The Annals of Applied Probability, 609-692, 1994 | 825 | 1994 |
Stochastic calculus for finance I: the binomial asset pricing model S Shreve Springer Science & Business Media, 2005 | 635 | 2005 |
Explicit solution of a general consumption/investment problem I Karatzas, JP Lehoczky, SP Sethi, SE Shreve Mathematics of Operations Research 11 (2), 261-294, 1986 | 549 | 1986 |
Robustness of the Black and Scholes formula NE Karoui, M Jeanblanc‐Picquč, SE Shreve Mathematical finance 8 (2), 93-126, 1998 | 540 | 1998 |
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 | 377 | 1995 |
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 | 292 | 1984 |
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 | 277 | 1990 |
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 | 271 | 1984 |
Brownian motion I Karatzas, SE Shreve, I Karatzas, SE Shreve Brownian motion and stochastic calculus, 47-127, 1998 | 230* | 1998 |
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 | 225 | 2011 |
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 | 194 | 2001 |
Asymptotic analysis for optimal investment and consumption with transaction costs K Janeček, SE Shreve Finance and Stochastics 8 (2), 181-206, 2004 | 173 | 2004 |
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 | 171 | 1992 |
An explicit formula for the Skorokhod map on [0, a] L Kruk, J Lehoczky, K Ramanan, S Shreve | 163 | 2007 |