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Dmitry Kramkov

Identifiers

  • name variant Dmitry Kramkov 0.60 · backfill

Papers (11)

  1. Density of the set of probability measures with the martingale representation property math.PR · 2017 · author #1
  2. Muckenhoupt's $(A_p)$ condition and the existence of the optimal martingale measure q-fin.MF · 2015 · author #1
  3. Stability and analytic expansions of local solutions of systems of quadratic BSDEs with applications to a price impact model q-fin.MF · 2014 · author #1
  4. A system of quadratic BSDEs arising in a price impact model q-fin.MF · 2014 · author #1
  5. The stochastic field of aggregate utilities and its saddle conjugate q-fin.GN · 2013 · author #2
  6. Existence of an endogenously complete equilibrium driven by a diffusion math.PR · 2013 · author #1
  7. Existence and uniqueness of Arrow-Debreu equilibria with consumptions in $\mathbf{L}^0_+$ math.PR · 2013 · author #1
  8. A model for a large investor trading at market indifference prices. II: Continuous-time case q-fin.TR · 2011 · author #2
  9. Sensitivity analysis of utility-based prices and risk-tolerance wealth processes math.PR · 2007 · author #1
  10. On the two-times differentiability of the value functions in the problem of optimal investment in incomplete markets math.PR · 2006 · author #1
  11. Optimal investment with random endowments in incomplete markets math.PR · 2004 · author #2

Mentions

  • 1110.3229 #2 · backfill · confidence 0.70 Dmitry Kramkov

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