Concepedia

Dmitry Kramkov

DK

19

Publications

2.4K

Citations

16

H-Index

1995

Active since

Affiliations

Carnegie Mellon University(Current)

Steklov Mathematical Institute

Dmitry Kramkov is an author at Carnegie Mellon University specializing in finance, business, and economics.

Top concepts

FinanceBusinessEconomicsProbabilityAsset PricingStochastic CalculusOption PricingFinancial EconomicsEconomic AnalysisFinancial Engineering

Publications per year

1995–2022

19

Publications

19

The asymptotic elasticity of utility functions and optimal investment in incomplete markets

Dmitry Kramkov, Walter Schachermayer · The Annals of Applied Probability · 1999 · 981 citations · Full text

Market Equilibrium, Utility Function, Market Equilibrium Computation +18

Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets

Dmitry Kramkov · Probability Theory and Related Fields · 1996 · 328 citations

Option Pricing, Integrable Probability, Stochastic Calculus +9

Necessary and sufficient conditions in the problem of optimal investment in incomplete markets

Dmitry Kramkov, Walter Schachermayer · The Annals of Applied Probability · 2003 · 235 citations · Full text

Mathematical Programming, Minimal Conditions, Engineering +20

Optional decompositions under constraints

Hans Föllmer, Dmitry Kramkov · Probability Theory and Related Fields · 1997 · 221 citations · Full text

Mathematical Programming, Constraint Solving, Constrained Optimization +2

Large Financial Markets: Asymptotic Arbitrage and Contiguity

Yu. M. Kabanov, Dmitry Kramkov · Theory of Probability and Its Applications · 1995 · 89 citations

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