Dmitry Kramkov | Academic Influence

Dmitry Kramkov's AcademicInfluence.com Rankings

Dmitry Kramkov

Mathematics

#2946

World Rank

#4440

Historical Rank

Probability Theory

#168

World Rank

#198

Historical Rank

Statistics

#319

World Rank

#381

Historical Rank

Measure Theory

#5068

World Rank

#5991

Historical Rank

mathematics Degrees

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Mathematics

Dmitry Kramkov's Degrees

PhD Mathematics Université Paris Cité
Masters Mathematics Moscow State University
Bachelors Mathematics Moscow State University

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Why Is Dmitry Kramkov Influential?

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According to Wikipedia, Dmitry Olegovich Kramkov is a Russian mathematician at Carnegie Mellon University. His research field are statistics and financial mathematics. Kramkov obtained his doctorate from Steklov Institute of Mathematics in 1992, under supervision of Albert Shiryaev. In 1996 he was awarded an EMS Prize for his work in filtered statistical experiments.

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Dmitry Kramkov's Published Works

Number of citations in a given year to any of this author's works

Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author

Published Works

Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets (1996) (332)
Optional decompositions under constraints (1997) (224)
Optimal investment with random endowments in incomplete markets (2004) (138)
ON UTILITY‐BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS (2005) (121)
Large financial markets : asymptotic arbitrage and contiguity (1995) (115)
Asymptotic arbitrage in large financial markets (1998) (108)
No-Arbitrage and Equivalent Martingale Measures: An Elementary Proof of the Harrison–Pliska Theorem (1995) (78)
Toward the theory of pricing of options of both European and American types. II: Continuous time (1995) (75)
Sensitivity analysis of utility-based prices and risk-tolerance wealth processes (2006) (73)
Asymptotic analysis of utility-based hedging strategies for small number of contingent claims (2007) (46)
On the two-times differentiability of the value functions in the problem of optimal investment in incomplete markets (2006) (43)
A model for a large investor trading at market indifference prices. II: Continuous-time case (2011) (43)
A system of quadratic BSDEs arising in a price impact model (2014) (38)
A model for a large investor trading at market indifference prices. I: Single-period case (2011) (33)
Existence of an endogenously complete equilibrium driven by a diffusion (2013) (29)
Stability and Analytic Expansions of Local Solutions of Systems of Quadratic BSDEs with Applications to a Price Impact Model (2014) (18)
Integral representation of martingales motivated by the problem of endogenous completeness in financial economics (2011) (17)
On the Rational Pricing of the “Russian Option” for the Symmetrical Binomial Model of a $(B,S)$-Market (1995) (15)
Sufficient Conditions of the Uniform Integrability of Exponential Martingales (1998) (10)
An optimal transport problem with backward martingale constraints motivated by insider trading (2019) (10)
On a stochastic differential equation arising in a price impact model (2011) (10)
Muckenhoupt’s (Ap) condition and the existence of the optimal martingale measure (2015) (9)
The stochastic field of aggregate utilities and its saddle conjugate (2013) (8)
Density of the set of probability measures with the martingale representation property (2017) (5)
Existence and uniqueness of Arrow-Debreu equilibria with consumptions in L 0+ (2013) (3)
Integral representation of martingales and endogenous completeness of nancial models (2011) (3)
EXISTENCE AND UNIQUENESS OF ARROW – DEBREU EQUILIBRIA WITH CONSUMPTIONS IN L (2016) (3)
Backward martingale transport and Fitzpatrick functions in pseudo-Euclidean spaces (2022) (2)
Closed form representations for the minimal hedging portfolios of American type contingent claims (1994) (2)
A model for a large investor trading at market indifference prices. I: Single-period case (2015) (2)
Existence and uniqueness of Arrow-Debreu equilibria with consumptions in $\mathbf{L}^0_+$ (2013) (1)
Singularities of Fitzpatrick and convex functions (2022) (1)
Backward martingale transport maps in pseudo-Euclidean spaces (2023) (0)
Existence of an endogenously complete equilibrium driven by a diffusion (2014) (0)
Stochastic Analysis in Finance and Insurance (2008) (0)

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