# Steven E. Shreve

#9,036

Most Influential Person Now

American mathematician

## Steven E. Shreve's AcademicInfluence.com Rankings

Steven E. Shrevemathematics Degrees

Mathematics

#740

World Rank

#1341

Historical Rank

#323

USA Rank

Measure Theory

#1204

World Rank

#1532

Historical Rank

#436

USA Rank

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Mathematics

## Steven E. Shreve's Degrees

- Bachelors Mathematics University of California, Berkeley

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## Why Is Steven E. Shreve Influential?

(Suggest an Edit or Addition)According to Wikipedia, Steven Eugene Shreve is a mathematician and currently the Orion Hoch Professor of Mathematical Sciences at Carnegie Mellon University and the author of several major books on the mathematics of financial derivatives.

## Steven E. Shreve's Published Works

### Published Works

- Stochastic Differential Equations (2019) (2273)
- Methods of Mathematical Finance (2010) (1467)
- Stochastic optimal control : the discrete time case (2007) (1455)
- Stochastic Calculus for Finance II: Continuous-Time Models (2010) (1377)
- Optimal portfolio and consumption decisions for a “small investor” on a finite horizon (1987) (1082)
- Martingale and duality methods for utility maximization in a incomplete market (1991) (713)
- Optimal Investment and Consumption with Transaction Costs (1994) (610)
- Stochastic calculus for finance (2004) (505)
- Explicit Solution of a General Consumption/Investment Problem (1986) (397)
- Robustness of the Black and Scholes Formula (1998) (391)
- There is no nontrivial hedging portfolio for option pricing with transaction costs (1995) (287)
- Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems (1984) (210)
- Optimal Execution in a General One-Sided Limit-Order Book (2011) (205)
- Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers (1984) (201)
- Existence and Uniqueness of Multi-Agent Equilibrium in a Stochastic, Dynamic Consumption/Investment Model (1990) (197)
- Stochastic Calculus for Finance : The Binomial Asset Pricing Model (2007) (177)
- A Duality Method for Optimal Consumption and Investment Under Short- Selling Prohibition. I. General Market Coefficients (1992) (158)
- An explicit formula for the Skorokhod map on [0,a]. (2007) (148)
- Asymptotic analysis for optimal investment and consumption with transaction costs (2004) (147)
- Real-time queues in heavy traffic with earliest-deadline-first queue discipline (2001) (146)
- Connections Between Optimal Stopping and Singular Stochastic Control II. Reflected Follower Problems (1985) (125)
- Regularity of the value function for a two-dimensional singular stochastic control problem (1989) (118)
- Mimicking an Itô process by a solution of a stochastic differential equation (2010) (100)
- A GENERAL FRAMEWORK FOR PRICING CREDIT RISK (2004) (84)
- Trivariate Density of Brownian Motion, Its Local and Occupation Times, with Application to Stochastic Control (1984) (71)
- Equivalent models for finite-fuel stochastic control (1986) (65)
- A Two-Person Game for Pricing Convertible Bonds (2006) (65)
- Heavy traffic analysis for EDF queues with reneging (2011) (62)
- Options on a traded account: Vacation calls, vacation puts and passport options (2000) (60)
- Equilibrium Models with Singular Asset Prices (1991) (59)
- Earliest-deadline-first service in heavy-traffic acyclic networks (2004) (52)
- Optimal Consumption and Investment Policies Allowing Consumption Constraints and Bankruptcy (1983) (52)
- A free boundary problem related to singular stochastic control: the parabolic case (1991) (46)
- Heavy Traffic Convergence of a Controlled, Multiclass Queueing System (1996) (46)
- Perpetual Convertible Bonds (2004) (44)
- Alternative theoretical frameworks for finite horizon discrete-time stochastic optimal control (1977) (43)
- Utility Maximization Trading Two Futures with Transaction Costs (2013) (40)
- Universally Measurable Policies in Dynamic Programming (1979) (40)
- Strong consistency of a modified maximum likelihood estimator for controlled Markov chains (1980) (37)
- Absolutely continuous and singular stochastic control (1986) (31)
- Satisfying convex risk limits by trading (2005) (27)
- Martingale and duality methods for utuility [ i . e . , utility ] maximization in an incomplete market (2015) (27)
- Double Skorokhod Map and Reneging Real-Time Queues (2008) (26)
- A free boundary problem related to singular stochastic control (1990) (26)
- 1optimal Investment and Consumption with Two Bonds and Transaction Costs (1991) (25)
- Multi-dimensional finite-fuel singular stochastic control (1992) (24)
- Futures trading with transaction costs (2010) (23)
- An Introduction to Singular Stochastic Control (1988) (23)
- Valuation of exotic options under shortselling constraints (2002) (23)
- Multiple-input heavy-traffic real-time queues (2003) (22)
- A Unied Model for Credit Derivatives (2002) (22)
- Reflected Brownian Motion in the “Bang-Bang” Control of Brownian Drift (1981) (20)
- Continuous-Time Models (2021) (20)
- The binomial asset pricing model (2005) (19)
- A decomposition of the Brownian path (1987) (17)
- Stochastics and stochastics reports (1990) (15)
- Accuracy of state space collapse for earliest-deadline-first queues (2006) (14)
- Dynamic Programming in Complete Separable Spaces (1977) (12)
- Optimality conditions for utility maximization in an incomplete market (1990) (11)
- Connections between optimal stopping and stochastic control I. Monotone follower problems (1984) (11)
- A Martingale Formulation for Optimal Consumption/Investment Decision Making (1997) (10)
- Probability measures and the C-sets of Selivanovskij (1978) (9)
- Dealing with Dangerous Digitals (2001) (9)
- Existence of optimal stationary policies in deterministic optimal control (1979) (8)
- Second order approximation for the customer time in queue distribution under the FIFO service discipline (2003) (8)
- Explicit solution of a consumption/investment problem (1986) (7)
- Liquidity premium for capital asset pricing with transaction costs (1995) (6)
- Martingales and the theory of capital asset pricing (1992) (6)
- Resolution of measurability problems in discrete — time stochastic control (1979) (5)
- Matching Statistics of an It\^o Process by a Process of Diffusion Type (2010) (5)
- DYNAMIC PROGRAMMING IN BOREL SPACES (1978) (5)
- MATHEMATICAL ISSUES IN DYNAMIC PROGRAMMING (2002) (4)
- Equivalent martingale measures and optimal market completions (1990) (3)
- A Classical Moment-Based Approach with Bayesian Properties: Econometric Theory and Empirical Evidence from Asset Pricing Comments welcome (2013) (2)
- Optimal Consumption and Investment Policies Allowing for Consumption Constraints, Bankruptcy, and Welfare (1997) (2)
- Randomized self-tuning control of Markov chains (1980) (2)
- Borel-approachable functions (1981) (2)
- Term-Structure Models (2004) (2)
- Matching Statistics of an Itô Process by a Process of Diffusion Type March 13 , 2010 (2010) (2)
- NEW THEORETICAL FRAMEWORK FOR FINITE HORIZON STOCHASTIC CONTROL. (1976) (1)
- A tribute to Wendell H. Fleming (1993) (1)
- Connections with Partial Differential Equations (2004) (1)
- The Binomial No-Arbitrage Pricing Model (2005) (1)
- Equivalent stochastic and deterministic optimal control problems (1976) (1)
- A Brownian Model of Financial Markets (1998) (1)
- Brownian Motion and Partial Differential Equations (1998) (1)
- Steven E. Shreve (2019) (0)
- Contingent Claims in Incomplete Markets (1998) (0)
- Probability Theory on Coin Toss Space (2005) (0)
- Introduction to Jump Processes (2004) (0)
- Equilibrium in a Complete Market (1998) (0)
- EOUILIBRIUM IN A SIMPLIFIED DYNAMIC, STOCHASTIC ECONOMY WITH HETEROGENEOUS AGENTS (2005) (0)
- Optimal Control with Diminishing and Zero Cost for Control. (1985) (0)
- Martingales, Stopping Times, and Filtrations (1998) (0)
- Recursive algorithms for adaptive control of finite Markov chains: Y. M. EL-FATTAH (Laboratoire d'Electronique et d'Etude des Syste'mes Automatiques, Rabat) (1979) (0)
- Degenerate diffusion processes in portfolio management (1982) (0)
- General Probability Theory (2004) (0)
- Singular and Bang-Bang Stochastic Control (1988) (0)
- Book Reviews (2000) (0)
- Constrained Consumption and Investment (1998) (0)
- Brownian motion : a graduate course in stochastic processes (1985) (0)
- Editorial (2001) (0)
- Single-Agent Consumption and Investment (1998) (0)
- Diffusion Limit of Poisson Limit-Order Book Models. (2020) (0)
- Connections Between Optimal Stopping and Stochastic Control II: Bounded-Variation Follower Problems (1984) (0)
- Risk-Neutral Pricing (2004) (0)
- Information and Conditioning (2004) (0)
- A note on optimal switching between two activities (1981) (0)
- Change of Numéraire (2004) (0)
- Optimization Over Time: Dynamic Programming and Stochastic Control, Vol. 1.@@@Optimization Over Time: Dynamic Programming and Stochastic Control, Vol. 2. (1984) (0)
- P. Lévy’s Theory of Brownian Local Time (1998) (0)
- EQUIVALENT MARTINGALE MEASURES AND OPTIMAL MARKET COMPLETIONS by loannis Karatzas (2015) (0)
- American Derivative Securities (2005) (0)
- OPTIMAL INVESTMENT AND CONSUMPTION WITH TRANSACTION COSTS PART II: TWO BONDS (2005) (0)
- Interest-Rate-Dependent Assets (2005) (0)
- EQUILIBRIUM MODELS WITH SINGULAR ASSET PRICES by loannis Karatzas (2015) (0)
- Editorial (2004) (0)
- Controlled Diffusion Approximations for Controlled Queueing Systems (1998) (0)
- Winter 2010 Futures trading with transaction costs (2015) (0)
- Contingent Claim Valuation in a Complete Market (1998) (0)
- Breaking down barriers (2003) (0)
- A Review of Stochastic Calculus for Finance (2008) (0)
- Real-Time Queues in Heavy TraÆ with Earliest-Deadline-First Queue Dis ipline (2000) (0)
- Satisfying Convex Risk Limits byTradingKasper (2003) (0)
- Program of the Oral Qualication Examination on the topic of "Mathematical Finance" For students seeking the degree of Doctor of Philosophy in Mathematical Sciences and intending to concentrate in Mathematical Finance (2009) (0)
- Equilibrium in a multi-agent consumption/investment problem (1987) (0)
- Escrow and Clawback (2018) (0)

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## What Schools Are Affiliated With Steven E. Shreve?

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