Steven E. Shreve
#21,155
Most Influential Person
American mathematician
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
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 Papers
- Stochastic Differential Equations (2019) (2448)
- Methods of Mathematical Finance (2010) (1359)
- Stochastic optimal control : the discrete time case (2007) (1349)
- Stochastic Calculus for Finance II: Continuous-Time Models (2010) (1285)
- Optimal portfolio and consumption decisions for a “small investor” on a finite horizon (1987) (1036)
- Martingale and duality methods for utility maximization in a incomplete market (1991) (661)
- Optimal Investment and Consumption with Transaction Costs (1994) (579)
- Stochastic calculus for finance (2004) (492)
- Robustness of the Black and Scholes Formula (1998) (380)
- Explicit Solution of a General Consumption/Investment Problem (1986) (371)
- There is no nontrivial hedging portfolio for option pricing with transaction costs (1995) (281)
- Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems (1984) (197)
- Existence and Uniqueness of Multi-Agent Equilibrium in a Stochastic, Dynamic Consumption/Investment Model (1990) (193)
- Optimal Execution in a General One-Sided Limit-Order Book (2011) (190)
- Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers (1984) (189)
- Stochastic Calculus for Finance : The Binomial Asset Pricing Model (2007) (155)
- A Duality Method for Optimal Consumption and Investment Under Short- Selling Prohibition. I. General Market Coefficients (1992) (151)
- Real-time queues in heavy traffic with earliest-deadline-first queue discipline (2001) (142)
- Asymptotic analysis for optimal investment and consumption with transaction costs (2004) (141)
- An explicit formula for the Skorokhod map on [0,a]. (2007) (140)
- Connections Between Optimal Stopping and Singular Stochastic Control II. Reflected Follower Problems (1985) (118)
- Regularity of the value function for a two-dimensional singular stochastic control problem (1989) (111)
- Mimicking an Itô process by a solution of a stochastic differential equation (2010) (87)
- A GENERAL FRAMEWORK FOR PRICING CREDIT RISK (2004) (77)
- A Two-Person Game for Pricing Convertible Bonds (2006) (61)
- Trivariate Density of Brownian Motion, Its Local and Occupation Times, with Application to Stochastic Control (1984) (61)
- Equivalent models for finite-fuel stochastic control (1986) (59)
- Equilibrium Models with Singular Asset Prices (1991) (56)
- Options on a traded account: Vacation calls, vacation puts and passport options (2000) (56)
- Heavy traffic analysis for EDF queues with reneging (2011) (55)
- Earliest-deadline-first service in heavy-traffic acyclic networks (2004) (51)
- Optimal Consumption and Investment Policies Allowing Consumption Constraints and Bankruptcy (1983) (48)
- A free boundary problem related to singular stochastic control: the parabolic case (1991) (46)
- Heavy Traffic Convergence of a Controlled, Multiclass Queueing System (1996) (45)
- Perpetual Convertible Bonds (2004) (43)
- Alternative theoretical frameworks for finite horizon discrete-time stochastic optimal control (1977) (43)
- Martingale and duality methods for utuility [ i . e . , utility ] maximization in an incomplete market (2015) (41)
- Universally Measurable Policies in Dynamic Programming (1979) (39)
- Utility Maximization Trading Two Futures with Transaction Costs (2013) (37)
- Strong consistency of a modified maximum likelihood estimator for controlled Markov chains (1980) (35)
- Absolutely continuous and singular stochastic control (1986) (30)
- Continuous-Time Models (2021) (30)
- Satisfying convex risk limits by trading (2005) (28)
- 1optimal Investment and Consumption with Two Bonds and Transaction Costs (1991) (27)
- A free boundary problem related to singular stochastic control (1990) (26)
- Double Skorokhod Map and Reneging Real-Time Queues (2008) (26)
- Valuation of exotic options under shortselling constraints (2002) (23)
- An Introduction to Singular Stochastic Control (1988) (23)
- A Unied Model for Credit Derivatives (2002) (22)
- Multiple-input heavy-traffic real-time queues (2003) (22)
- Multi-dimensional finite-fuel singular stochastic control (1992) (21)
- The binomial asset pricing model (2005) (21)
- Futures trading with transaction costs (2010) (20)
- Reflected Brownian Motion in the “Bang-Bang” Control of Brownian Drift (1981) (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) (13)
- Dynamic Programming in Complete Separable Spaces (1977) (12)
- Connections between optimal stopping and stochastic control I. Monotone follower problems (1984) (11)
- Optimality conditions for utility maximization in an incomplete market (1990) (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)
- Second order approximation for the customer time in queue distribution under the FIFO service discipline (2003) (8)
- Existence of optimal stationary policies in deterministic optimal control (1979) (8)
- Explicit solution of a consumption/investment problem (1986) (7)
- Liquidity premium for capital asset pricing with transaction costs (1995) (6)
- DYNAMIC PROGRAMMING IN BOREL SPACES (1978) (5)
- Martingales and the theory of capital asset pricing (1992) (5)
- 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) (4)
- MATHEMATICAL ISSUES IN DYNAMIC PROGRAMMING (2002) (3)
- Equivalent martingale measures and optimal market completions (1990) (3)
- Matching Statistics of an Itô Process by a Process of Diffusion Type March 13 , 2010 (2010) (3)
- A Classical Moment-Based Approach with Bayesian Properties: Econometric Theory and Empirical Evidence from Asset Pricing Comments welcome (2013) (2)
- Borel-approachable functions (1981) (2)
- Randomized self-tuning control of Markov chains (1980) (2)
- Optimal Consumption and Investment Policies Allowing for Consumption Constraints, Bankruptcy, and Welfare (1997) (2)
- Term-Structure Models (2004) (2)
- The Binomial No-Arbitrage Pricing Model (2005) (1)
- A Brownian Model of Financial Markets (1998) (1)
- A tribute to Wendell H. Fleming (1993) (1)
- NEW THEORETICAL FRAMEWORK FOR FINITE HORIZON STOCHASTIC CONTROL. (1976) (1)
- Equivalent stochastic and deterministic optimal control problems (1976) (1)
- Connections with Partial Differential Equations (2004) (1)
- American Derivative Securities (2005) (0)
- General Probability Theory (2004) (0)
- Contingent Claim Valuation in a Complete Market (1998) (0)
- Optimal Control with Diminishing and Zero Cost for Control. (1985) (0)
- Optimization Over Time: Dynamic Programming and Stochastic Control, Vol. 1.@@@Optimization Over Time: Dynamic Programming and Stochastic Control, Vol. 2. (1984) (0)
- Risk-Neutral Pricing (2004) (0)
- Singular and Bang-Bang Stochastic Control (1988) (0)
- Satisfying Convex Risk Limits byTradingKasper (2003) (0)
- Book Reviews (2000) (0)
- A note on optimal switching between two activities (1981) (0)
- P. Lévy’s Theory of Brownian Local Time (1998) (0)
- Brownian Motion and Partial Differential Equations (1998) (0)
- Equilibrium in a Complete Market (1998) (0)
- Diffusion Limit of Poisson Limit-Order Book Models. (2020) (0)
- Contingent Claims in Incomplete Markets (1998) (0)
- Introduction to Jump Processes (2004) (0)
- Constrained Consumption and Investment (1998) (0)
- EQUILIBRIUM MODELS WITH SINGULAR ASSET PRICES by loannis Karatzas (2015) (0)
- Controlled Diffusion Approximations for Controlled Queueing Systems (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)
- EQUIVALENT MARTINGALE MEASURES AND OPTIMAL MARKET COMPLETIONS by loannis Karatzas (2015) (0)
- Information and Conditioning (2004) (0)
- Martingales, Stopping Times, and Filtrations (1998) (0)
- Change of Numéraire (2004) (0)
- Equilibrium in a multi-agent consumption/investment problem (1987) (0)
- Editorial (2001) (0)
- Interest-Rate-Dependent Assets (2005) (0)
- Degenerate diffusion processes in portfolio management (1982) (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)
- Probability Theory on Coin Toss Space (2005) (0)
- Single-Agent Consumption and Investment (1998) (0)
- Brownian motion : a graduate course in stochastic processes (1985) (0)
- Steven E. Shreve (2019) (0)
- Editorial (2004) (0)
- OPTIMAL INVESTMENT AND CONSUMPTION WITH TRANSACTION COSTS PART II: TWO BONDS (2005) (0)
- Real-Time Queues in Heavy TraÆ with Earliest-Deadline-First Queue Dis ipline (2000) (0)
- Connections Between Optimal Stopping and Stochastic Control II: Bounded-Variation Follower Problems (1984) (0)
- Winter 2010 Futures trading with transaction costs (2015) (0)
- EOUILIBRIUM IN A SIMPLIFIED DYNAMIC, STOCHASTIC ECONOMY WITH HETEROGENEOUS AGENTS (2005) (0)
- A Review of Stochastic Calculus for Finance (2008) (0)
- Breaking down barriers (2003) (0)
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