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Mathematics

D-Index
39
Citations
34319
World Ranking
2107
National Ranking
889

Overview

Steven E. Shreve is affiliated with Carnegie Mellon University in the United States. Their research primarily spans the fields of Economics, Econometrics, and Finance. Within these fields, their work encompasses several subfields, including Economics and Econometrics, Finance, Mathematical Physics, Condensed Matter Physics, and General Economics, Econometrics, and Finance.

Their scholarly contributions cover a range of topics related to financial systems and mathematical analysis. These main topics include:

  • Complex Systems and Time Series Analysis
  • Financial Risk and Volatility Modeling
  • Mathematical Dynamics and Fractals
  • Theoretical and Computational Physics
  • Financial Markets and Investment Strategies
  • Monetary Policy and Economic Impact
  • Housing Market and Economics

Steven E. Shreve's recent publications consist of two papers. The first is titled "Diffusion Limit of Poisson Limit-Order Book Models", published in 2020 through arXiv (Cornell University). The second, published in 2022 in the SIAM Journal on Financial Mathematics, is titled "Escrow and Clawback".

Their frequent co-authors include:

  • Christopher Almost
  • John P. Lehoczky
  • Xiaofeng Yu
  • Jing Wang

The venues in which Steven E. Shreve publishes tend to align with their research interests in finance and applied mathematics. Notable publication venues include arXiv (Cornell University) and the SIAM Journal on Financial Mathematics.

Best Publications

  • Brownian Motion and Stochastic Calculus

    Ioannis Karatzas;Steven E. Shreve

  • Methods of Mathematical Finance

    Ioannis Karatzas;Steven E. Shreve

  • Stochastic Calculus for Finance II: Continuous-Time Models

    Steven E. Shreve

  • Stochastic optimal control : the discrete time case

    Dimitri P. Bertsekas;Steven E. Shreve

  • Optimal portfolio and consumption decisions for a “small investor” on a finite horizon

    Ioannis Karatzas;John P. Lehoczky;Steven E. Shreve

  • Martingale and duality methods for utility maximization in a incomplete market

    Ioannis Karatzas;John P. Lehoczky;Steven E. Shreve;Gan-Lin Xu

  • Optimal Investment and Consumption with Transaction Costs

    S. E. Shreve;H. M. Soner

  • Robustness of the Black and Scholes Formula

    Nicole El Karoui;Monique Jeanblanc‐Picquè;Steven E. Shreve

  • Explicit Solution of a General Consumption/Investment Problem

    Ioannis Karatzas;John P. Lehoczky;Suresh P. Sethi;Steven E. Shreve

  • There is no Nontrivial Hedging Portfolio for Option Pricing with Transaction Costs

    H. M. Soner;S. E. Shreve;J. Cvitanić

  • Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers

    S. E. Shreve;J. P. Lehoczky;D. P. Gaver

  • Existence and Uniqueness of Multi-Agent Equilibrium in a Stochastic, Dynamic Consumption/Investment Model

    Ioannis Karatzas;John P. Lehoczky;Steven E. Shreve

  • Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems

    Ioannis Karatzas;Steven E. Shreve

  • Optimal Execution in a General One-Sided Limit-Order Book

    Silviu Predoiu;Gennady Shaikhet;Steven Shreve

  • Real-time queues in heavy traffic with earliest-deadline-first queue discipline

    Bogdan Doytchinov;John Lehoczky;Steven Shreve

  • An explicit formula for the Skorokhod map on [0,a].

    Lukasz Kruk;John Lehoczky;Kavita Ramanan;Steven Shreve

  • Asymptotic analysis for optimal investment and consumption with transaction costs

    Karel Janecek;Steven E. Shreve

  • Regularity of the value function for a two-dimensional singular stochastic control problem

    H. Mete Soner;Steven E. Shreve

  • A Duality Method for Optimal Consumption and Investment Under Short- Selling Prohibition. I. General Market Coefficients

    Gan-Lin Xu;Steven E. Shreve

  • Connections Between Optimal Stopping and Singular Stochastic Control II. Reflected Follower Problems

    Ioannis Karatzas;Steven E. Shreve

Frequent Co-Authors

Ioannis Karatzas
Ioannis Karatzas Columbia University
John P. Lehoczky
John P. Lehoczky Carnegie Mellon University
Dimitri P. Bertsekas
Dimitri P. Bertsekas Arizona State University
Suresh P. Sethi
Suresh P. Sethi The University of Texas at Dallas
Kavita Ramanan
Kavita Ramanan Brown University
H. Mete Soner
H. Mete Soner Princeton University
Jakša Cvitanić
Jakša Cvitanić California Institute of Technology
Mark H. A. Davis
Mark H. A. Davis Imperial College London

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