Steven E. Shreve

Carnegie Mellon University - Department of Mathematical Sciences

Pittsburgh, PA 15213-3890

United States

  • Carnegie Mellon University - Department of Mathematical Sciences

SCHOLARLY PAPERS

5

DOWNLOADS

428

TOTAL CITATIONS
Rank 19,877

SSRN RANKINGS

Top 19,877

in Total Papers Citations

12

Scholarly Papers (5)

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1.

Explicit Solution of a General Consumption/Investment Problem

Mathematics of Operations Research, Vol. 11, No. 2, pp. 261-294, May 1986
Number of pages: 34 Posted: 22 Jan 2008 Last Revised: 07 Nov 2015
Ioannis Karatzas, John P. Lehoczky, Suresh Sethi and Steven E. Shreve
Columbia University - Department of Statistics, Carnegie Mellon University, University of Texas at Dallas - Naveen Jindal School of Management and Carnegie Mellon University - Department of Mathematical Sciences
Downloads 219 (292,260)
Citation 4

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Mutual fund theorem,investment-consumption problem, consumption/portfolio problem, dynamic programming, stochastic control, bankruptcy,Brownian motion

2.

Utility Maximization Trading Two Futures with Transaction Costs

SIAM Journal on Financial Mathematics, Forthcoming
Number of pages: 58 Posted: 04 Jan 2014
Maxim Bichuch and Steven E. Shreve
State University of New York (SUNY) - University at Buffalo and Carnegie Mellon University - Department of Mathematical Sciences
Downloads 146 (417,244)
Citation 3

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Transaction costs, optimal control, asymptotic analysis, utility maximization

3.

Optimal Consumption and Investment Policies Allowing Consumption Constraints and Bankruptcy

Mathematics of Operations Research, Vol. 8, No. 4, pp. 613-636, November 1983
Number of pages: 114 Posted: 20 Jan 2008 Last Revised: 24 Mar 2011
John P. Lehoczky, Suresh Sethi and Steven E. Shreve
Carnegie Mellon University, University of Texas at Dallas - Naveen Jindal School of Management and Carnegie Mellon University - Department of Mathematical Sciences
Downloads 63 (724,982)
Citation 5

Abstract:

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Consumption and Investment Problem, bankruptcy, dynamic programming, stochastic control

4.

Degenerate Diffusion Processes in Portfolio Management

Proceedings of the 1982 American Control Conference, Arlington, VA, June 14-16, 1982
Posted: 16 Jun 2020
John P. Lehoczky, Suresh Sethi and Steven E. Shreve
Carnegie Mellon University, University of Texas at Dallas - Naveen Jindal School of Management and Carnegie Mellon University - Department of Mathematical Sciences

Abstract:

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Diffusion Processes, Portfolios, Investments, Filtration, Stochastic Processes, Utility Theory, Continuous Time Systems, Motion Control, Process Control

5.

Options on a Traded Account: Vacation Calls, Vacation Puts and Passport Options

Posted: 22 Aug 2000
Steven E. Shreve and Jan Vecer
Carnegie Mellon University - Department of Mathematical Sciences and Columbia University - Department of Statistics

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Passport options, Vacation options, Stochastic control, Hamilton-Jacobi-Bellman equation, Comparison theorem, Put-call parity, Hedging