Shreve, Steven E.

(as bibtex)

Elsewhere: [math people] [google] [google scholar]

Books

• Stochastic optimal control: The discrete time case (1978)
  Bertsekas, Dimitri P., Shreve, Steven E.
• Brownian motion and stochastic calculus (1988)
  Karatzas, Ioannis, Shreve, Steven E.
• Brownian motion and stochastic calculus (1996)
  Karatzas, Ioannis, Shreve, Steven E.
• Methods of mathematical finance (1998)
  Karatzas, Ioannis, Shreve, Steven E.

Articles (20)

• Shreve, Steven E., Janeček, Karel. Futures trading with transaction costs. Illinois Journal of Mathematics 2010. 54:1239-1284
• Larsen, Kasper, Pirvu, Traian A., Shreve, Steven E., Tütüncü, Reha. Satisfying convex risk limits by trading. Finance and Stochastics 2005. 9:177-195
• BÉlanger, Alain, Shreve, Steven E., Wong, Dennis. A general framework for pricing credit risk. Mathematical Finance 2004. 14:317-350
• Janeček, Karel, Shreve, Steven E.. Asymptotic analysis for optimal investment and consumption with transaction costs. Finance and Stochastics 2004. 8:181-206
• S{î}rbu, Mihai, Pikovsky, Igor, Shreve, Steven E.. Perpetual convertible bonds. SIAM Journal on Control and Optimization 2004. 43:58-85
• Wystup, Uwe, Shreve, Steven E., Schmock, Uwe. Valuation of exotic options under shortselling constraints. Finance and Stochastics 2002. 6:143-172
• Vecer, Jan, Shreve, Steven E., Večeř, Jan. Options on a traded account: Vacation calls, vacation puts and passport options. Finance and Stochastics 2000. 4:255-274
• Jeanblanc-Pique, Monique, El Karoui, Nicole, Jeanblanc-Piqué, Monique, Shreve, Steven E.. Robustness of the Black and Scholes formula. Mathematical Finance 1998. 8:93-126
• Xu, Gan-Lin, Shreve, Steven E.. A duality method for optimal consumption and investment under short-selling prohibition. II. Constant market coefficients. The Annals of Applied Probability 1992. 2:314-328
• Xu, Gan-Lin, Shreve, Steven E.. A duality method for optimal consumption and investment under short-selling prohibition. I. General market coefficients. The Annals of Applied Probability 1992. 2:87-112
• Shreve, Steven E., Xu, Gan-Lin. A Duality Method for Optimal Consumption and Investment Under Short- Selling Prohibition. I. General Market Coefficients. The Annals of Applied Probability 1992. 2:87-112
• Karatzas, Ioannis, Lehoczky, John P., Shreve, Steven E., Xu, Gan-Lin. Martingale and duality methods for utility maximization in an incomplete market. SIAM Journal on Control and Optimization 1991. 29:702-730
• Karatzas, Ioannis, Lehoczky, John P., Shreve, Steven E.. Equilibrium models with singular asset prices. Mathematical Finance 1991. 1:11-29
• Karatzas, Ioannis, Shreve, Steven E.. A decomposition of the Brownian path. Statistics & Probability Letters 1987. 5:87-93
• Karatzas, Ioannis, Lehoczky, John P., Shreve, Steven E.. Optimal portfolio and consumption decisions for a ``small investor'' on a finite horizon. SIAM Journal on Control and Optimization 1987. 25:1557-1586
• Karatzas, Ioannis, Shreve, Steven E.. Equivalent models for finite-fuel stochastic control. Stochastics and Stochastics Reports 1986. 18:245-276
• Karatzas, Ioannis, Shreve, Steven E.. Trivariate density of Brownian motion, its local and occupation times, with application to stochastic control. The Annals of Probability 1984. 12:819-828
• Shreve, Steven E.. A note on optimal switching between two activities. Naval Research Logistics (NRL) 1981. 28:185-190
• Doshi, Bharat, Shreve, Steven E.. Strong consistency of a modified maximum likelihood estimator for controlled Markov chains. Journal of Applied Probability 1980. 17:726-734
• Shreve, Steven E.. Probability measures and the $C$-sets of Selivanovskij.. Pacific Journal of Mathematics 1978. 79:189-196