Martingale and Duality Methods for Utility Maximization in an Incomplete Market

Optimum consumption and portfolio rules in a continuous-time model

1971 • 6,065 citations

Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case

1969 • 5,148 citations

Convex Analysis and Variational Problems

1976 • 4,055 citations

Martingales and arbitrage in multiperiod securities markets

1979 • 3,734 citations

Martingales and stochastic integrals in the theory of continuous trading

1981 • 2,903 citations

Optimal consumption and portfolio policies when asset prices follow a diffusion process

1989 • 1,697 citations

Lifetime Portfolio Selection By Dynamic Stochastic Programming

1969 • 1,665 citations

Brownian Motion and Stochastic Calculus

1988 • 1,489 citations

Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon

1987 • 1,141 citations

Statistics of Random Processes I

1977 • 1,012 citations

Conjugate convex functions in optimal stochastic control

1973 • 719 citations

A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios

1986 • 572 citations

A stochastic calculus model of continuous trading: Complete markets

1983 • 441 citations

Optimization Problems in the Theory of Continuous Trading

1989 • 297 citations

Optimal hedging and equilibrium in a dynamic futures market

1990 • 73 citations

Equivalent martingale measures and optimal market completions

1990 • 3 citations