Dmitry Kramkov

2.5k total citations · 1 hit paper
24 papers, 1.3k citations indexed

About

Dmitry Kramkov is a scholar working on Finance, Economics and Econometrics and Management Science and Operations Research. According to data from OpenAlex, Dmitry Kramkov has authored 24 papers receiving a total of 1.3k indexed citations (citations by other indexed papers that have themselves been cited), including 24 papers in Finance, 18 papers in Economics and Econometrics and 9 papers in Management Science and Operations Research. Recurrent topics in Dmitry Kramkov's work include Stochastic processes and financial applications (24 papers), Economic theories and models (14 papers) and Risk and Portfolio Optimization (9 papers). Dmitry Kramkov is often cited by papers focused on Stochastic processes and financial applications (24 papers), Economic theories and models (14 papers) and Risk and Portfolio Optimization (9 papers). Dmitry Kramkov collaborates with scholars based in United States, Russia and Germany. Dmitry Kramkov's co-authors include Walter Schachermayer, Yu. M. Kabanov, Hans Föllmer, Mihai Ŝırbu, Yuri Kabanov, Albert N. Shiryaev, Alexander Melnikov, Peter Bank, Ernesto Mordecki and Julien Hugonnier and has published in prestigious journals such as The Annals of Probability, Probability Theory and Related Fields and Stochastic Processes and their Applications.

In The Last Decade

Dmitry Kramkov

24 papers receiving 1.1k citations

Hit Papers

The asymptotic elasticity of utility functions and optima... 1999 2026 2008 2017 1999 100 200 300 400 500
What are hit papers?

Hit papers significantly outperform the citation benchmark for their cohort. A paper qualifies if it has ≥500 total citations, achieves ≥1.5× the top-1% citation threshold for papers in the same subfield and year (this is the minimum needed to enter the top 1%, not the average within it), or reaches the top citation threshold in at least one of its specific research topics.

  1. The asymptotic elasticity of utility functions and optimal investment in incomplete markets
    1999 530 citations Dmitry Kramkov, Walter Schachermayer The Annals of Applied Probability profile →

Peers — A (Enhanced Table)

Peers by citation overlap · career bar shows stage (early→late) cites · hero ref

Name h Career Trend Papers Cites
Dmitry Kramkov United States 14 1.2k 810 546 151 52 24 1.3k
Vicky Henderson United Kingdom 18 1.1k 0.9× 558 0.7× 264 0.5× 137 0.9× 35 0.7× 61 1.2k
Knut K. Aase Norway 14 543 0.5× 504 0.6× 218 0.4× 285 1.9× 25 0.5× 69 801
Mark Schröder United States 16 1.0k 0.9× 552 0.7× 152 0.3× 119 0.8× 127 2.4× 33 1.2k
Klaus Sandmann Germany 9 571 0.5× 265 0.3× 169 0.3× 164 1.1× 62 1.2× 28 681
Agatha Murgoci Denmark 6 771 0.6× 550 0.7× 501 0.9× 394 2.6× 32 0.6× 15 1.0k
Johannes Muhle‐Karbe United Kingdom 15 611 0.5× 360 0.4× 110 0.2× 72 0.5× 37 0.7× 69 658
Philipp Schönbucher Switzerland 13 962 0.8× 301 0.4× 166 0.3× 66 0.4× 42 0.8× 22 1.1k
Antoon Pelsser Netherlands 19 917 0.8× 397 0.5× 180 0.3× 412 2.7× 91 1.8× 103 1.1k
Costis Skiadas United States 19 1.1k 0.9× 877 1.1× 295 0.5× 95 0.6× 200 3.8× 30 1.4k
Dylan Possamaï France 15 486 0.4× 264 0.3× 208 0.4× 89 0.6× 16 0.3× 52 616

Countries citing papers authored by Dmitry Kramkov

Since Specialization
Citations

This map shows the geographic impact of Dmitry Kramkov's research. It shows the number of citations coming from papers published by authors working in each country. You can also color the map by specialization and compare the number of citations received by Dmitry Kramkov with the expected number of citations based on a country's size and research output (numbers larger than one mean the country cites Dmitry Kramkov more than expected).

Fields of papers citing papers by Dmitry Kramkov

Since Specialization
Physical SciencesHealth SciencesLife SciencesSocial Sciences

This network shows the impact of papers produced by Dmitry Kramkov. Nodes represent research fields, and links connect fields that are likely to share authors. Colored nodes show fields that tend to cite the papers produced by Dmitry Kramkov. The network helps show where Dmitry Kramkov may publish in the future.

Co-authorship network of co-authors of Dmitry Kramkov

This figure shows the co-authorship network connecting the top 25 collaborators of Dmitry Kramkov. A scholar is included among the top collaborators of Dmitry Kramkov based on the total number of citations received by their joint publications. Widths of edges represent the number of papers authors have co-authored together. Node borders signify the number of papers an author published with Dmitry Kramkov. Dmitry Kramkov is excluded from the visualization to improve readability, since they are connected to all nodes in the network.

All Works

20 of 20 papers shown
1.
Kramkov, Dmitry, et al.. (2019). Density of the set of probability measures with the martingale representation property. The Annals of Probability. 47(4). 1 indexed citations
2.
Kramkov, Dmitry, et al.. (2016). Muckenhoupt’s (Ap) condition and the existence of the optimal martingale measure. Stochastic Processes and their Applications. 126(9). 2615–2633. 2 indexed citations
3.
Bank, Peter & Dmitry Kramkov. (2015). A model for a large investor trading at market indifference prices. II: Continuous-time case. The Annals of Applied Probability. 25(5). 14 indexed citations
4.
Bank, Peter & Dmitry Kramkov. (2014). The stochastic field of aggregate utilities and its saddle conjugate. Proceedings of the Steklov Institute of Mathematics. 287(1). 14–53. 1 indexed citations
5.
Kramkov, Dmitry. (2014). Existence of an endogenously complete equilibrium driven by a diffusion. Finance and Stochastics. 19(1). 1–22. 10 indexed citations
6.
Kramkov, Dmitry, et al.. (2013). Integral representation of martingales motivated by the problem of endogenous completeness in financial economics. Stochastic Processes and their Applications. 124(1). 81–100. 7 indexed citations
7.
Bank, Peter & Dmitry Kramkov. (2012). On a stochastic differential equation arising in a price impact model. Stochastic Processes and their Applications. 123(3). 1160–1175. 4 indexed citations
8.
Kramkov, Dmitry & Mihai Ŝırbu. (2007). Asymptotic analysis of utility-based hedging strategies for small number of contingent claims. Stochastic Processes and their Applications. 117(11). 1606–1620. 26 indexed citations
9.
Kramkov, Dmitry & Mihai Ŝırbu. (2006). On the two-times differentiability of the value functions in the problem of optimal investment in incomplete markets. The Annals of Applied Probability. 16(3). 25 indexed citations
10.
Kramkov, Dmitry & Mihai Ŝırbu. (2006). Sensitivity analysis of utility-based prices and risk-tolerance wealth processes. The Annals of Applied Probability. 16(4). 45 indexed citations
11.
Hugonnier, Julien, Dmitry Kramkov, & Walter Schachermayer. (2005). ON UTILITY‐BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS. Mathematical Finance. 15(2). 203–212. 5 indexed citations
12.
Kramkov, Dmitry & Walter Schachermayer. (2003). Necessary and sufficient conditions in the problem of optimal investment in incomplete markets. The Annals of Applied Probability. 13(4). 117 indexed citations
13.
Kabanov, Yuri & Dmitry Kramkov. (1998). Asymptotic arbitrage in large financial markets. Finance and Stochastics. 2(2). 143–172. 55 indexed citations
14.
Föllmer, Hans & Dmitry Kramkov. (1997). Optional decompositions under constraints. Probability Theory and Related Fields. 109(1). 1–25. 116 indexed citations
15.
Kramkov, Dmitry. (1996). Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets. Probability Theory and Related Fields. 105(4). 459–479. 157 indexed citations
16.
Kramkov, Dmitry. (1996). Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets. Probability Theory and Related Fields. 105(4). 459–479. 19 indexed citations
17.
Shiryaev, Albert N., Yu. M. Kabanov, Dmitry Kramkov, & Alexander Melnikov. (1995). Toward the Theory of Pricing of Options of Both European and American Types. II. Continuous Time. Theory of Probability and Its Applications. 39(1). 61–102. 47 indexed citations
18.
Kramkov, Dmitry & Albert N. Shiryaev. (1995). On the Rational Pricing of the “Russian Option” for the Symmetrical Binomial Model of a $(B,S)$-Market. Theory of Probability and Its Applications. 39(1). 153–162. 11 indexed citations
19.
Kramkov, Dmitry & Ernesto Mordecki. (1995). Integral Option. Theory of Probability and Its Applications. 39(1). 162–172. 16 indexed citations
20.
Kabanov, Yu. M. & Dmitry Kramkov. (1995). No-Arbitrage and Equivalent Martingale Measures: An Elementary Proof of the Harrison–Pliska Theorem. Theory of Probability and Its Applications. 39(3). 523–527. 32 indexed citations

Rankless uses publication and citation data sourced from OpenAlex, an open and comprehensive bibliographic database. While OpenAlex provides broad and valuable coverage of the global research landscape, it—like all bibliographic datasets—has inherent limitations. These include incomplete records, variations in author disambiguation, differences in journal indexing, and delays in data updates. As a result, some metrics and network relationships displayed in Rankless may not fully capture the entirety of a scholar's output or impact.

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