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Kim, Donghan (김동한)
조교수, Department of Mathematical Sciences(수리과학과)

https://sites.google.com/view/donghan-kim/

Research Area
Portfolio theory, Stochastic analysis
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    NO Title, Author(s) (Publication Title, Volume Issue, Page, Issue Date)
    1
    A trajectorial approach to entropy dissipation for degenerate parabolic equations

    Kim, Donghan; Yeung, Lane Chun, Bernoulli, v.30, no.3, pp.2253 - 2274, 2024-08

    2
    Arbitrage theory in a market of stochastic dimension

    Bayraktar, Erhan; Kim, Donghan; Tilva, Abhishek, MATHEMATICAL FINANCE, v.34, no.3, pp.847 - 895, 2024-07

    3
    Quantifying dimensional change in stochastic portfolio theory

    Bayraktar, Erhan; Kim, Donghan; Tilva, Abhishek, MATHEMATICAL FINANCE, v.34, no.3, pp.977 - 1021, 2024-07

    4
    Market-to-book ratio in stochastic portfolio theory

    Kim, Donghan, FINANCE AND STOCHASTICS, v.27, no.2, pp.401 - 434, 2023-04

    5
    Local Times for Continuous Paths of Arbitrary Regularity

    Kim, Donghan, JOURNAL OF THEORETICAL PROBABILITY, v.35, no.4, pp.2540 - 2568, 2022-12

    6
    Open markets

    Karatzas, Ioannis; Kim, Donghan, MATHEMATICAL FINANCE, v.31, no.4, pp.1111 - 1161, 2021-10

    7
    Trading strategies generated pathwise by functions of market weights

    Karatzas, Ioannis; Kim, Donghan, FINANCE AND STOCHASTICS, v.24, no.2, pp.423 - 463, 2020-04
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