Dmitry Kramkov

Dmitry Kramkov is a Mellon College of Science Professor of Mathematical Finance and Director of the Center for Computational Finance at Carnegie Mellon University's Department of Mathematical Sciences. His research focuses on Mathematical Finance and the Theory of Stochastic Processes, particularly in equilibrium-based models. Notable contributions include the development of a continuous-time price impact model with Peter Bank, and work on Arrow-Debreu and Radner equilibria. His research also involves backward martingale representation and BSDEs in BMO spaces. Kramkov's work has been published in leading journals such as the Annals of Applied Probability and Probability Theory and Related Fields.

Dmitry Kramkov is a professor specializing in Probability theory, Stochastic Processes, and Mathematical Finance. His research focuses on optimal investment strategies, utility-based pricing of contingent claims, and the analysis of financial markets under incomplete information. Kramkov has contributed significantly to the understanding of no-arbitrage conditions, equivalent martingale measures, and the existence of optimal martingale measures. His work also explores quadratic backward stochastic differential equations (BSDEs) and their applications in price impact models. Additionally, he has investigated endogenous completeness in financial models and the role of insider trading in market dynamics.