Gordan Žitković
- Existence and uniqueness for non-Markovian triangular quadratic BSDEs
2021/01/28 by Joe Jackson, Gordan Žitković, Jackson, Joe +1 · 3 citations
Economics, Econometrics and Finance · Mathematics · #Stochastic processes and financial applications #Economic theories and models #Stochastic processes and statistical mechanics
- Stability of the utility maximization problem with random endowment in\n incomplete markets
2007/06/04 by Constantinos Kardaras, Kardaras, Constantinos, Gordan Žitković +1 · 1 citation
Decision Sciences · Economics, Econometrics and Finance · #Economic theories and models #FOS: Economics and business #FOS: Mathematics #Optimization and Control (math.OC) #Portfolio Management (q-fin.PM) #Probability (math.PR) #Risk and Portfolio Optimization #Stochastic processes and financial applications
- Stability of utility-maximization in incomplete markets
2007/06/04 by Kasper Larsen, Larsen, Kasper, Gordan Žitković +1 · 1 citation
Economics, Econometrics and Finance · #Economic theories and models #FOS: Economics and business #FOS: Mathematics #Financial Markets and Investment Strategies #Optimization and Control (math.OC) #Portfolio Management (q-fin.PM) #Probability (math.PR) #Stochastic processes and financial applications
- Shadow prices and well-posedness in the problem of optimal investment\n and consumption with transaction costs
2012/04/01 by Jin Hyuk Choi, Choi, Jin Hyuk, Mihai Ŝırbu +3 · 1 citation
Economics, Econometrics and Finance · #Economic theories and models #FOS: Economics and business #FOS: Mathematics #Financial Markets and Investment Strategies #Optimization and Control (math.OC) #Portfolio Management (q-fin.PM) #Stochastic processes and financial applications
- Kyle's Model with Stochastic Liquidity
2022/04/23 by Ibrahim Ekren, Brad Mostowski, Ekren, Ibrahim +3 · 1 citation
Economics, Econometrics and Finance · #60H30 #60J60 (Primary) 91B44 (Secondary) #Complex Systems and Time Series Analysis #FOS: Economics and business #FOS: Mathematics #Financial Markets and Investment Strategies #Pricing of Securities (q-fin.PR) #Probability (math.PR) #Stochastic processes and financial applications #Trading and Market Microstructure (q-fin.TR)
- Maturity-independent risk measures
2007/10/20 by Thaleia Zariphopoulou, Zariphopoulou, Thaleia, Gordan Žitković +1 · 1 citation
Decision Sciences · Economics, Econometrics and Finance · #FOS: Economics and business #FOS: Mathematics #Financial Risk and Volatility Modeling #Optimization and Control (math.OC) #Probability (math.PR) #Risk Management (q-fin.RM) #Risk and Portfolio Optimization #Stochastic processes and financial applications