Следене
Gordan Zitkovic
Gordan Zitkovic
Department of Mathematics, University of Texas at Austin
Потвърден имейл адрес: math.utexas.edu - Начална страница
Заглавие
Позовавания
Позовавания
Година
Optimal consumption from investment and random endowment in incomplete semimartingale markets
I Karatzas, G Žitković
The Annals of Probability 31 (4), 1821-1858, 2003
1922003
A class of globally solvable Markovian quadratic BSDE systems and applications
H Xing, G Žitković
812018
Optimal investment with an unbounded random endowment and utility‐based pricing
MP Owen, G Žitković
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2009
792009
A dual characterization of self-generation and exponential forward performances
G Žitković
652009
Stability of utility-maximization in incomplete markets
K Larsen, G Žitković
Stochastic Processes and their Applications 117 (11), 1642-1662, 2007
632007
A filtered version of the bipolar theorem of Brannath and Schachermayer
G Žitković
Journal of Theoretical Probability 15, 41-61, 2002
602002
Utility maximization with a stochastic clock and an unbounded random endowment
G Žitković
592005
Incomplete stochastic equilibria with exponential utilities close to Pareto optimality
C Kardaras, H Xing, G Žitković
Stochastic Analysis, Filtering, and Stochastic Optimization: A Commemorative …, 2022
47*2022
Maturity-independent risk measures
T Zariphopoulou, G Žitković
SIAM Journal on Financial Mathematics 1 (1), 266-288, 2010
442010
Convex compactness and its applications
G Žitković
Mathematics and Financial Economics 3, 1-12, 2010
432010
Shadow prices and well-posedness in the problem of optimal investment and consumption with transaction costs
JH Choi, M Sirbu, G Zitkovic
SIAM Journal on Control and Optimization 51 (6), 4414-4449, 2013
402013
Stability of the utility maximization problem with random endowment in incomplete markets
C Kardaras, G Žitković
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2011
342011
An example of a stochastic equilibrium with incomplete markets
G Žitković
Finance and Stochastics 16, 177-206, 2012
322012
On utility maximization under convex portfolio constraints
K Larsen, G Žitković
222013
Dynamic programming for controlled Markov families: abstractly and over martingale measures
G Zitkovic
SIAM Journal on Control and Optimization 52 (3), 1597-1621, 2014
172014
Financial equilibria in the semimartingale setting: complete markets and markets with withdrawal constraints
G Žitković
Finance and Stochastics 10, 99-119, 2006
172006
Forward-convex convergence in probability of sequences of nonnegative random variables
C Kardaras, G Žitković
Proceedings of the American Mathematical Society 141 (3), 919-929, 2013
162013
ON AGENT’S AGREEMENT AND PARTIAL‐EQUILIBRIUM PRICING IN INCOMPLETE MARKETS
M Anthropelos, G Žitković
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2010
162010
Maximizing the growth rate under risk constraints
TA Pirvu, G Žitković
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2009
162009
An expansion in the model space in the context of utility maximization
K Larsen, O Mostovyi, G Žitković
Finance and Stochastics 22, 297-326, 2018
142018
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