David Itkin

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Open Markets and Hybrid Jacobi Processes (available as arXiv preprint)	N/A	Paper
Ergodic robust maximisation of asymptotic growth with stochastic factor processes Finance and Stochastics	2026-09-25	Paper
Folding representations of reflected diffusions (available as arXiv preprint)	2026-01-01	Paper
When Hedging Changes the Payoff: Option Replication with Price Impact and Execution Costs (available as arXiv preprint)	2026-01-01	Paper
Tackling nonlinear price impact with linear strategies Mathematical Finance	2025-04-02	Paper
Ergodic robust maximization of asymptotic growth with stochastic factor processes (available as arXiv preprint)	2025-01-01	Paper
Stochastic portfolio theory with price impact (available as arXiv preprint)	2025-01-01	Paper
Consumption-Investment Problem in Rank-Based Models (available as arXiv preprint)	2025-01-01	Paper
Stochastic factors can matter: improving robust growth under ergodicity (available as arXiv preprint)	2025-01-01	Paper
Open markets and hybrid Jacobi processes The Annals of Applied Probability	2024-08-22	Paper
Generalized Rank Dirichlet distributions Statistics & Probability Letters	2024-02-12	Paper
Robust asymptotic growth in stochastic portfolio theory under long‐only constraints Mathematical Finance	2023-09-28	Paper
Ergodic robust maximization of asymptotic growth under stochastic volatility	2022-11-28	Paper
On A Class Of Rank-Based Continuous Semimartingales	2021-04-09	Paper
On A Class Of Rank-Based Continuous Semimartingales (available as arXiv preprint)	2021-01-01	Paper
Toeplitz operators with discontinuous symbols on the sphere Springer Proceedings in Mathematics & Statistics	2017-07-13	Paper

Research outcomes over time

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