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Gordan Zitkovic
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2020 – today
- 2022
- [j9]Joe Jackson, Gordan Zitkovic:
Existence and Uniqueness for Non-Markovian Triangular Quadratic BSDEs. SIAM J. Control. Optim. 60(3): 1642-1666 (2022)
2010 – 2019
- 2018
- [j8]Kasper Larsen, Oleksii Mostovyi, Gordan Zitkovic:
An expansion in the model space in the context of utility maximization. Finance Stochastics 22(2): 297-326 (2018) - 2017
- [j7]Jiexian Li, Gordan Zitkovic:
Existence, Characterization, and Approximation in the Generalized Monotone-Follower Problem. SIAM J. Control. Optim. 55(1): 94-118 (2017) - 2016
- [j6]Kasper Larsen, Halil Mete Soner, Gordan Zitkovic:
Facelifting in utility maximization. Finance Stochastics 20(1): 99-121 (2016) - 2014
- [j5]Gordan Zitkovic:
Dynamic Programming for Controlled Markov Families: Abstractly and over Martingale Measures. SIAM J. Control. Optim. 52(3): 1597-1621 (2014) - 2013
- [j4]Jin Hyuk Choi, Mihai Sîrbu, Gordan Zitkovic:
Shadow Prices and Well-Posedness in the Problem of Optimal Investment and Consumption with Transaction Costs. SIAM J. Control. Optim. 51(6): 4414-4449 (2013) - 2012
- [j3]Gordan Zitkovic:
An example of a stochastic equilibrium with incomplete markets. Finance Stochastics 16(2): 177-206 (2012) - 2010
- [j2]Thaleia Zariphopoulou, Gordan Zitkovic:
Maturity-Independent Risk Measures. SIAM J. Financial Math. 1(1): 266-288 (2010)
2000 – 2009
- 2008
- [c1]Thaleia Zariphopoulou, Gordan Zitkovic:
Maturity-independent risk measures. CDC 2008: 5596-5601 - 2006
- [j1]Gordan Zitkovic:
Financial equilibria in the semimartingale setting: Complete markets and markets with withdrawal constraints. Finance Stochastics 10(1): 99-119 (2006)
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