Gordan Zitkovic

Publication Activity (10 Years)

Years Active: 2006-2022
Publications (10 Years): 4

Top Topics

Approximation Error

Transaction Costs

Dynamic Programming

Top Venues

SIAM J. Control. Optim.

Finance Stochastics

Publications

Joe Jackson, Gordan Zitkovic
Existence and Uniqueness for Non-Markovian Triangular Quadratic BSDEs. SIAM J. Control. Optim. 60 (3) (2022)
Kasper Larsen, Oleksii Mostovyi, Gordan Zitkovic
An expansion in the model space in the context of utility maximization. Finance Stochastics 22 (2) (2018)
Jiexian Li, Gordan Zitkovic
Existence, Characterization, and Approximation in the Generalized Monotone-Follower Problem. SIAM J. Control. Optim. 55 (1) (2017)
Kasper Larsen, Halil Mete Soner, Gordan Zitkovic
Facelifting in utility maximization. Finance Stochastics 20 (1) (2016)
Gordan Zitkovic
Dynamic Programming for Controlled Markov Families: Abstractly and over Martingale Measures. SIAM J. Control. Optim. 52 (3) (2014)
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) (2013)
Gordan Zitkovic
An example of a stochastic equilibrium with incomplete markets. Finance Stochastics 16 (2) (2012)
Thaleia Zariphopoulou, Gordan Zitkovic
Maturity-Independent Risk Measures. SIAM J. Financial Math. 1 (1) (2010)
Thaleia Zariphopoulou, Gordan Zitkovic
Maturity-independent risk measures. CDC (2008)
Gordan Zitkovic
Financial equilibria in the semimartingale setting: Complete markets and markets with withdrawal constraints. Finance Stochastics 10 (1) (2006)