David Itkin

activity

20202026

most citedRobust Asymptotic Growth in Stochastic Portfolio Theory under Long-Only Constraints

8 citations · 12 across the 10 of their papers we have counts for

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math.PR2026

Folding representations of reflected diffusions

David Itkin, Ioannis Karatzas

Diffusion processes with reflection, possibly oblique, on the boundary of a given sufficiently regular closed convex domain in Euclidean space, are constructed in a novel way via i…

math.PR2023

Generalized Rank Dirichlet Distributions

David Itkin

We study a new parametric family of distributions on the ordered simplex $\nabla^{d - 1} = {y \in R^{d} : y_{1} \geq \dots \geq y_{d} \geq 0, \sum_{k = 1}^{d} y_{k} = 1}$ , which we cal…

math.PR2021★ 3 cited

On A Class Of Rank-Based Continuous Semimartingales

David Itkin, Martin Larsson

Using the theory of Dirichlet forms we construct a large class of continuous semimartingales on an open domain $E \subset R^{d}$ , which are governed by rank-based, in additi…