54 citations · 93 across the 23 of their papers we have counts for
30 papers
A Superprocess-based Approach to Rough CIR Processes and Feller Random Measures
Gordan Žitković
Feller random measures generalize the Feller diffusion (the CIR process) by giving it memory. They arise as the scaling limits of nearly unstable Hawkes processes, and include the…
Convergence of nonhomogeneous Hawkes processes and Feller random measures
Tristan Pace, Gordan Zitkovic
We consider a sequence of Hawkes processes whose excitation measures may depend on the generation, and study its scaling limits in the near-unstable limiting regime. The limiting r…
A functional limit theorem for additive functionals
Thibaud Taillefumier, Gordan Zitkovic
We study a general limiting framework for the convergence of sequences of additive functionals of diffusions to Lévy subordinators, and provide explicit sufficient conditions that…
Representation of Random Variables as Lebesgue Integrals
Sara Biagini, Gordan Zitkovic
We study representations of a random variable as an integral of an adapted process with respect to the Lebesgue measure. The existence of such representations in two different…
Kyle's Model with Stochastic Liquidity
Ibrahim Ekren, Brad Mostowski, Gordan Žitković
We construct an equilibrium for the continuous time Kyle's model with stochastic liquidity, a general distribution of the fundamental price, and correlated stock and volatility dyn…
Existence and uniqueness for non-Markovian triangular quadratic BSDEs
Joe Jackson, Gordan Žitković
We prove the existence and uniqueness of solutions to a class of quadratic BSDE systems which we call triangular quadratic. Our results generalize several existing results about di…