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researcher

Jakša Cvitanić

4 papers hereh-index 385.9k citations111 works total

Matching runs newest-first, so older work may not be attached to this profile yet.

author position
  • first author4

Across the 4 of 4 papers where every author was matched, so the position is known.

fields
  • math.PR2
  • math.OC1
  • q-fin.PM1

identity via Semantic Scholar / OpenAlex

activity
20052015
most citedA filtering approach to tracking volatility from prices observed at random times

39 citations · 41 across the 2 of their papers we have counts for

collaborators
Showing 2015 · math.OCShow all

1 paper · 2 filters

math.OC2015

Dynamic programming approach to principal-agent problems

Jakša Cvitanić, Dylan Possamaï, Nizar Touzi

We consider a general formulation of the Principal-Agent problem with a lump-sum payment on a finite horizon, providing a systematic method for solving such problems. Our approach…

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Not affiliated with arXiv. Researcher data from Semantic Scholar (ODC-BY) and OpenAlex.