research – David Itkin

Preprints

Folding representations of reflected diffusions (with I. Karatzas), 2026. [arXiv]
Stochastic factors can matter: improving robust growth under ergodicity (with B. Binkert, P. Mangers Bastian, J. Teichmann), 2026. [arXiv, GitHub code]
Consumption-investment problem in rank-based models, 2025. [arXiv]
Stochastic portfolio theory with price impact, 2025. [arXiv, Github code]
Efficient trading with price impact (with X. Brokmann, L. Gonon, G. He, J. Muhle-Karbe), 2024. [SSRN]

Calibrated rank volatility stabilized models for large equity markets (with M. Larsson), Forthcoming in Finance and Stochastics, 2026. [arXiv]
Tackling nonlinear price impact with linear strategies (with X. Brokmann, J. Muhle-Karbe, P. Schmidt). Mathematical Finance, 2025. [Article, SSRN]
Ergodic robust maximization of asymptotic growth with stochastic factor processes (with B. Koch, M. Larsson, J. Teichmann), Forthcoming in Finance and Stochastics, 2025. [arXiv]
Open markets and hybrid Jacobi processes (with M. Larsson). Annals of Applied Probability, 2024. [Article, arXiv]
Generalized Rank Dirichlet distributions. Statistics & Probability Letters, 2024. [Article, arXiv]
Robust asymptotic growth in stochastic portfolio theory under long-only constraints (with M. Larsson). Mathematical Finance, 2022. [Article, arXiv]
Toeplitz operators with discontinuous symbols on the sphere (with T. Barron). Lie Theory and its Application in Physics, 2016. [Article]