David Itkin

Dr. David Itkin is an Assistant Professor in the Department of Statistics at the London School of Economics and Political Science (LSE). His research focuses on high-dimensional problems in mathematical finance and stochastic analysis, particularly in portfolio selection, open markets, and stochastic portfolio theory. Prior to joining LSE, he was a Chapman Fellow at Imperial College London. He holds a PhD in Mathematics from Carnegie Mellon University.

His expertise includes Mathematical Finance, Stochastic Analysis, and Portfolio Optimization. Key areas of research involve analyzing open markets (markets with evolving investment assets), robust finance under price stability, and nonlinear price impact modeling using tools like reflected stochastic differential equations and stochastic control. His work bridges theoretical stochastic analysis with practical financial applications.

Recent publications explore hybrid Jacobi processes in open markets, robust asymptotic growth under constraints, and tackling nonlinear price impact with linear strategies. He collaborates with institutions like Imperial College London and has contributed to advancing methodologies in stochastic portfolio theory.

No academic awards are explicitly listed in the profile. His teaching and advising roles are not detailed, though his position suggests involvement in graduate supervision. He is affiliated with the LSE Department of Statistics and maintains a professional LinkedIn presence.