Edit Profile (opens in new tab) Zhitlukhin, Mikhail V. Co-Author Distance Author ID: zhitlukhin.mikhail-v Published as: Zhitlukhin, Mikhail; Zhitlukhin, M. V.; Zhitlukhin, Mikhail V.; Zhitlukhin, M. more...less Further Spellings: Zhitlukhin, Mikhail Valentinovich Homepage: https://www.mi.ras.ru/index.php?c=pubs&l=1&id=42747 External Links: MGP · Wikidata · Google Scholar · Math-Net.Ru Documents Indexed: 34 Publications since 2008, including 1 Book and 2 Additional arXiv Preprints 1 Contribution as Editor · 1 Further Contribution Co-Authors: 15 Co-Authors with 22 Joint Publications 542 Co-Co-Authors all top 5 Co-Authors 13 single-authored 8 Muravlev, Alexey A. 8 Shiryaev, Al’bert Nikolaevich 3 Borovkov, Konstantin A. 3 Evstigneev, Igor V. 2 Babaei, Esmaeil 2 Mishura, Yuliya Stepanivna 2 Novikov, Aleksandr Aleksandrovich 2 Schenk-Hoppé, Klaus Reiner 2 Ziemba, William T. 1 Badulina, Nina 1 Drokin, Yaroslav 1 Kabanov, Yuriĭ Mikhaĭlovich 1 Khasanov, Ruslan V. 1 Lleo, Sébastien 1 Shatilovich, Dmitry 1 Urusov, Mikhail A. all top 5 Serials 8 Theory of Probability and its Applications 6 Russian Mathematical Surveys 4 Stochastics 1 Advances in Applied Probability 1 Statistics & Probability Letters 1 Statistics & Decisions 1 Sequential Analysis 1 Electronic Communications in Probability 1 Finance and Stochastics 1 International Journal of Theoretical and Applied Finance 1 Quantitative Finance 1 Proceedings of the Steklov Institute of Mathematics 1 Mathematics and Financial Economics 1 SIAM Journal on Financial Mathematics 1 Annals of Finance 1 Statistics & Risk Modeling 1 World Scientific Series in Finance Fields 24 Probability theory and stochastic processes (60-XX) 17 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 11 Statistics (62-XX) 1 General and overarching topics; collections (00-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 22 Publications have been cited 95 times in 72 Documents Cited by ▼ Year ▼ Bounds for expected maxima of Gaussian processes and their discrete approximations. Zbl 1361.60027 Borovkov, Konstantin; Mishura, Yuliya; Novikov, Alexander; Zhitlukhin, Mikhail 20 2017 A Bayesian sequential testing problem of three hypotheses for Brownian motion. Zbl 1228.62101 Zhitlukhin, Mikhail V.; Shiryaev, Albert 11 2011 New and refined bounds for expected maxima of fractional Brownian motion. Zbl 1406.60058 Borovkov, Konstantin; Mishura, Yuliya; Novikov, Alexander; Zhitlukhin, Mikhail 8 2018 On Chernoff’s hypotheses testing problem for the drift of a Brownian motion. Zbl 1396.62185 Zhitlukhin, M. V.; Muravlev, A. A. 8 2013 Bayesian disorder problems on filtered probability spaces. Zbl 1280.62035 Zhitlukhin, M. V.; Shiryaev, A. N. 7 2013 Relative growth optimal strategies in an asset market game. Zbl 1461.91297 Drokin, Yaroslav; Zhitlukhin, Mikhail 5 2020 Controlled random fields, von Neumann-Gale dynamics and multimarket hedging with risk. Zbl 1284.91161 Evstigneev, I. V.; Zhitlukhin, M. V. 5 2013 A maximal inequality for skew Brownian motion. Zbl 1201.60019 Zhitlukhin, Mikhail V. 4 2009 The optimal decision rule in the Kiefer-Weiss problem for a Brownian motion. Zbl 1284.62136 Zhitlukhin, M. V.; Muravlev, A. A.; Shiryaev, A. N. 4 2013 Land and stock bubbles, crashes and exit strategies in Japan circa 1990 and in 2013. Zbl 1398.91720 Shiryaev, A. N.; Zhitlukhin, M. V.; Ziemba, W. T. 3 2015 Monotone Sharpe ratios and related measures of investment performance. Zbl 1417.91489 Zhitlukhin, Mikhail 3 2019 Survival investment strategies in a continuous-time market model with competition. Zbl 1466.91301 Zhitlukhin, Mikhail 3 2021 A continuous-time asset market game with short-lived assets. Zbl 1494.91138 Zhitlukhin, Mikhail 2 2022 Optimal stopping problems for a Brownian motion with disorder on a segment. Zbl 1293.60048 Zhitlukhin, M. V.; Shiryaev, A. N. 2 2014 On maximization of the expectation-to-deviation ratio of a random variable. Zbl 1412.60010 Zhitlukhin, M. V. 2 2017 On the existence of solutions of unbounded optimal stopping problems. Zbl 1337.60077 Zhitlukhin, M. V.; Shiryaev, A. N. 2 2014 Von Neumann-Gale dynamics and capital growth in financial markets with frictions. Zbl 1437.91415 Babaei, Esmaeil; Evstigneev, Igor V.; Schenk-Hoppé, Klaus Reiner; Zhitlukhin, Mikhail 2 2020 A maximal inequality for skew Brownian motion. Zbl 1206.60075 Zhitlukhin, M. V. 1 2009 Von Neumann-Gale model, market frictions and capital growth. Zbl 1489.91155 Babaei, Esmaeil; Evstigneev, Igor V.; Schenk-Hoppé, Klaus Reiner; Zhitlukhin, Mikhail 1 2021 On the upper hedging price of contingent claims. Zbl 1287.91144 Khasanov, R. V. 1 2013 On Chernoff’s test for a fractional Brownian motion. Zbl 1426.62233 Muravlev, Alexey; Zhitlukhin, Mikhail 1 2019 Supporting prices in a stochastic von Neumann-Gale model of a financial market. Zbl 1450.91030 Zhitlukhin, M. V. 1 2020 A continuous-time asset market game with short-lived assets. Zbl 1494.91138 Zhitlukhin, Mikhail 2 2022 Survival investment strategies in a continuous-time market model with competition. Zbl 1466.91301 Zhitlukhin, Mikhail 3 2021 Von Neumann-Gale model, market frictions and capital growth. Zbl 1489.91155 Babaei, Esmaeil; Evstigneev, Igor V.; Schenk-Hoppé, Klaus Reiner; Zhitlukhin, Mikhail 1 2021 Relative growth optimal strategies in an asset market game. Zbl 1461.91297 Drokin, Yaroslav; Zhitlukhin, Mikhail 5 2020 Von Neumann-Gale dynamics and capital growth in financial markets with frictions. Zbl 1437.91415 Babaei, Esmaeil; Evstigneev, Igor V.; Schenk-Hoppé, Klaus Reiner; Zhitlukhin, Mikhail 2 2020 Supporting prices in a stochastic von Neumann-Gale model of a financial market. Zbl 1450.91030 Zhitlukhin, M. V. 1 2020 Monotone Sharpe ratios and related measures of investment performance. Zbl 1417.91489 Zhitlukhin, Mikhail 3 2019 On Chernoff’s test for a fractional Brownian motion. Zbl 1426.62233 Muravlev, Alexey; Zhitlukhin, Mikhail 1 2019 New and refined bounds for expected maxima of fractional Brownian motion. Zbl 1406.60058 Borovkov, Konstantin; Mishura, Yuliya; Novikov, Alexander; Zhitlukhin, Mikhail 8 2018 Bounds for expected maxima of Gaussian processes and their discrete approximations. Zbl 1361.60027 Borovkov, Konstantin; Mishura, Yuliya; Novikov, Alexander; Zhitlukhin, Mikhail 20 2017 On maximization of the expectation-to-deviation ratio of a random variable. Zbl 1412.60010 Zhitlukhin, M. V. 2 2017 Land and stock bubbles, crashes and exit strategies in Japan circa 1990 and in 2013. Zbl 1398.91720 Shiryaev, A. N.; Zhitlukhin, M. V.; Ziemba, W. T. 3 2015 Optimal stopping problems for a Brownian motion with disorder on a segment. Zbl 1293.60048 Zhitlukhin, M. V.; Shiryaev, A. N. 2 2014 On the existence of solutions of unbounded optimal stopping problems. Zbl 1337.60077 Zhitlukhin, M. V.; Shiryaev, A. N. 2 2014 On Chernoff’s hypotheses testing problem for the drift of a Brownian motion. Zbl 1396.62185 Zhitlukhin, M. V.; Muravlev, A. A. 8 2013 Bayesian disorder problems on filtered probability spaces. Zbl 1280.62035 Zhitlukhin, M. V.; Shiryaev, A. N. 7 2013 Controlled random fields, von Neumann-Gale dynamics and multimarket hedging with risk. Zbl 1284.91161 Evstigneev, I. V.; Zhitlukhin, M. V. 5 2013 The optimal decision rule in the Kiefer-Weiss problem for a Brownian motion. Zbl 1284.62136 Zhitlukhin, M. V.; Muravlev, A. A.; Shiryaev, A. N. 4 2013 On the upper hedging price of contingent claims. Zbl 1287.91144 Khasanov, R. V. 1 2013 A Bayesian sequential testing problem of three hypotheses for Brownian motion. Zbl 1228.62101 Zhitlukhin, Mikhail V.; Shiryaev, Albert 11 2011 A maximal inequality for skew Brownian motion. Zbl 1201.60019 Zhitlukhin, Mikhail V. 4 2009 A maximal inequality for skew Brownian motion. Zbl 1206.60075 Zhitlukhin, M. V. 1 2009 all cited Publications top 5 cited Publications all top 5 Cited by 83 Authors 14 Zhitlukhin, Mikhail V. 5 Bisewski, Krzysztof 5 Peskir, Goran 4 Babaei, Esmaeil 4 Ekström, Erik 4 Evstigneev, Igor V. 4 Mishura, Yuliya Stepanivna 3 Buonaguidi, Bruno 3 Dayanik, Savas 3 Dębicki, Krzysztof 3 Farkhshatov, Fahil 3 Novikov, Andreĭ Alekseevich 3 Schenk-Hoppé, Klaus Reiner 3 Sezer, Semih Onur 2 Borovkov, Konstantin A. 2 Krawiec, Michał 2 Lyulko, Ya. A. 2 Muliere, Pietro 2 Muravlev, Alexey A. 2 Palmowski, Zbigniew 2 Prakasa Rao, B. L. S. 2 Ralchenko, Kostiantyn V. 2 Rolski, Tomasz 2 Shiryaev, Al’bert Nikolaevich 2 Shklyar, Sergiĭ Volodymyrovych 2 Suárez, Gerardo Pérez 2 Wang, Yuqiong 1 Al Hayek, Nour 1 Amir, Rabah 1 Ascione, Giacomo 1 Baños, David R. 1 Bauer, Martin 1 Cendejas, Ulises Pérez 1 Chen, Fang 1 Cohen, Asaf 1 Donhauzer, Illia 1 Dyrssen, Hannah 1 Ernst, Philip A. 1 Fauß, Michael 1 Giuliano, Rita 1 Glover, Kristoffer J. 1 Guo, Xianping 1 Hodoshima, Jiro 1 Hulley, Hardy 1 Jasnovidov, Grigori 1 Jobjörnsson, Sebastian 1 Kouri, Drew P. 1 Kozik, I. A. 1 Kruse, Thomas 1 Liao, Zhongwei 1 López-Mimbela, José Alfredo 1 Makasu, Cloud 1 Makogin, Vitalii 1 Malyarenko, Anatoliy A. 1 Mandjes, Michel Robertus Hendrikus 1 Meyer-Brandis, Thilo 1 Miranda, L. L. B. 1 Nakatsu, Tomonori 1 Novikov, Aleksandr Aleksandrovich 1 Olenko, Andriy Yakovych 1 Pedersen, Jesper Lund 1 Pirozzi, Enrica 1 Piterbarg, Vladimir Il’ich 1 Płociniczak, Łukasz 1 Poor, Harold Vincent 1 Potapova, Valeriya 1 Proske, Frank Norbert 1 Righi, Marcelo Brutti 1 Rockafellar, Ralph Tyrrell 1 Shokrollahi, Foad 1 Spokoĭnyĭ, Vladimir Grigor’evich 1 Strack, Philipp 1 Suvorikova, Alexandra 1 Uru, Cagin 1 Uryasev, Stan 1 Vaicenavicius, Juozas 1 Volodin, Andrei I. 1 Xu, Zuoquan 1 Yi, Fahuai 1 Zhao, Yiqiang Q. 1 Zhou, Quan 1 Zoubir, Abdelhak M. 1 Zucca, Cristina all top 5 Cited in 44 Serials 7 Sequential Analysis 4 Theory of Probability and its Applications 4 Stochastics 3 Mathematics of Operations Research 3 The Annals of Applied Probability 3 Methodology and Computing in Applied Probability 2 Physica A 2 Applied Mathematics and Computation 2 Journal of Applied Probability 2 Statistics & Probability Letters 2 Queueing Systems 2 Stochastic Processes and their Applications 2 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 2 Proceedings of the Steklov Institute of Mathematics 1 Advances in Applied Probability 1 Moscow University Mathematics Bulletin 1 The Annals of Statistics 1 Insurance Mathematics & Economics 1 Bulletin of Informatics and Cybernetics 1 Stochastic Analysis and Applications 1 Annals of Operations Research 1 Mathematical Programming. Series A. Series B 1 Potential Analysis 1 Theory of Probability and Mathematical Statistics 1 Journal of Mathematical Sciences (New York) 1 Economic Theory 1 Electronic Journal of Probability 1 Electronic Communications in Probability 1 Bernoulli 1 Finance and Stochastics 1 Positivity 1 Fractional Calculus & Applied Analysis 1 International Journal of Theoretical and Applied Finance 1 Quantitative Finance 1 ALEA. Latin American Journal of Probability and Mathematical Statistics 1 Frontiers of Mathematics in China 1 Mathematics and Financial Economics 1 Optimization Letters 1 SIAM Journal on Financial Mathematics 1 European Actuarial Journal 1 Annals of Finance 1 Modern Stochastics. Theory and Applications 1 Philosophical Transactions of the Royal Society of London. A. Mathematical, Physical and Engineering Sciences 1 Cogent Mathematics & Statistics all top 5 Cited in 16 Fields 55 Probability theory and stochastic processes (60-XX) 25 Statistics (62-XX) 21 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 4 Partial differential equations (35-XX) 3 Ordinary differential equations (34-XX) 3 Numerical analysis (65-XX) 3 Operations research, mathematical programming (90-XX) 2 Calculus of variations and optimal control; optimization (49-XX) 2 Computer science (68-XX) 1 Measure and integration (28-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Integral equations (45-XX) 1 Functional analysis (46-XX) 1 Statistical mechanics, structure of matter (82-XX) 1 Systems theory; control (93-XX) 1 Information and communication theory, circuits (94-XX) Citations by Year Wikidata Timeline The data are displayed as stored in Wikidata under a Creative Commons CC0 License. Updates and corrections should be made in Wikidata.