Edit Profile Zhitlukhin, Mikhail V. Compute Distance To: Compute Author ID: zhitlukhin.mikhail-v Published as: Zhitlukhin, M. V.; Zhitlukhin, Mikhail; Zhitlukhin, Mikhail V.; Zhitlukhin, M. External Links: MGP Documents Indexed: 27 Publications since 2008, including 1 Book all top 5 Co-Authors 7 single-authored 8 Muravlev, Alexey A. 8 Shiryaev, Al’bert Nikolaevich 3 Borovkov, Konstantin A. 2 Evstigneev, Igor V. 2 Mishura, Yuliya Stepanivna 2 Novikov, Aleksandr Aleksandrovich 2 Ziemba, William T. 1 Babaei, Esmaeil 1 Drokin, Yaroslav 1 Kabanov, Yuriĭ Mikhaĭlovich 1 Lleo, Sébastien 1 Schenk-Hoppé, Klaus Reiner 1 Urusov, Mikhail A. all top 5 Serials 6 Russian Mathematical Surveys 5 Theory of Probability and its Applications 2 Stochastics 1 Advances in Applied Probability 1 Statistics & Probability Letters 1 Statistics & Decisions 1 Sequential Analysis 1 Electronic Communications in Probability 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 Annals of Finance 1 Statistics & Risk Modeling 1 World Scientific Series in Finance Fields 19 Probability theory and stochastic processes (60-XX) 11 Statistics (62-XX) 10 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 1 General and overarching topics; collections (00-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 16 Publications have been cited 44 times in 38 Documents Cited by ▼ Year ▼ On Chernoff’s hypotheses testing problem for the drift of a Brownian motion. Zbl 1396.62185Zhitlukhin, M. V.; Muravlev, A. A. 7 2013 Bounds for expected maxima of Gaussian processes and their discrete approximations. Zbl 1361.60027Borovkov, Konstantin; Mishura, Yuliya; Novikov, Alexander; Zhitlukhin, Mikhail 7 2017 A Bayesian sequential testing problem of three hypotheses for Brownian motion. Zbl 1228.62101Zhitlukhin, Mikhail V.; Shiryaev, Albert 7 2011 A maximal inequality for skew Brownian motion. Zbl 1201.60019Zhitlukhin, Mikhail V. 4 2009 Bayesian disorder problems on filtered probability spaces. Zbl 1280.62035Zhitlukhin, M. V.; Shiryaev, A. N. 3 2013 On the existence of solutions of unbounded optimal stopping problems. Zbl 1337.60077Zhitlukhin, M. V.; Shiryaev, A. N. 2 2014 On maximization of the expectation-to-deviation ratio of a random variable. Zbl 1412.60010Zhitlukhin, M. V. 2 2017 New and refined bounds for expected maxima of fractional Brownian motion. Zbl 1406.60058Borovkov, Konstantin; Mishura, Yuliya; Novikov, Alexander; Zhitlukhin, Mikhail 2 2018 Controlled random fields, von Neumann-Gale dynamics and multimarket hedging with risk. Zbl 1284.91161Evstigneev, I. V.; Zhitlukhin, M. V. 2 2013 Monotone Sharpe ratios and related measures of investment performance. Zbl 1417.91489Zhitlukhin, Mikhail 2 2019 The optimal decision rule in the Kiefer-Weiss problem for a Brownian motion. Zbl 1284.62136Zhitlukhin, M. V.; Muravlev, A. A.; Shiryaev, A. N. 1 2013 Optimal stopping problems for a Brownian motion with disorder on a segment. Zbl 1293.60048Zhitlukhin, M. V.; Shiryaev, A. N. 1 2014 A maximal inequality for skew Brownian motion. Zbl 1206.60075Zhitlukhin, M. V. 1 2009 Land and stock bubbles, crashes and exit strategies in Japan circa 1990 and in 2013. Zbl 1398.91720Shiryaev, A. N.; Zhitlukhin, M. V.; Ziemba, W. T. 1 2015 On Chernoff’s test for a fractional Brownian motion. Zbl 1426.62233Muravlev, Alexey; Zhitlukhin, Mikhail 1 2019 Relative growth optimal strategies in an asset market game. Zbl 1461.91297Drokin, Yaroslav; Zhitlukhin, Mikhail 1 2020 Relative growth optimal strategies in an asset market game. Zbl 1461.91297Drokin, Yaroslav; Zhitlukhin, Mikhail 1 2020 Monotone Sharpe ratios and related measures of investment performance. Zbl 1417.91489Zhitlukhin, Mikhail 2 2019 On Chernoff’s test for a fractional Brownian motion. Zbl 1426.62233Muravlev, Alexey; Zhitlukhin, Mikhail 1 2019 New and refined bounds for expected maxima of fractional Brownian motion. Zbl 1406.60058Borovkov, Konstantin; Mishura, Yuliya; Novikov, Alexander; Zhitlukhin, Mikhail 2 2018 Bounds for expected maxima of Gaussian processes and their discrete approximations. Zbl 1361.60027Borovkov, Konstantin; Mishura, Yuliya; Novikov, Alexander; Zhitlukhin, Mikhail 7 2017 On maximization of the expectation-to-deviation ratio of a random variable. Zbl 1412.60010Zhitlukhin, M. V. 2 2017 Land and stock bubbles, crashes and exit strategies in Japan circa 1990 and in 2013. Zbl 1398.91720Shiryaev, A. N.; Zhitlukhin, M. V.; Ziemba, W. T. 1 2015 On the existence of solutions of unbounded optimal stopping problems. Zbl 1337.60077Zhitlukhin, M. V.; Shiryaev, A. N. 2 2014 Optimal stopping problems for a Brownian motion with disorder on a segment. Zbl 1293.60048Zhitlukhin, M. V.; Shiryaev, A. N. 1 2014 On Chernoff’s hypotheses testing problem for the drift of a Brownian motion. Zbl 1396.62185Zhitlukhin, M. V.; Muravlev, A. A. 7 2013 Bayesian disorder problems on filtered probability spaces. Zbl 1280.62035Zhitlukhin, M. V.; Shiryaev, A. N. 3 2013 Controlled random fields, von Neumann-Gale dynamics and multimarket hedging with risk. Zbl 1284.91161Evstigneev, I. V.; Zhitlukhin, M. V. 2 2013 The optimal decision rule in the Kiefer-Weiss problem for a Brownian motion. Zbl 1284.62136Zhitlukhin, M. V.; Muravlev, A. A.; Shiryaev, A. N. 1 2013 A Bayesian sequential testing problem of three hypotheses for Brownian motion. Zbl 1228.62101Zhitlukhin, Mikhail V.; Shiryaev, Albert 7 2011 A maximal inequality for skew Brownian motion. Zbl 1201.60019Zhitlukhin, Mikhail V. 4 2009 A maximal inequality for skew Brownian motion. Zbl 1206.60075Zhitlukhin, M. V. 1 2009 all cited Publications top 5 cited Publications all top 5 Cited by 54 Authors 9 Zhitlukhin, Mikhail V. 4 Peskir, Goran 2 Borovkov, Konstantin A. 2 Buonaguidi, Bruno 2 Ekström, Erik 2 Lyulko, Ya. A. 2 Mishura, Yuliya Stepanivna 2 Muliere, Pietro 2 Muravlev, Alexey A. 2 Shiryaev, Al’bert Nikolaevich 1 Ascione, Giacomo 1 Babaei, Esmaeil 1 Bisewski, Krzysztof 1 Chen, Fang 1 Cohen, Asaf 1 Dayanik, Savas 1 Dębicki, Krzysztof 1 Dyrssen, Hannah 1 Ernst, Philip A. 1 Evstigneev, Igor V. 1 Fauß, Michael 1 Glover, Kristoffer J. 1 Guo, Xianping 1 Hodoshima, Jiro 1 Hulley, Hardy 1 Jobjörnsson, Sebastian 1 Kouri, Drew P. 1 Kozik, I. A. 1 Krawiec, Michał 1 Kruse, Thomas 1 Liao, Zhongwei 1 Makasu, Cloud 1 Makogin, Vitalii 1 Mandjes, Michel Robertus Hendrikus 1 Novikov, Aleksandr Aleksandrovich 1 Palmowski, Zbigniew 1 Pirozzi, Enrica 1 Piterbarg, Vladimir Il’ich 1 Płociniczak, Łukasz 1 Poor, Harold Vincent 1 Prakasa Rao, B. L. S. 1 Rockafellar, Ralph Tyrrell 1 Schenk-Hoppé, Klaus Reiner 1 Sezer, Semih Onur 1 Shokrollahi, Foad 1 Spokoiny, Vladimir G. 1 Strack, Philipp 1 Suvorikova, Alexandra 1 Uryasev, Stan 1 Vaicenavicius, Juozas 1 Xu, Zuoquan 1 Yi, Fahuai 1 Zhou, Quan 1 Zoubir, Abdelhak M. all top 5 Cited in 26 Serials 4 Sequential Analysis 3 Theory of Probability and its Applications 3 Mathematics of Operations Research 3 The Annals of Applied Probability 2 Proceedings of the Steklov Institute of Mathematics 1 Advances in Applied Probability 1 Moscow University Mathematics Bulletin 1 The Annals of Statistics 1 Applied Mathematics and Computation 1 Journal of Applied Probability 1 Statistics & Probability Letters 1 Stochastic Analysis and Applications 1 Annals of Operations Research 1 Mathematical Programming. Series A. Series B 1 Journal of Mathematical Sciences (New York) 1 Electronic Communications in Probability 1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 1 International Journal of Theoretical and Applied Finance 1 Methodology and Computing in Applied Probability 1 Quantitative Finance 1 Frontiers of Mathematics in China 1 Mathematics and Financial Economics 1 Optimization Letters 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 12 Fields 28 Probability theory and stochastic processes (60-XX) 14 Statistics (62-XX) 8 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 3 Partial differential equations (35-XX) 3 Operations research, mathematical programming (90-XX) 2 Ordinary differential equations (34-XX) 2 Numerical analysis (65-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Integral equations (45-XX) 1 Calculus of variations and optimal control; optimization (49-XX) 1 Computer science (68-XX) 1 Systems theory; control (93-XX) Citations by Year