Edit Profile (opens in new tab) Zhitlukhin, Mikhail V. Compute Distance To: Compute Author ID: zhitlukhin.mikhail-v Published as: Zhitlukhin, Mikhail; Zhitlukhin, M. V.; Zhitlukhin, Mikhail V.; Zhitlukhin, M. more...less External Links: MGP Documents Indexed: 28 Publications since 2008, including 1 Book 1 Contribution as Editor · 1 Further Contribution Co-Authors: 13 Co-Authors with 21 Joint Publications 503 Co-Co-Authors all top 5 Co-Authors 8 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 Drokin, Yaroslav 1 Kabanov, Yuriĭ Mikhaĭlovich 1 Khasanov, Ruslan V. 1 Lleo, Sébastien 1 Urusov, Mikhail A. all top 5 Serials 6 Russian Mathematical Surveys 6 Theory of Probability and its Applications 3 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 Annals of Finance 1 Statistics & Risk Modeling 1 World Scientific Series in Finance Fields 21 Probability theory and stochastic processes (60-XX) 13 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 19 Publications have been cited 60 times in 48 Documents Cited by ▼ Year ▼ A Bayesian sequential testing problem of three hypotheses for Brownian motion. Zbl 1228.62101Zhitlukhin, Mikhail V.; Shiryaev, Albert 10 2011 Bounds for expected maxima of Gaussian processes and their discrete approximations. Zbl 1361.60027Borovkov, Konstantin; Mishura, Yuliya; Novikov, Alexander; Zhitlukhin, Mikhail 10 2017 On Chernoff’s hypotheses testing problem for the drift of a Brownian motion. Zbl 1396.62185Zhitlukhin, M. V.; Muravlev, A. A. 8 2013 New and refined bounds for expected maxima of fractional Brownian motion. Zbl 1406.60058Borovkov, Konstantin; Mishura, Yuliya; Novikov, Alexander; Zhitlukhin, Mikhail 4 2018 A maximal inequality for skew Brownian motion. Zbl 1201.60019Zhitlukhin, Mikhail V. 4 2009 Controlled random fields, von Neumann-Gale dynamics and multimarket hedging with risk. Zbl 1284.91161Evstigneev, I. V.; Zhitlukhin, M. V. 4 2013 Bayesian disorder problems on filtered probability spaces. Zbl 1280.62035Zhitlukhin, M. V.; Shiryaev, A. N. 3 2013 On maximization of the expectation-to-deviation ratio of a random variable. Zbl 1412.60010Zhitlukhin, M. V. 2 2017 Relative growth optimal strategies in an asset market game. Zbl 1461.91297Drokin, Yaroslav; Zhitlukhin, Mikhail 2 2020 The optimal decision rule in the Kiefer-Weiss problem for a Brownian motion. Zbl 1284.62136Zhitlukhin, M. V.; Muravlev, A. A.; Shiryaev, A. N. 2 2013 Monotone Sharpe ratios and related measures of investment performance. Zbl 1417.91489Zhitlukhin, Mikhail 2 2019 On the existence of solutions of unbounded optimal stopping problems. Zbl 1337.60077Zhitlukhin, M. V.; Shiryaev, A. N. 2 2014 Von Neumann-Gale dynamics and capital growth in financial markets with frictions. Zbl 1437.91415Babaei, Esmaeil; Evstigneev, Igor V.; Schenk-Hoppé, Klaus Reiner; Zhitlukhin, Mikhail 1 2020 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 Optimal stopping problems for a Brownian motion with disorder on a segment. Zbl 1293.60048Zhitlukhin, M. V.; Shiryaev, A. N. 1 2014 On the upper hedging price of contingent claims. Zbl 1287.91144Khasanov, R. V. 1 2013 On Chernoff’s test for a fractional Brownian motion. Zbl 1426.62233Muravlev, Alexey; Zhitlukhin, Mikhail 1 2019 Survival investment strategies in a continuous-time market model with competition. Zbl 1466.91301Zhitlukhin, Mikhail 1 2021 Survival investment strategies in a continuous-time market model with competition. Zbl 1466.91301Zhitlukhin, Mikhail 1 2021 Relative growth optimal strategies in an asset market game. Zbl 1461.91297Drokin, Yaroslav; Zhitlukhin, Mikhail 2 2020 Von Neumann-Gale dynamics and capital growth in financial markets with frictions. Zbl 1437.91415Babaei, Esmaeil; Evstigneev, Igor V.; Schenk-Hoppé, Klaus Reiner; 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 4 2018 Bounds for expected maxima of Gaussian processes and their discrete approximations. Zbl 1361.60027Borovkov, Konstantin; Mishura, Yuliya; Novikov, Alexander; Zhitlukhin, Mikhail 10 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. 8 2013 Controlled random fields, von Neumann-Gale dynamics and multimarket hedging with risk. Zbl 1284.91161Evstigneev, I. V.; Zhitlukhin, M. V. 4 2013 Bayesian disorder problems on filtered probability spaces. Zbl 1280.62035Zhitlukhin, M. V.; Shiryaev, A. N. 3 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. 2 2013 On the upper hedging price of contingent claims. Zbl 1287.91144Khasanov, R. V. 1 2013 A Bayesian sequential testing problem of three hypotheses for Brownian motion. Zbl 1228.62101Zhitlukhin, Mikhail V.; Shiryaev, Albert 10 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 64 Authors 11 Zhitlukhin, Mikhail V. 5 Peskir, Goran 4 Ekström, Erik 3 Babaei, Esmaeil 3 Bisewski, Krzysztof 3 Dębicki, Krzysztof 3 Evstigneev, Igor V. 3 Schenk-Hoppé, Klaus Reiner 2 Borovkov, Konstantin A. 2 Buonaguidi, Bruno 2 Lyulko, Ya. A. 2 Mishura, Yuliya Stepanivna 2 Muliere, Pietro 2 Muravlev, Alexey A. 2 Rolski, Tomasz 2 Shiryaev, Al’bert Nikolaevich 2 Wang, Yuqiong 1 Al Hayek, Nour 1 Ascione, Giacomo 1 Chen, Fang 1 Cohen, Asaf 1 Dayanik, Savas 1 Donhauzer, Illia 1 Dyrssen, Hannah 1 Ernst, Philip A. 1 Farkhshatov, Fahil 1 Fauß, Michael 1 Giuliano, Rita 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 Olenko, Andriy Yakovych 1 Palmowski, Zbigniew 1 Pedersen, Jesper Lund 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 Sezer, Semih Onur 1 Shokrollahi, Foad 1 Spokoiny, Vladimir G. 1 Strack, Philipp 1 Suvorikova, Alexandra 1 Uryasev, Stan 1 Vaicenavicius, Juozas 1 Volodin, Andrei I. 1 Xu, Zuoquan 1 Yi, Fahuai 1 Zhou, Quan 1 Zoubir, Abdelhak M. 1 Zucca, Cristina all top 5 Cited in 32 Serials 5 Sequential Analysis 3 Theory of Probability and its Applications 3 Mathematics of Operations Research 3 The Annals of Applied Probability 2 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 2 Methodology and Computing in Applied Probability 2 Stochastics 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 Queueing Systems 1 Annals of Operations Research 1 Stochastic Processes and their Applications 1 Mathematical Programming. Series A. Series B 1 Journal of Mathematical Sciences (New York) 1 Electronic Journal of Probability 1 Electronic Communications in Probability 1 Finance and Stochastics 1 Positivity 1 International Journal of Theoretical and Applied Finance 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 13 Fields 37 Probability theory and stochastic processes (60-XX) 18 Statistics (62-XX) 11 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 Calculus of variations and optimal control; optimization (49-XX) 2 Numerical analysis (65-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 Systems theory; control (93-XX) Citations by Year