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Zhitlukhin, Mikhail V.

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Author ID: zhitlukhin.mikhail-v Recent zbMATH articles by "Zhitlukhin, Mikhail V."
Published as: Zhitlukhin, Mikhail; Zhitlukhin, M. V.; Zhitlukhin, Mikhail V.; Zhitlukhin, M.
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Publications by Year

Citations contained in zbMATH Open

19 Publications have been cited 63 times in 51 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
12
2017
A Bayesian sequential testing problem of three hypotheses for Brownian motion. Zbl 1228.62101
Zhitlukhin, Mikhail V.; Shiryaev, Albert
10
2011
On Chernoff’s hypotheses testing problem for the drift of a Brownian motion. Zbl 1396.62185
Zhitlukhin, M. V.; Muravlev, A. A.
8
2013
New and refined bounds for expected maxima of fractional Brownian motion. Zbl 1406.60058
Borovkov, Konstantin; Mishura, Yuliya; Novikov, Alexander; Zhitlukhin, Mikhail
5
2018
Controlled random fields, von Neumann-Gale dynamics and multimarket hedging with risk. Zbl 1284.91161
Evstigneev, I. V.; Zhitlukhin, M. V.
4
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.
3
2013
Bayesian disorder problems on filtered probability spaces. Zbl 1280.62035
Zhitlukhin, M. V.; Shiryaev, A. N.
3
2013
On maximization of the expectation-to-deviation ratio of a random variable. Zbl 1412.60010
Zhitlukhin, M. V.
2
2017
Monotone Sharpe ratios and related measures of investment performance. Zbl 1417.91489
Zhitlukhin, Mikhail
2
2019
On the existence of solutions of unbounded optimal stopping problems. Zbl 1337.60077
Zhitlukhin, M. V.; Shiryaev, A. N.
2
2014
Relative growth optimal strategies in an asset market game. Zbl 1461.91297
Drokin, Yaroslav; Zhitlukhin, Mikhail
2
2020
Optimal stopping problems for a Brownian motion with disorder on a segment. Zbl 1293.60048
Zhitlukhin, M. V.; Shiryaev, A. N.
1
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
1
2020
On Chernoff’s test for a fractional Brownian motion. Zbl 1426.62233
Muravlev, Alexey; Zhitlukhin, Mikhail
1
2019
A maximal inequality for skew Brownian motion. Zbl 1206.60075
Zhitlukhin, M. V.
1
2009
On the upper hedging price of contingent claims. Zbl 1287.91144
Khasanov, R. V.
1
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.
1
2015
Survival investment strategies in a continuous-time market model with competition. Zbl 1466.91301
Zhitlukhin, Mikhail
1
2021
Survival investment strategies in a continuous-time market model with competition. Zbl 1466.91301
Zhitlukhin, Mikhail
1
2021
Relative growth optimal strategies in an asset market game. Zbl 1461.91297
Drokin, Yaroslav; Zhitlukhin, Mikhail
2
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
1
2020
Monotone Sharpe ratios and related measures of investment performance. Zbl 1417.91489
Zhitlukhin, Mikhail
2
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
5
2018
Bounds for expected maxima of Gaussian processes and their discrete approximations. Zbl 1361.60027
Borovkov, Konstantin; Mishura, Yuliya; Novikov, Alexander; Zhitlukhin, Mikhail
12
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.
1
2015
On the existence of solutions of unbounded optimal stopping problems. Zbl 1337.60077
Zhitlukhin, M. V.; Shiryaev, A. N.
2
2014
Optimal stopping problems for a Brownian motion with disorder on a segment. Zbl 1293.60048
Zhitlukhin, M. V.; Shiryaev, A. N.
1
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
Controlled random fields, von Neumann-Gale dynamics and multimarket hedging with risk. Zbl 1284.91161
Evstigneev, I. V.; Zhitlukhin, M. V.
4
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.
3
2013
Bayesian disorder problems on filtered probability spaces. Zbl 1280.62035
Zhitlukhin, M. V.; Shiryaev, A. N.
3
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
10
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

Citations by Year