Mikhail Zhitlukhin

Available identifiers

zbMath Open zhitlukhin.mikhail-vMaRDI QIDQ1640942

List of research outcomes

Publication	Date of Publication	Type
On a Diffusion Approximation of a Prediction Game	2024-02-14	Paper
Capital Growth and Survival Strategies in a Market with Endogenous Prices	2023-08-15	Paper
Asymptotic minimization of expected time to reach a large wealth level in an asset market game	2023-06-26	Paper
Von Neumann–Gale model, market frictions and capital growth	2022-07-06	Paper
A continuous-time asset market game with short-lived assets	2022-07-05	Paper
A Bayesian sequential test for the drift of a fractional Brownian motion	2021-08-04	Paper
SURVIVAL INVESTMENT STRATEGIES IN A CONTINUOUS-TIME MARKET MODEL WITH COMPETITION	2021-06-01	Paper
Relative growth optimal strategies in an asset market game	2021-05-03	Paper
Sequential tracking of an unobservable two-state Markov process under Brownian noise	2021-04-29	Paper
A sequential test for the drift of a Brownian motion with a possibility to change a decision	2020-07-25	Paper
Von Neumann-Gale dynamics and capital growth in financial markets with frictions	2020-04-29	Paper
Supporting Prices in a Stochastic von Neumann--Gale Model of a Financial Market	2020-02-17	Paper
Monotone Sharpe ratios and related measures of investment performance	2019-07-02	Paper
On Chernoff's test for a fractional Brownian motion	2019-07-02	Paper
Stock Market Crashes	2019-04-16	Paper
On the maximum of the discretely sampled fractional Brownian motion with small Hurst parameter	2018-10-24	Paper
Land and stock bubbles, crashes and exit strategies in Japan circa 1990 and in 2013	2018-09-19	Paper
New and refined bounds for expected maxima of fractional Brownian motion	2018-06-14	Paper
On maximization of the expectation-to-deviation ratio of a random variable	2018-02-14	Paper
Bounds for expected maxima of Gaussian processes and their discrete approximations	2017-04-11	Paper
On confidence intervals for Brownian motion changepoint times	2016-06-30	Paper
On the existence of solutions of unbounded optimal stopping problems	2015-08-20	Paper
Optimal Stopping Problems for a Brownian Motion with Disorder on a Segment	2014-06-26	Paper
Controlled random fields, von Neumann–Gale dynamics and multimarket hedging with risk	2014-04-17	Paper
On Chernoff's Hypotheses Testing Problem for the Drift of a Brownian Motion	2014-01-28	Paper
Bayesian Disorder Problems on Filtered Probability Spaces	2013-11-22	Paper
The optimal decision rule in the Kiefer-Weiss problem for a Brownian motion	2013-08-07	Paper
On equations for the optimal stopping boundaries in Chernoff's two-hypotheses testing problem	2012-02-25	Paper
A Bayesian sequential testing problem of three hypotheses for Brownian motion	2011-12-19	Paper
A maximal inequality for skew Brownian motion	2010-09-28	Paper
A maximal inequality for skew Brownian motion	2010-04-08	Paper
On the joint distribution of $ \sup(B_s-\mu s)$ and $ \inf(B_s-\nu s)$ for Brownian motion $ B_s$	2009-06-16	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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