| Publication | Date of Publication | Type |
|---|
Disorder detection with reversible decisions (edit)
Sequential Analysis | 2026-03-20 | Paper |
Albert Nikolaevich Shiryaev (on his 90th birthday)
Russian Mathematical Surveys | 2025-05-12 | Paper |
Martingale methods in the problem of existence of survival strategies
Theory of Probability and its Applications | 2025-03-19 | Paper |
Optimal growth strategies in a stochastic market model with endogenous prices
Theory of Probability and its Applications | 2024-08-19 | Paper |
On a Diffusion Approximation of a Prediction Game
Theory of Probability & Its Applications | 2024-02-14 | Paper |
Capital Growth and Survival Strategies in a Market with Endogenous Prices
SIAM Journal on Financial Mathematics | 2023-08-15 | Paper |
Asymptotic minimization of expected time to reach a large wealth level in an asset market game
Stochastics | 2023-06-26 | Paper |
Von Neumann–Gale model, market frictions and capital growth
Stochastics | 2022-07-06 | Paper |
A continuous-time asset market game with short-lived assets
Finance and Stochastics | 2022-07-05 | Paper |
A Bayesian sequential test for the drift of a fractional Brownian motion
Advances in Applied Probability | 2021-08-04 | Paper |
Survival investment strategies in a continuous-time market model with competition
International Journal of Theoretical and Applied Finance | 2021-06-01 | Paper |
Relative growth optimal strategies in an asset market game
Annals of Finance | 2021-05-03 | Paper |
Sequential tracking of an unobservable two-state Markov process under Brownian noise
Sequential Analysis | 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
Mathematics and Financial Economics | 2020-04-29 | Paper |
Supporting Prices in a Stochastic von Neumann--Gale Model of a Financial Market
Theory of Probability & Its Applications | 2020-02-17 | Paper |
Monotone Sharpe ratios and related measures of investment performance
(available as arXiv preprint) | 2019-07-02 | Paper |
| On Chernoff's test for a fractional Brownian motion | 2019-07-02 | Paper |
Stock market crashes. Predictable and unpredictable and what to do about them
World Scientific Series in Finance | 2019-04-16 | Paper |
On the maximum of the discretely sampled fractional Brownian motion with small Hurst parameter
Electronic Communications in Probability | 2018-10-24 | Paper |
On the maximum of the discretely sampled fractional Brownian motion with small Hurst parameter
Electronic Communications in Probability | 2018-10-24 | Paper |
Land and stock bubbles, crashes and exit strategies in Japan circa 1990 and in 2013
Quantitative Finance | 2018-09-19 | Paper |
New and refined bounds for expected maxima of fractional Brownian motion
Statistics & Probability Letters | 2018-06-14 | Paper |
On maximization of the expectation-to-deviation ratio of a random variable
Russian Mathematical Surveys | 2018-02-14 | Paper |
Bounds for expected maxima of Gaussian processes and their discrete approximations
Stochastics | 2017-04-11 | Paper |
On confidence intervals for Brownian motion change point times
Russian Mathematical Surveys | 2016-06-30 | Paper |
On the existence of solutions of unbounded optimal stopping problems
Proceedings of the Steklov Institute of Mathematics | 2015-08-20 | Paper |
Optimal Stopping Problems for a Brownian Motion with Disorder on a Segment
Theory of Probability & Its Applications | 2014-06-26 | Paper |
Controlled random fields, von Neumann-Gale dynamics and multimarket hedging with risk
Stochastics | 2014-04-17 | Paper |
On Chernoff's hypotheses testing problem for the drift of a Brownian motion
Theory of Probability and its Applications | 2014-01-28 | Paper |
Bayesian disorder problems on filtered probability spaces
Theory of Probability and its Applications | 2013-11-22 | Paper |
The optimal decision rule in the Kiefer-Weiss problem for a Brownian motion
Russian Mathematical Surveys | 2013-08-07 | Paper |
On equations for the optimal stopping boundaries in Chernoff's two-hypotheses testing problem
Russian Mathematical Surveys | 2012-02-25 | Paper |
A Bayesian sequential testing problem of three hypotheses for Brownian motion
Statistics & Risk Modeling | 2011-12-19 | Paper |
A maximal inequality for skew Brownian motion
Statistics & Decisions | 2010-09-28 | Paper |
A maximal inequality for skew Brownian motion
Russian Mathematical Surveys | 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$
Russian Mathematical Surveys | 2009-06-16 | Paper |
On convergence of forecasts in prediction markets
(available as arXiv preprint) | N/A | Paper |
