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Mikhail Zhitlukhin
Mikhail Zhitlukhin
Steklov Mathematical Institute, Moscow
Подтвержден адрес электронной почты в домене mi-ras.ru
Название
Процитировано
Процитировано
Год
Bayesian disorder problems on filtered probability spaces
MV Zhitlukhin, AN Shiryaev
Theory of Probability & Its Applications 57 (3), 497-511, 2013
48*2013
Bounds for expected maxima of Gaussian processes and their discrete approximations
K Borovkov, Y Mishura, A Novikov, M Zhitlukhin
Stochastics 89 (1), 21-37, 2017
392017
When to sell Apple and the NASDAQ? Trading bubbles with a stochastic disorder model
AN Shiryaev, MV Zhitlukhin, WT Ziemba
Journal of Portfolio Management 40 (2), 54, 2014
372014
Optimal stopping problems for a Brownian motion with disorder on a segment
MV Zhitlukhin, AN Shiryaev
Theory of Probability & Its Applications 58 (1), 164-171, 2014
34*2014
Land and stock bubbles, crashes and exit strategies in Japan circa 1990 and in 2013
AN Shiryaev, MV Zhitlukhin, WT Ziemba
Quantitative Finance 15 (9), 1449-1469, 2015
332015
A Bayesian sequential testing problem of three hypotheses for Brownian motion
MV Zhitlukhin, A Shiryaev
Statistics & Risk Modeling 28 (3), 227-249, 2011
252011
Stock market crashes: predictable and unpredictable and what to do about them
WT Ziemba, M Zhitlukhin, S Lleo
World Scientific, 2017
242017
On Chernoff's Hypotheses Testing Problem for the Drift of a Brownian Motion
MV Zhitlukhin, AA Muravlev
Theory of Probability & Its Applications 57 (4), 708-717, 2013
162013
Controlled random fields, von Neumann–Gale dynamics and multimarket hedging with risk
IV Evstigneev, MV Zhitlukhin
Stochastics 85 (4), 652-666, 2013
112013
New and refined bounds for expected maxima of fractional Brownian motion
K Borovkov, Y Mishura, A Novikov, M Zhitlukhin
Statistics & Probability Letters 137, 142-147, 2018
102018
A maximal inequality for skew Brownian motion
MV Zhitlukhin
Statistics & Decisions 27 (3), 261-280, 2009
102009
Survival investment strategies in a continuous-time market model with competition
M Zhitlukhin
International Journal of Theoretical and Applied Finance 24 (01), 2150001, 2021
92021
The optimal decision rule in the Kiefer–Weiss problem for a Brownian motion
MV Zhitlukhin, AA Muravlev, AN Shiryaev
Russian Mathematical Surveys 68 (2), 389, 2013
92013
A continuous-time asset market game with short-lived assets
M Zhitlukhin
Finance and Stochastics 26 (3), 587-630, 2022
82022
Relative growth optimal strategies in an asset market game
Y Drokin, M Zhitlukhin
Annals of Finance 16 (4), 529-546, 2020
82020
Von Neumann–Gale dynamics and capital growth in financial markets with frictions
E Babaei, IV Evstigneev, KR Schenk-Hoppé, M Zhitlukhin
Mathematics and Financial Economics 14, 283-305, 2020
72020
Диаграммы Юнга и их предельная форма
А Буфетов, М Житлухин, Н Козин
Litres, 2022
62022
Capital growth and survival strategies in a market with endogenous prices
M Zhitlukhin
SIAM Journal on Financial Mathematics 14 (3), 812-837, 2023
52023
Asymptotic minimization of expected time to reach a large wealth level in an asset market game
M Zhitlukhin
Stochastics 95 (1), 67-78, 2023
52023
Using a mean changing stochastic processes exit-entry model for stock market long-short prediction
S Lleo, M Zhitlukhin, WT Ziemba
Available at SSRN 3873496, 2021
52021
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Статьи 1–20