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Zhitlukhin Mikhail Valentinovich
(recent publications)

by years

scientific publications

by types


1.	M. V. Zhitlukhin, “News of Scientific Life”, Teor. Veroyatnost. i Primenen. (to appear)

2022
2.	Mikhail Zhitlukhin, “A continuous-time asset market game with short-lived assets”, Finance Stoch., 26 (2022), 587–630 , arXiv: 2008.13230 ;
3.	Mikhail Zhitlukhin, “Asymptotic minimization of expected time to reach a large wealth level in an asset market game”, Stochastics, 2022, 1–12 (Published online) , arXiv: 2007.04909 ; (Published online)
4.	S. Lleo, M. Zhitlukhin, W.T. Ziemba, “Using a mean-changing stochastic processes exit–entry model for stock market long–short prediction”, The Journal of Portfolio Management, 49:1 (2022), 172–197 ;

2021
5.	E. Babaei, Igor V. Evstigneev, Klaus Reiner Schenk-Hoppé, Mikhail Zhitlukhin, “Von Neumann–Gale model, market frictions and capital growth”, Stochastics, 93:2 (2021), 279–310 ;
6.	Mikhail Zhitlukhin, “Survival investment strategies in a continuous-time market model with competition”, Int. J. Theor. Appl. Finance, 24:1 (2021), 2150001 , 24 pp. (cited: 1);
7.	Alexey Muravlev, Mikhail Urusov, Mikhail Zhitlukhin, “Sequential tracking of an unobservable two-state Markov process under Brownian noise”, Sequential Anal., 40:1 (2021), 1–16 (cited: 1);
8.	Mikhail Zhitlukhin, “A sequential test for the drift of a Brownian motion with a possibility to change a decision”, Recent Developments in Stochastic Methods and Applications. ICSM-5 2020, Springer Proc. Math. Statist., 371, Springer, Cham, 2021, 33–42 ;

2020
9.	Esmaeil Babaei, Igor V. Evstigneev, Klaus Reiner Schenk-Hoppé, Mikhail Zhitlukhin, “Von Neumann–Gale dynamics and capital growth in financial markets with frictions”, Math. Financ. Econ., 14:2 (2020), 283–305 (cited: 2) (cited: 2);
10.	Yaroslav Drokin, Mikhail Zhitlukhin, “Relative growth optimal strategies in an asset market game”, Ann. Finance, 16 (2020), 529–546 (cited: 2) (cited: 2)
11.	M. V. Zhitlukhin, “Asimptoticheski optimalnye strategii v odnoi modeli rynka s konkurentsiei”, Tezisy dokladov, predstavlennykh na chetvertoi mezhdunarodnoi konferentsii po stokhasticheskim metodam (v zhurnale “Teoriya veroyatnostei i ee primeneniya”, t. 65, vyp. 1) (Divnomorskoe, 2-9 iyunya 2019 g.), TVP, 2020, 209-210 (cited: 2)
12.	Alexey Muravlev, Mikhail Zhitlukhin, “A Bayesian sequential test for the drift of a fractional Brownian motion”, Adv. in Appl. Probab., 52:4 (2020), 1308–1324 (cited: 1);

2019
13.	M. V. Zhitlukhin, “Supporting prices in a stochastic von Neumann–Gale model of a financial market”, Theory Probab. Appl., 64:4 (2019), 553–563 (cited: 1) (cited: 1)
14.	Mikhail Zhitlukhin, “Monotone Sharpe ratios and related measures of investment performance”, 2017 MATRIX Annals, MATRIX Book Ser., 2, Springer, Cham, 2019, 637–665 ;

2018
15.	Konstantin Borovkov, Yuliya Mishura, Alexander Novikov, Mikhail Zhitlukhin, “New and refined bounds for expected maxima of fractional Brownian motion”, Statistics & Probability Letters, 137 (2018), 142–147 (cited: 3) (cited: 2)
16.	Konstantin Borovkov, Mikhail Zhitlukhin, “On the maximum of the discretely sampled fractional Brownian motion with small Hurst parameter”, Electron. Commun. Probab., 23 (2018), 65 , 8 pp. (cited: 1) (cited: 1)

2017
17.	Konstantin Borovkov, Yuliya Mishura, Alexander Novikov, Mikhail Zhitlukhin, “Bounds for expected maxima of Gaussian processes and their discrete approximations”, Stochastics, 89:1 (2017), 21–37 (cited: 11) (cited: 12)
18.	M. V. Zhitlukhin, “On maximization of the expectation-to-deviation ratio of a random variable”, Russian Math. Surveys, 72:4 (2017), 765–766 (cited: 1) (cited: 1)
19.	S. Lleo, M.V. Zhitlukhin, W.T. Ziemba, Stock Market Crashes, World Scientific Series in Finance, 13, World Scientific, Singapore, 2017 , 308 pp. http://www.worldscientific.com/worldscibooks/10.1142/10506

2016
20.	M. V. Zhitlukhin, A. A. Muravlev, A. N. Shiryaev, “On confidence intervals for Brownian motion changepoint times”, Russian Math. Surveys, 71:1 (2016), 159–160 (cited: 1) (cited: 1)
21.	M. V. Zhitlukhin, W. T. Ziemba, “Exit strategies in bubble-like markets using a changepoint model”, Quant. Finance Letters, 4:1 (2016), 47–52

2015
22.	A. N. Shiryaev, M. V. Zhitlukhin, W. T. Ziemba, “Land and stock bubbles, crashes and exit strategies in Japan circa 1990 and in 2013”, Quant. Finance, 15:9 (2015), 1449–1469 (cited: 1) (cited: 6) (cited: 2)

2014
23.	A. N. Shiryaev, M. V. Zhitlukhin, W. T. Ziemba, “When to sell Apple and the NASDAQ? Trading bubbles with a Stochastic Disorder Model”, Journal of Portfolio Management, 40:2 (2014), 54–63 (cited: 8) (cited: 12)
24.	M. V. Zhitlukhin, A. N. Shiryaev, “On the existence of solutions of unbounded optimal stopping problems”, Proc. Steklov Inst. Math., 287:1 (2014), 299–307 (cited: 2) (cited: 3)

2013
25.	M. V. Zhitlukhin, A. A. Muravlev, A. N. Shiryaev, “The optimal decision rule in the Kiefer–Weiss problem for a Brownian motion”, Russian Math. Surveys, 68:2 (2013), 389–391 (cited: 1) (cited: 3)

2014
26.	M. V. Zhitlukhin, A. N. Shiryaev, “Optimal stopping problems for a Brownian motion with disorder on a segment”, Theory Probab. Appl., 58:1 (2014), 164–171 (cited: 1) (cited: 2)

2013
27.	I. V. Evstigneev, M. V. Zhitlukhin, “Controlled random fields, von Neumann–Gale dynamics and multimarket hedging with risk”, Stochastics, 85:4 (2013), 652–666 (cited: 5) (cited: 5)
28.	M. V. Zhitlukhin, A. A. Muravlev, “On Chernoff’s hypotheses testing problem for the drift of a Brownian motion”, Theory Probab. Appl., 57:4 (2013), 708–717 (cited: 7) (cited: 1) (cited: 1) (cited: 7)
29.	M. V. Zhitlukhin, A. N. Shiryaev, “Baeyes disorder problems on filtered probability spaces”, Theory Probab. Appl., 57:3 (2013), 497–511 (cited: 12) (cited: 4) (cited: 4) (cited: 15)

2011
30.	M. V. Zhitlukhin, A. A. Muravlev, “On equations for the optimal stopping boundaries in Chernoff's two-hypotheses testing problem”, Russian Math. Surveys, 66:5 (2011), 1012–1013 (cited: 1) (cited: 1) (cited: 1) (cited: 1)

2010
31.	M. V. Zhitlukhin, Teor. Veroyatnost. i Primenen., 55:3 (2010), 613–614

Full list of publications