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Zhitlukhin, Mikhail Valentinovich

Total publications: 24 (24)
in MathSciNet: 14 (14)
in zbMATH: 8 (8)
in Web of Science: 16 (16)
in Scopus: 16 (16)
Cited articles: 11
Citations in Math-Net.Ru: 20
Citations in MathSciNet: 19
Citations in Web of Science: 33
Citations in Scopus: 27
Presentations: 14

Number of views:
This page:2542
Abstract pages:4273
Full texts:667
References:432
Candidate of physico-mathematical sciences (2013)
Speciality: 01.01.05 (Probability theory and mathematical statistics)
E-mail: ,
Keywords: probability theory, statistics, stochastic processes, stochastic control, mathematical finance.

Subject:

Optimal stopping of stochastic processes. Sequential methods of statistical hypotheses testing and changepoint detection. Martingal, submartingal and supermartingal representations of stochastic processes.

   
Main publications:
  1. M.V. Zhitlukhin, A.N. Shiryaev, “Baiesovskie zadachi o razladke na filtrovannykh veroyatnostnykh prostranstvakh”, Teoriya veroyatnostei i ee primeneniya, 57:3 (2012), 453–470  mathnet  crossref  mathscinet
  2. M.V. Zhitlukhin, “Maksimalnoe neravenstvo dlya skoshennogo brounovskogo dvizheniya”, Uspekhi matematicheskikh nauk, 64:5 (2009), 175–176  mathnet  crossref  mathscinet
  3. I.V. Evstigneev, M.V. Zhitlukhin, “Controlled random fields, von Neumann.Gale dynamics and multimarket hedging with risk”, Stochastics, 85:4 (2013), 652–666  mathscinet

http://www.mathnet.ru/eng/person42747
List of publications on Google Scholar
http://zbmath.org/authors/?q=ai:zhitlukhin.mikhail-v
https://mathscinet.ams.org/mathscinet/MRAuthorID/862836
https://www.researchgate.net/profile/Mikhail_Zitlukhin

Full list of publications:
| by years | by types | by times cited in WoS | by times cited in Scopus | scientific publications | common list |


1. M. V. Zhitlukhin, A. N. Shiryaev, “Baeyes disorder problems on filtered probability spaces”, Theory Probab. Appl., 57:3 (2013), 497–511  mathnet  crossref  crossref  mathscinet  isi (cited: 9)  elib (cited: 4)  elib (cited: 4)  scopus (cited: 11)
2. 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  mathnet  crossref  isi (cited: 4)  scopus (cited: 5)
3. 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  mathnet  crossref  crossref  mathscinet  zmath  isi (cited: 6)  elib (cited: 1)  elib (cited: 1)  scopus (cited: 5)
4. 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  mathnet  crossref  mathscinet  isi (cited: 5)  elib  scopus (cited: 2)
5. M. V. Zhitlukhin, “On maximization of the expectation-to-deviation ratio of a random variable”, Russian Math. Surveys, 72:4 (2017), 765–766  mathnet  crossref  crossref  mathscinet  adsnasa  isi  elib  scopus (cited: 1)
6. 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  mathnet  crossref  crossref  mathscinet  zmath  adsnasa  isi (cited: 1)  elib  elib  scopus (cited: 1)
7. 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  mathnet  crossref  crossref  mathscinet  zmath  adsnasa  isi (cited: 1)  elib (cited: 1)  elib (cited: 1)  scopus (cited: 1)
8. M. V. Zhitlukhin, “On the joint distribution of $\sup(B_s-\mu s)$ and $\inf(B_s-\nu s)$ for Brownian motion $B_s$”, Russian Math. Surveys, 63:6 (2008), 1154–1155  mathnet  crossref  crossref  mathscinet  zmath  adsnasa  isi (cited: 1)  elib (cited: 1)  elib (cited: 1)  scopus (cited: 1)
9. E. Babaei, I. V. Evstigneev, K. R. Schenk-Hoppé, M. V. Zhitlukhin, Von Neumann-Gale Model, Market Frictions, and Capital Growth, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3314852, 2019 , 40 pp.
10. 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  mathnet  crossref  mathscinet  isi (cited: 1)  scopus
11. 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.  mathnet  crossref  mathscinet  isi  scopus
12. A. A. Muravlev, M. V. Zhitlukhin, A Bayesian sequential test for the drift of a fractional Brownian motion, 2018 , 13 pp., arXiv: 1804.02757
13. M. Zhitlukhin, Monotone Sharpe ratios and related measures of investment performance, 2018 , 29 pp., arXiv: 1809.10193
14. M. Zhitlukhin, Asymptotic distribution of capital in a model of an investment market with competition, 2018 , 25 pp., arXiv: 1811.12491
15. E. Babaei, I. V. Evstigneev, K. R. Schenk-Hoppé, M. V. Zhitlukhin, Von Neumann-Gale Dynamics and Capital Growth in Financial Markets with Frictions, http://hummedia.manchester.ac.uk/schools/soss/economics/discussionpapers/EDP-1815.pdf, Economics Discussion Paper Series, The University of Manchester, 2018 , 33 pp.
16. 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
17. M. V. Zhitlukhin, W. T. Ziemba, “Exit strategies in bubble-like markets using a changepoint model”, Quant. Finance Letters, 4:1 (2016), 47–52  mathnet  crossref
18. 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  mathnet (cited: 1)  crossref  mathscinet  isi (cited: 5)  elib (cited: 2)  scopus
19. 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  mathnet  crossref  crossref  isi  elib  elib  scopus
20. 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  mathnet  crossref  crossref  mathscinet  zmath  adsnasa  isi  elib  elib  scopus
21. 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  mathnet  crossref  crossref  mathscinet  zmath  isi  elib  elib  scopus
22. I. V. Evstigneev, M. V. Zhitlukhin, “Controlled random fields, von Neumann–Gale dynamics and multimarket hedging with risk”, Stochastics, 85:4 (2013), 652–666  mathnet  crossref  mathscinet  zmath  isi  elib  scopus
23. M. V. Zhitlukhin, Teor. Veroyatnost. i Primenen., 55:3 (2010), 613–614  mathnet  crossref  elib
24. M. V. Zhitlukhin, “A maximal inequality for skew Brownian motion”, Russian Math. Surveys, 64:5 (2009), 958–959  mathnet  crossref  crossref  mathscinet  zmath  adsnasa  isi  elib  elib  scopus

Presentations in Math-Net.Ru
1. Asymptotic distribution of capital in a market model with competition
M. V. Zhitlukhin
Principle Seminar of the Department of Probability Theory, Moscow State University
October 31, 2018 16:45
2. Оценки для максимумов гауссовских процессов и их дискретных аппроксимаций
M. V. Zhitlukhin
Traditional winter session MIAN–POMI devoted to the topic "Probability theory"
December 13, 2016 15:00
3. Some bounds for the maximum of a fractional Brownian motion
M. V. Zhitlukhin
Principle Seminar of the Department of Probability Theory, Moscow State University
March 30, 2016 16:45
4. О максимуме фрактального броуновского движения
M. Zhitlukhin
Seminar of the Department of Probability Theory "Stochastic Analysis: Theory and Applications", Steklov Mathematical Institute of RAS
December 4, 2014 13:00
5. Optimal stopping problems with unbounded payoffs
M. Zhitlukhin
Conference "Stochastics, Statistics, Financial Mathematics" in honor of Professor Albert Shiryaev's 80th anniversary
October 15, 2014 15:50   
6. Changepoint detection problems on a finite interval
A. N. Shiryaev, M. V. Zhitlukhin
Fourth IMS-FPS Workshop 2014, Sydney, Australia, July 2-6, 2014
June 19, 2014   
7. Detection of trend changes in stock prices
Mikhail Zhitlukhin
International conference "Advanced Finance and Stochastics"
June 28, 2013 14:10   
8. On a series of papers devoted to the optimal stopping of Brownian motion with drift
A. N. Shiryaev, A. A. Muravlev, M. V. Zhitlukhin
Principle Seminar of the Department of Probability Theory, Moscow State University
November 14, 2012 16:45
9. Bayesian quickest detection problems: new general results and their applications
M. V. Zhitlukhin
PreMoLab Seminar
April 12, 2012 17:00
10. On the Chernoff problem of sequential discrimination between hypotheses on the drift of Brownian motion
M. V. Zhitlukhin
Traditional winter session MIAN–POMI devoted to the topic "Probability and Functional Analysis"
February 17, 2012 17:10   
11. Конференция «Ломоносов»
Ya. A. Lyulko, M. V. Zhitlukhin, P. Chernega, A. A. Muravlev
Principle Seminar of the Department of Probability Theory, Moscow State University
April 13, 2011 16:45
12. Максимальное неравенство для косого броуновского движения
M. V. Zhitlukhin
Principle Seminar of the Department of Probability Theory, Moscow State University
April 7, 2010 16:45
13. Максимальное неравенство для косого броуновского движения
M. V. Zhitlukhin
Principle Seminar of the Department of Probability Theory, Moscow State University
September 30, 2009 16:45
14. О вероятности выхода броуновского движения и броуновского моста на прямолинейные границы
M. V. Zhitlukhin
Principle Seminar of the Department of Probability Theory, Moscow State University
April 15, 2009 16:45

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