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Rokhlin, Dmitry Borisovich

Statistics Math-Net.Ru
Total publications: 23
Scientific articles: 21
Presentations: 8

Number of views:
This page:3390
Abstract pages:8751
Full texts:2861
References:1059
Associate professor
Doctor of physico-mathematical sciences (2010)
Speciality: 01.01.05 (Probability theory and mathematical statistics)
E-mail:
Website: https://sfedu.ru/person/dbrohlin

Subject:

Mathematical arbitrage theory and related problems of stochastic process theory and functional analysis.

   
Main publications:
  • Rokhlin D. B. Asymptotic arbitrage and numéraire portfolios in large financial markets // Finance Stoch., 2008, V. 12, N 2, P. 173–194.
  • Rokhlin D. B. A martingale selection problem in finite discrete-time case // Theory Probab. Appl. 2006 V. 50. N 3. P. 420–435.
  • Rokhlin D. B. The Kreps–Yan theorem for $L^\infty$ // Int. J. Math. Math. Sci. 2005. V. 2005. N 17. P. 2749–2756.
  • Rokhlin D., Schachermayer W. A note on lower bounds of martingale measure densities // Illinois J. Math. 2006. V. 50. N 4. P. 815–824.

https://www.mathnet.ru/eng/person27342
List of publications on Google Scholar
List of publications on ZentralBlatt
https://elibrary.ru/author_items.asp?authorid=17705

Publications in Math-Net.Ru Citations
2024
1. D. B. Rokhlin, “On the dual gradient descent method for the resource allocation problem in multiagent systems”, Sib. Zh. Ind. Mat., 27:2 (2024),  80–99  mathnet; J. Appl. Industr. Math., 18:2 (2024), 316–332
2021
2. D. B. Rokhlin, “Resource allocation in communication networks with large number of users: the dual stochastic gradient method”, Teor. Veroyatnost. i Primenen., 66:1 (2021),  129–148  mathnet  mathscinet  zmath; Theory Probab. Appl., 66:1 (2021), 105–120  isi  scopus 4
2019
3. Dmitry B. Rokhlin, Gennady A. Ougolnitsky, “Optimal incentive strategy in a discounted stochastic Stackelberg game”, Contributions to Game Theory and Management, 12 (2019),  273–281  mathnet
4. D. B. Rokhlin, “$Q$-learning in a stochastic Stackelberg game between an uninformed leader and a naive follower”, Teor. Veroyatnost. i Primenen., 64:1 (2019),  53–74  mathnet  mathscinet  zmath  elib; Theory Probab. Appl., 64:1 (2019), 41–58  isi  scopus 1
2018
5. D. B. Rokhlin, G. A. Ougolnitsky, “Stackelberg equilibrium in a dynamic stimulation model with complete information”, Avtomat. i Telemekh., 2018, no. 4,  152–166  mathnet  elib; Autom. Remote Control, 79:4 (2018), 701–712  isi  scopus 12
2015
6. D. B. Rokhlin, G. V. Mironenko, “Calcilating optimal dividend payment, reinsurance, and investment strategies in a diffusion model”, Sib. Zh. Ind. Mat., 18:1 (2015),  110–122  mathnet  mathscinet  elib
2011
7. D. B. Rokhlin, “Recurrence relations for price bounds of contingent claims in discrete time market models”, Teor. Veroyatnost. i Primenen., 56:1 (2011),  47–76  mathnet  mathscinet  zmath  elib; Theory Probab. Appl., 56:1 (2012), 72–95  isi  elib  scopus 2
2010
8. D. B. Rokhlin, “On the Existence of an Equivalent Supermartingale Density for a Fork-Convex Family of Stochastic Processes”, Mat. Zametki, 87:4 (2010),  594–603  mathnet  mathscinet  zmath; Math. Notes, 87:4 (2010), 556–563  isi  scopus 5
2009
9. D. B. Rokhlin, “The Kreps–Yan theorem for Banach ideal spaces”, Sibirsk. Mat. Zh., 50:1 (2009),  199–204  mathnet  mathscinet; Siberian Math. J., 50:1 (2009), 162–166  isi  scopus 6
10. D. B. Rokhlin, “Estimates from below for densities of martingale measures in the Dalang–Morton–Willinger theorem”, Teor. Veroyatnost. i Primenen., 54:3 (2009),  492–514  mathnet  mathscinet; Theory Probab. Appl., 54:3 (2010), 447–465  isi  scopus 4
2008
11. D. B. Rokhlin, “Equivalent supermartingale densities and measures in discrete time infinite horizon market models”, Teor. Veroyatnost. i Primenen., 53:4 (2008),  704–731  mathnet  mathscinet  zmath; Theory Probab. Appl., 53:4 (2009), 626–647  isi  scopus 2
2007
12. D. B. Rokhlin, “A Theorem on Martingale Selection for Relatively Open Convex Set-Valued Random Sequences”, Mat. Zametki, 81:4 (2007),  614–620  mathnet  mathscinet  zmath  elib; Math. Notes, 81:4 (2007), 543–548  isi  scopus 4
13. D. B. Rokhlin, “Constructive no-arbitrage criterion under transaction costs in the case of finite discrete time”, Teor. Veroyatnost. i Primenen., 52:1 (2007),  41–59  mathnet  mathscinet  zmath  elib; Theory Probab. Appl., 52:1 (2008), 93–107  isi  scopus 7
2005
14. D. B. Rokhlin, “Martingale selection problem in the case of finite disrete time”, Teor. Veroyatnost. i Primenen., 50:3 (2005),  480–500  mathnet  mathscinet  zmath  elib; Theory Probab. Appl., 50:3 (2006), 420–435  isi 7
2004
15. D. B. Rokhlin, “A criterion for the absence of arbitrage in a discrete model of a securities market under convex portfolio constraints”, Sib. Zh. Ind. Mat., 7:1 (2004),  95–108  mathnet  mathscinet  zmath
16. D. B. Rokhlin, “An extended version of the Dalang–Morton–Willinger theorem under portfolio constraints”, Teor. Veroyatnost. i Primenen., 49:3 (2004),  503–521  mathnet  mathscinet  zmath; Theory Probab. Appl., 49:3 (2005), 429–443  isi 20
2002
17. D. B. Rokhlin, “A criterion for the nonexistence of the asymptotic free lunch in a finite-dimensional market under convex portfolio constraints and convex transaction costs”, Sib. Zh. Ind. Mat., 5:1 (2002),  133–144  mathnet  mathscinet  zmath 3
2000
18. D. B. Rokhlin, “The derivative of the solution of the functional Bellman equation and the value of bioresources”, Sib. Zh. Ind. Mat., 3:1 (2000),  169–181  mathnet  mathscinet  zmath 5
1998
19. D. B. Rokhlin, “Impact on a planar body floating on the surface of a thin layer of an inviscid incompressible fluid”, Zh. Vychisl. Mat. Mat. Fiz., 38:8 (1998),  1368–1378  mathnet  mathscinet  zmath; Comput. Math. Math. Phys., 38:8 (1998), 1312–1322 1
1997
20. D. B. Rokhlin, “On the spectral problem in the theory of tides in a bounded domain”, Dokl. Akad. Nauk, 353:5 (1997),  619–621  mathnet  mathscinet  zmath; Dokl. Math., 42:4 (1997), 220–222
1995
21. D. B. Rokhlin, “Asymptote of the basic equation for perturbation propagation in a low-viscosity two-dimensional dedium”, Prikl. Mekh. Tekh. Fiz., 36:1 (1995),  121–129  mathnet  elib; J. Appl. Mech. Tech. Phys., 36:1 (1995), 114–122

2013
22. D. B. Rokhlin, “On the dynamic programming principle for controlled diffusion processes in a cylindrical region”, Sib. Èlektron. Mat. Izv., 10 (2013),  302–310  mathnet
2008
23. V. G. Iljichev, D. B. Rokhlin, “Optimal Fishing Strategy and Economy”, Math. Ed., 2008, no. 1(45),  39–45  mathnet 1

Presentations in Math-Net.Ru
1. A simple model for targeting industrial investments with subsidies and taxes
D. B. Rokhlin
9th International Conference on Stochastic Methods
June 5, 2024 09:30   
2. On resource pricing based on revealed preferences
D. B. Rokhlin
International scientific workshop OTHA Fall 2022
December 20, 2022 12:35   
3. О ценообразовании ресурсов на основе выявленных предпочтений
D. B. Rokhlin

November 11, 2022 15:00   
4. Stimulation of optimal harvesting strategies
D. B. Rokhlin
International scientific (offline) workshop OTHA Spring 2022
April 25, 2022 15:35   
5. SOLO FTRL алгоритм для назначения трансфертных цен
D. B. Rokhlin

August 12, 2021 17:30
6. Central limit theorem under model uncertainty
D. B. Rokhlin
School on Stochastics and Financial Mathematics
September 9, 2015 14:30   
7. On a generalized shadow price process in utility maximization problems under transaction costs
Dmitry Rokhlin
International conference "Advanced Finance and Stochastics"
June 24, 2013 11:30   
8. Selected problems of mathematical theory of arbitrage
D. B. Rokhlin
Principle Seminar of the Department of Probability Theory, Moscow State University
April 29, 2009 16:45

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