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Zhitlukhin, Mikhail Valentinovich

Total publications: 39 (38)
in MathSciNet: 25 (25)
in zbMATH: 11 (11)
in Web of Science: 24 (24)
in Scopus: 25 (25)
Cited articles: 29
Citations: 184
Presentations: 55

Number of views:
This page:5635
Abstract pages:9134
Full texts:2292
References:775
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

https://www.mathnet.ru/eng/person42747
List of publications on Google Scholar
https://zbmath.org/authors/?q=ai:zhitlukhin.mikhail-v
https://mathscinet.ams.org/mathscinet/MRAuthorID/862836
https://www.webofscience.com/wos/author/record/AAE-3738-2022
https://www.scopus.com/authid/detail.url?authorId=26538412000
https://www.researchgate.net/profile/Mikhail_Zitlukhin

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


Citations (Crossref Cited-By Service + Math-Net.Ru)

   2024
1. M. V. Zhitlukhin, “Optimal growth strategies in a stochastic market model with endogenous prices”, Theory Probab. Appl., 69:2 (2024), 205–216  mathnet  crossref  crossref  crossref
2. M. V. Zhitlukhin, A. A. Tokaeva, Teor. Veroyatnost. i Primenen. (to appear)  mathnet

   2023
3. Mikhail Zhitlukhin, “Asymptotic minimization of expected time to reach a large wealth level in an asset market game”, Stochastics, 95:1 (2023), 67–78 , arXiv: 2007.04909  mathnet  crossref  mathscinet; 3

   2024
4. M. V. Zhitlukhin, “On a diffusion approximation of some prediction game”, Theory Probab. Appl., 68:4 (2024), 607–621  mathnet  crossref  crossref  scopus

   2023
5. M. V. Zhitlukhin, “Strategii optimalnogo rosta v modeli rynka s bolshim kolichestvom agentov”, Tezisy dokladov, predstavlennykh na sedmoi mezhdunarodnoi konferentsii po stokhasticheskim metodam (v zhurnale “Teoriya veroyatnostei i ee primeneniya”, t. 68, vyp. 1) (Divnomorskoe, 2–9 iyunya 2022 g.), TVP, 2023, 197–198  mathnet  crossref 1
6. I. V. Evstigneev, A. A. Tokaeva, M. J. Vanaei, M. V. Zhitlukhin, “Survival strategies in an evolutionary finance model with endogenous asset payoffs”, Ann. Oper. Res., 2023, 1–21 (Published online)  mathnet  crossref  mathscinet; (Published online)
7. Mikhail Zhitlukhin, “Capital growth and survival strategies in a market with endogenous prices”, SIAM J. Financ. Math., 14:3 (2023), 812–837  mathnet  crossref  mathscinet  isi; 1
8. M. V. Zhitlukhin, “Seminars, conferences, books”, Theory Probab. Appl., 68:2 (2023), 334–336  mathnet  crossref  crossref  mathscinet

   2022
9. Mikhail Zhitlukhin, “A continuous-time asset market game with short-lived assets”, Finance Stoch., 26 (2022), 587–630 , arXiv: 2008.13230  mathnet  crossref  mathscinet; 6
10. 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  mathnet  crossref; 3

   2021
11. 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  mathnet  crossref  mathscinet  isi  scopus; 1
12. Mikhail Zhitlukhin, “Survival investment strategies in a continuous-time market model with competition”, Int. J. Theor. Appl. Finance, 24:1 (2021), 2150001 , 24 pp.  mathnet  crossref  mathscinet  isi  scopus; 7
13. 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  mathnet  crossref  mathscinet  isi  scopus; 1
14. 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  mathnet  crossref  scopus;

   2020
15. 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  mathnet  crossref  mathscinet  isi  scopus; 3
16. Yaroslav Drokin, Mikhail Zhitlukhin, “Relative growth optimal strategies in an asset market game”, Ann. Finance, 16 (2020), 529–546  mathnet  crossref  mathscinet  isi  scopus 7
17. 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  mathnet  crossref 4
18. 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  mathnet  crossref  mathscinet  isi  scopus;

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

   2018
21. 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  scopus 10
22. 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  zmath  isi  scopus 1

   2017
23. 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  elib  scopus 24
24. 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  zmath  adsnasa  isi  elib  scopus
25. 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  mathscinet

   2016
26. 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  elib  elib  scopus
27. 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 4

   2015
28. 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  crossref  mathscinet  zmath  isi  elib  scopus 20

   2014
29. 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  scopus 28
30. 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

   2013
31. 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

   2014
32. 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

   2013
33. 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 7
34. 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  elib  elib  scopus
35. 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  elib  elib  scopus

   2011
36. 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  elib  elib  scopus

   2010
37. M. V. Zhitlukhin, Teor. Veroyatnost. i Primenen., 55:3 (2010), 613–614  mathnet  crossref  elib

   2009
38. M. V. Zhitlukhin, “A maximal inequality for skew Brownian motion”, Russian Mathematical Surveys, 64 (2009), 958–959  mathnet  crossref  crossref  mathscinet  zmath  adsnasa  isi  elib  elib  scopus

   2008
39. 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  elib  elib  scopus

Presentations in Math-Net.Ru
1. TBA
M. V. Zhitlukhin
Conference "Stochastics" in honor of Professor Albert Shiryaev's 90th anniversary
October 15, 2024 16:15
2. Evolutionary optimal strategies in stochastic dynamic games
M. V. Zhitlukhin
Steklov Mathematical Institute Seminar
January 19, 2023 16:00   
3. Lecture 12. Theory of martingales and stochastic integration
M. V. Zhitlukhin
Course by M. V. Zhitlukhin "Theory of martingales and stochastic integration"
December 9, 2022 18:00
4. Lecture 11. Theory of martingales and stochastic integration
M. V. Zhitlukhin
Course by M. V. Zhitlukhin "Theory of martingales and stochastic integration"
December 2, 2022 18:00
5. Lecture 10. Theory of martingales and stochastic integration
M. V. Zhitlukhin
Course by M. V. Zhitlukhin "Theory of martingales and stochastic integration"
November 25, 2022 18:00   
6. Эволюционно оптимальные стратегии в динамических случайных играх
M. V. Zhitlukhin
Scientific session of the Steklov Mathematical Institute of RAS dedicated to the results of 2022
November 23, 2022 15:40   
7. Lecture 9. Theory of martingales and stochastic integration
M. V. Zhitlukhin
Course by M. V. Zhitlukhin "Theory of martingales and stochastic integration"
November 18, 2022 18:00   
8. Lecture 8. Theory of martingales and stochastic integration
M. V. Zhitlukhin
Course by M. V. Zhitlukhin "Theory of martingales and stochastic integration"
November 11, 2022 18:00   
9. Lecture 7. Theory of martingales and stochastic integration
M. V. Zhitlukhin
Course by M. V. Zhitlukhin "Theory of martingales and stochastic integration"
November 4, 2022 18:00   
10. Lecture 6. Theory of martingales and stochastic integration
M. V. Zhitlukhin
Course by M. V. Zhitlukhin "Theory of martingales and stochastic integration"
October 28, 2022 18:00   
11. Lecture 5. Theory of martingales and stochastic integration
M. V. Zhitlukhin
Course by M. V. Zhitlukhin "Theory of martingales and stochastic integration"
October 14, 2022 18:00   
12. Lecture 4. Theory of martingales and stochastic integration
M. V. Zhitlukhin
Course by M. V. Zhitlukhin "Theory of martingales and stochastic integration"
October 7, 2022 18:00   
13. Lecture 3. Theory of martingales and stochastic integration
M. V. Zhitlukhin
Course by M. V. Zhitlukhin "Theory of martingales and stochastic integration"
September 30, 2022 18:00   
14. Lecture 2. Theory of martingales and stochastic integration
M. V. Zhitlukhin
Course by M. V. Zhitlukhin "Theory of martingales and stochastic integration"
September 23, 2022 18:00   
15. Lecture 1. Theory of martingales and stochastic integration
M. V. Zhitlukhin
Course by M. V. Zhitlukhin "Theory of martingales and stochastic integration"
September 16, 2022 18:00   
16. Lecture 13. Introduction to the theory of martingales
M. V. Zhitlukhin
Course by M. V. Zhitlukhin "Introduction to the theory of martingales"
December 10, 2021 18:00   
17. Lecture 12. Introduction to the theory of martingales
M. V. Zhitlukhin
Course by M. V. Zhitlukhin "Introduction to the theory of martingales"
December 3, 2021 18:00   
18. Lecture 11. Introduction to the theory of martingales
M. V. Zhitlukhin
Course by M. V. Zhitlukhin "Introduction to the theory of martingales"
November 26, 2021 18:00   
19. Lecture 10. Introduction to the theory of martingales
M. V. Zhitlukhin
Course by M. V. Zhitlukhin "Introduction to the theory of martingales"
November 19, 2021 18:00   
20. Lecture 9. Introduction to the theory of martingales
M. V. Zhitlukhin
Course by M. V. Zhitlukhin "Introduction to the theory of martingales"
November 12, 2021 18:00   
21. Lecture 8. Introduction to the theory of martingales
M. V. Zhitlukhin
Course by M. V. Zhitlukhin "Introduction to the theory of martingales"
October 29, 2021 18:00   
22. Lecture 7. Introduction to the theory of martingales
M. V. Zhitlukhin
Course by M. V. Zhitlukhin "Introduction to the theory of martingales"
October 22, 2021 18:00   
23. Lecture 6. Introduction to the theory of martingales
M. V. Zhitlukhin
Course by M. V. Zhitlukhin "Introduction to the theory of martingales"
October 15, 2021 18:00   
24. Lecture 5. Introduction to the theory of martingales
M. V. Zhitlukhin
Course by M. V. Zhitlukhin "Introduction to the theory of martingales"
October 8, 2021 18:00   
25. Lecture 4. Introduction to the theory of martingales
M. V. Zhitlukhin
Course by M. V. Zhitlukhin "Introduction to the theory of martingales"
October 1, 2021 18:00   
26. Lecture 3. Introduction to the theory of martingales
M. V. Zhitlukhin
Course by M. V. Zhitlukhin "Introduction to the theory of martingales"
September 24, 2021 18:00   
27. Lecture 2. Introduction to the theory of martingales
M. V. Zhitlukhin
Course by M. V. Zhitlukhin "Introduction to the theory of martingales"
September 17, 2021 18:00   
28. Lecture 1. Introduction to the theory of martingales
M. V. Zhitlukhin
Course by M. V. Zhitlukhin "Introduction to the theory of martingales"
September 10, 2021 18:00   
29. A diffusion approximation of a repeated prediction game
Mikhail Zhitlukhin
International Conference "Theory of Probability and Its Applications: P. L. Chebyshev – 200" (The 6th International Conference on Stochastic Methods)
May 21, 2021 17:00   
30. Lecture 11. Introduction to the theory of martingales
M. V. Zhitlukhin
Course by M. V. Zhitlukhin "Introduction to the theory of martingales"
November 27, 2020 18:30   
31. Lecture 10. Introduction to the theory of martingales
M. V. Zhitlukhin
Course by M. V. Zhitlukhin "Introduction to the theory of martingales"
November 20, 2020 18:30   
32. Lecture 8. Introduction to the theory of martingales
M. V. Zhitlukhin
Course by M. V. Zhitlukhin "Introduction to the theory of martingales"
November 13, 2020 18:30   
33. Lecture 9. Introduction to the theory of martingales
M. V. Zhitlukhin
Course by M. V. Zhitlukhin "Introduction to the theory of martingales"
November 6, 2020 18:30   
34. Lecture 7. Introduction to the theory of martingales
M. V. Zhitlukhin
Course by M. V. Zhitlukhin "Introduction to the theory of martingales"
October 23, 2020 18:30   
35. Lecture 6. Introduction to the theory of martingales
M. V. Zhitlukhin
Course by M. V. Zhitlukhin "Introduction to the theory of martingales"
October 16, 2020 18:30   
36. Lecture 5. Introduction to the theory of martingales
M. V. Zhitlukhin
Course by M. V. Zhitlukhin "Introduction to the theory of martingales"
October 9, 2020 18:30   
37. Lecture 4. Introduction to the theory of martingales
M. V. Zhitlukhin
Course by M. V. Zhitlukhin "Introduction to the theory of martingales"
October 2, 2020 18:00   
38. Lecture 3. Introduction to the theory of martingales
M. V. Zhitlukhin
Course by M. V. Zhitlukhin "Introduction to the theory of martingales"
September 25, 2020 18:30   
39. Lection 2. Introduction to the theory of martingales
M. V. Zhitlukhin
Course by M. V. Zhitlukhin "Introduction to the theory of martingales"
September 18, 2020 18:30   
40. Лекция 1. Введение в теорию мартингалов
M. V. Zhitlukhin
Course by M. V. Zhitlukhin "Introduction to the theory of martingales"
September 11, 2020 18:30   
41. Relatively optimal investment strategies in a market with competition
M. V. Zhitlukhin
Stochastic Days. Conference in honor of the 85th birthday of Albert Shiryaev
October 15, 2019 15:10   
42. 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
43. 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
44. 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
45. 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
46. 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   
47. 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   
48. Detection of trend changes in stock prices
Mikhail Zhitlukhin
International conference "Advanced Finance and Stochastics"
June 28, 2013 14:10   
49. 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
50. Bayesian quickest detection problems: new general results and their applications
M. V. Zhitlukhin
PreMoLab Seminar
April 12, 2012 17:00
51. 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   
52. 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
53. 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
54. 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
55. 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

Books in Math-Net.Ru
  1. A. I. Bufetov, M. V. Zhitlukhin, N. E. Kozin, Young diagrams and their limit shape, 2013, 56 с.
    http://mi.mathnet.ru/book2045

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