User profiles for Mikhail Zhitlukhin

Mikhail Zhitlukhin

Steklov Mathematical Institute, Moscow
Verified email at mi-ras.ru
Cited by 396

Bounds for expected maxima of Gaussian processes and their discrete approximations

K Borovkov, Y Mishura, A Novikov, M Zhitlukhin - Stochastics, 2017 - Taylor & Francis
The paper deals with the expected maxima of continuous Gaussian processes that are Hölder
continuous in -norm and/or satisfy the opposite inequality for the -norms of their increments…

Land and stock bubbles, crashes and exit strategies in Japan circa 1990 and in 2013

AN Shiryaev, MV Zhitlukhin, WT Ziemba - Quantitative Finance, 2015 - Taylor & Francis
We study the land and stock markets in Japan circa 1990 and in 2013. While the Nikkei stock
average in the late 1980s and its % crash in 1990 is generally recognized as a financial …

[BOOK][B] Stock market crashes: predictable and unpredictable and what to do about them

WT Ziemba, M Zhitlukhin, S Lleo - 2017 - books.google.com
'Overall, the book provides an interesting and useful synthesis of the authors’ research on the
predictions of stock market crashes. The book can be recommended to anyone interested …

A Bayesian sequential testing problem of three hypotheses for Brownian motion

MV Zhitlukhin, A Shiryaev - Statistics & Risk Modeling, 2011 - degruyter.com
We consider a sequential testing problem of three hypotheses that the unknown drift of a
Brownian motion takes one of three values. We show that this problem can be solved by a …

A continuous-time asset market game with short-lived assets

M Zhitlukhin - Finance and Stochastics, 2022 - Springer
We propose a continuous-time game-theoretic model of an investment market with short-lived
assets. The first goal of the paper is to obtain a stochastic equation which determines the …

Capital growth and survival strategies in a market with endogenous prices

M Zhitlukhin - SIAM Journal on Financial Mathematics, 2023 - SIAM
We consider a multiagent asset market model which includes assets of two types: long-lived
assets with exogenous prices and short-lived assets with endogenous prices. The first main …

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 - papers.ssrn.com
Stochastic processes is one of the key operations research tools for analysis of complex
phenomenon. This paper has a unique application to the study of mean changing models in …

Survival investment strategies in a continuous-time market model with competition

M Zhitlukhin - International Journal of Theoretical and Applied …, 2021 - World Scientific
We consider a stochastic game-theoretic model of an investment market in continuous time
with short-lived assets and study strategies, called survival, which guarantee that the relative …

New and refined bounds for expected maxima of fractional Brownian motion

…, Y Mishura, A Novikov, M Zhitlukhin - Statistics & Probability …, 2018 - Elsevier
For the fractional Brownian motion B H with the Hurst parameter value H in ( 0 , 1 ∕ 2 ) , we
derive new upper and lower bounds for the difference between the expectations of the …

Relative growth optimal strategies in an asset market game

Y Drokin, M Zhitlukhin - Annals of Finance, 2020 - Springer
We consider a game-theoretic model of a market where investors compete for payoffs yielded
by several assets. The main result consists in a proof of the existence and uniqueness of a …