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:
M.V. Zhitlukhin, A.N. Shiryaev, “Baiesovskie zadachi o razladke na filtrovannykh veroyatnostnykh prostranstvakh”, Teoriya veroyatnostei i ee primeneniya, 57:3 (2012), 453–470
I.V. Evstigneev, M.V. Zhitlukhin, “Controlled random fields, von Neumann.Gale dynamics and multimarket hedging with risk”, Stochastics, 85:4 (2013), 652–666
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
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
M. V. Zhitlukhin, A. N. Shiryaev, “Baeyes disorder problems on filtered probability spaces”, Theory Probab. Appl., 57:3 (2013), 497–511
4.
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
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
6.
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
Mikhail Zhitlukhin, “Survival investment strategies in a continuous-time market model with competition”, Int. J. Theor. Appl. Finance, 24:1 (2021), 2150001 , 24 pp. ;
I. V. Evstigneev, M. V. Zhitlukhin, “Controlled random fields, von Neumann–Gale dynamics and multimarket hedging with risk”, Stochastics, 85:4 (2013), 652–666
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
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
14.
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
15.
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;
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;
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;
M. V. Zhitlukhin, “Supporting prices in a stochastic von Neumann–Gale model of a financial market”, Theory Probab. Appl., 64:4 (2019), 553–563
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
20.
M. V. Zhitlukhin, “On maximization of the expectation-to-deviation ratio of a random variable”, Russian Math. Surveys, 72:4 (2017), 765–766
21.
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
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;
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.
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
27.
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
28.
M. V. Zhitlukhin, “A maximal inequality for skew Brownian motion”, Russian Mathematical Surveys, 64 (2009), 958–959
29.
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
30.
M. V. Zhitlukhin, “On a diffusion approximation of some prediction game”, Theory Probab. Appl., 68:4 (2024), 607–621
31.
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) ; (Published online)
32.
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;
33.
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;
34.
Mikhail Zhitlukhin, “Monotone Sharpe ratios and related measures of investment performance”, 2017 MATRIX Annals, MATRIX Book Ser., 2, Springer, Cham, 2019, 637–665;
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
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
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