13 citations · 15 across the 7 of their papers we have counts for
11 papers
Optimal growth strategies for a representative agent in a continuous-time asset market
Mikhail Zhitlukhin
We propose a multi-agent model of an asset market and study conditions that guarantee that the strategy of an individual agent cannot outperform the market. The model assumes a mea…
Asymptotically optimal strategies in a diffusion approximation of a repeated betting game
Mikhail Zhitlukhin
We construct a diffusion approximation of a repeated game in which agents make bets on outcomes of i.i.d. random vectors and their strategies are close to an asymptotically optimal…
Capital growth and survival strategies in a market with endogenous prices
Mikhail Zhitlukhin
We call an investment strategy survival, if an agent who uses it maintains a non-vanishing share of market wealth over the infinite time horizon. In a discrete-time multi-agent mod…
A continuous-time asset market game with short-lived assets
Mikhail Zhitlukhin
We consider a continuous-time game-theoretic model of an investment market with short-lived assets and endogenous asset prices. The first goal of the paper is to formulate a stocha…
A sequential test for the drift of a Brownian motion with a possibility to change a decision
Mikhail Zhitlukhin
We construct a Bayesian sequential test of two simple hypotheses about the value of the unobservable drift coefficient of a Brownian motion, with a possibility to change the initia…
Asymptotic minimization of expected time to reach a large wealth level in an asset market game
Mikhail Zhitlukhin
We consider a stochastic game-theoretic model of a discrete-time asset market with short-lived assets and endogenous asset prices. We prove that the strategy which invests in the a…