13 citations · 30 across the 14 of their papers we have counts for
4 papers · 1 filter
Survival investment strategies in a continuous-time market model with competition
Mikhail Zhitlukhin
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 rel…
Monotone Sharpe ratios and related measures of investment performance
Mikhail Zhitlukhin
We introduce a new measure of performance of investment strategies, the monotone Sharpe ratio. We study its properties, establish a connection with coherent risk measures, and obta…
A Bayesian sequential test for the drift of a fractional Brownian motion
Alexey Muravlev, Mikhail Zhitlukhin
We consider a fractional Brownian motion with unknown linear drift such that the drift coefficient has a prior normal distribution and construct a sequential test for the hypothesi…
On the maximum of discretely sampled fractional Brownian motion with small Hurst parameter
Konstantin Borovkov, Mikhail Zhitlukhin
We show that the distribution of the maximum of the fractional Brownian motion with Hurst parameter over an -point set can be approximated by the…