13 citations · 30 across the 14 of their papers we have counts for
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math.PR2019
Sequential tracking of an unobservable two-state Markov process under Brownian noise
Alexey Muravlev, Mikhail Urusov, Mikhail Zhitlukhin
We consider an optimal control problem, where a Brownian motion with drift is sequentially observed, and the sign of the drift coefficient changes at jump times of a symmetric two-…
q-fin.MF2019★ 13 cited
Relative growth optimal strategies in an asset market game
Yaroslav Drokin, Mikhail Zhitlukhin
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…