13 citations · 30 across the 14 of their papers we have counts for
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q-fin.MF2020
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…
math.PR2020
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…
q-fin.MF2020
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…