13 citations · 16 across the 8 of their papers we have counts for
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q-fin.MF2021★ 1 cited
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…
q-fin.MF2021
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…