Speciality: 01.01.05 (Probability theory and mathematical statistics)
E-mail: ,
Keywords: probability theory, statistics, stochastic processes, stochastic control, mathematical finance.

Subject:

Optimal stopping of stochastic processes. Sequential methods of statistical hypotheses testing and changepoint detection. Martingal, submartingal and supermartingal representations of stochastic processes.

Main publications:

1. M.V. Zhitlukhin, A.N. Shiryaev, “Baiesovskie zadachi o razladke na filtrovannykh veroyatnostnykh prostranstvakh”, Teoriya veroyatnostei i ee primeneniya, 57:3 (2012), 453–470      
2. M.V. Zhitlukhin, “Maksimalnoe neravenstvo dlya skoshennogo brounovskogo dvizheniya”, Uspekhi matematicheskikh nauk, 64:5 (2009), 175–176      
3. I.V. Evstigneev, M.V. Zhitlukhin, “Controlled random fields, von Neumann.Gale dynamics and multimarket hedging with risk”, Stochastics, 85:4 (2013), 652–666  

Recent publications

Presentations in Math-Net.Ru

Personal pages:

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Organisations:

• Steklov Mathematical Institute of Russian Academy of Sciences, Moscow
• Steklov International Mathematical Center
• International Laboratory of Quantitative Finance, National Research University Higher School of Economics, Moscow
• National Research University Higher School of Economics, Moscow