Dmitry B. Rokhlin

Publication Activity (10 Years)

Years Active: 2005-2021
Publications (10 Years): 8

Top Topics

Prediction With Expert Advice

Stochastic Control

Transaction Costs

Top Venues

Math. Methods Oper. Res.

Finance Stochastics

Autom. Remote. Control.

Publications

Dmitry B. Rokhlin
Relative utility bounds for empirically optimal portfolios. Math. Methods Oper. Res. 93 (3) (2021)
Dmitry B. Rokhlin, Guennady A. Ougolnitsky
Stackelberg Equilibrium in a Dynamic Stimulation Model with Complete Information. Autom. Remote. Control. 79 (4) (2018)
Dmitry B. Rokhlin
Robbins-Mobro conditions for persistent exploration learning strategies. CoRR (2018)
Dmitry B. Rokhlin
Minimax perfect stopping rules for selling an asset near its ultimate maximum. Optim. Lett. 11 (8) (2017)
Dmitry B. Rokhlin
PDE approach to the problem of online prediction with expert advice: a construction of potential-based strategies. CoRR (2017)
Dmitry B. Rokhlin, Anatoly Usov
Asymptotic efficiency of the proportional compensation scheme for a large number of producers. CoRR (2017)
Dmitry B. Rokhlin
Asymptotic sequential Rademacher complexity of a finite function class. CoRR (2016)
Dmitry B. Rokhlin, Georgii Mironenko
Regular finite fuel stochastic control problems with exit time. Math. Methods Oper. Res. 84 (1) (2016)
Dmitry B. Rokhlin
On the game interpretation of a shadow price process in utility maximization problems under transaction costs. Finance Stochastics 17 (4) (2013)
Dmitry B. Rokhlin
Asymptotic arbitrage and numéraire portfolios in large financial markets. Finance Stochastics 12 (2) (2008)
Dmitry B. Rokhlin
The Kreps-Yan theorem for L∞. Int. J. Math. Math. Sci. 2005 (17) (2005)