202 Sherrerd Hall
Princeton, NJ 08544
Currently, I am an
Assistant Professor in the ORFE Department and an Affiliated Faculty Member of the Bendheim Center for Finance at
University, after being an Assistant Professor in the Math
Department at Princeton. Before coming to Princeton I was a
Postdoctoral Fellow at UC
Berkeley and MSRI
mentored by David Aldous. My PhD is from the Math Department at Stanford University
where my advisor was Amir Dembo.
At the moment, I am applying tools from interacting particle systems to problems in random
matrix theory and mathematical finance. More broadly, my interests include a
variety of topics in probability theory and PDEs: integrable probability, models of random growth, SPDEs, concentration of measure, large deviations, random operators,
probabilistic approach to hyperbolic and parabolic PDEs.
My research is partially supported by NSF grant DMS-1506290.
Here you can find activities I am involved
in, my PhD students,
publications, recent and upcoming talks, collaborators, and CV.
Lamarre, Levon Avanesyan, Praveen Kolli
matrix-valued diffusions. Diploma
thesis. University of Munich.
2. Shkolnikov, M. (2009).
particle systems evolving by i.i.d. increments. Electron. J. Probab. 14, 728-751.
3. Shkolnikov, M. (2011).
particle systems evolving by interacting Lévy processes. Ann. Appl. Probab. 21, 1911-1932.
4. Shkolnikov, M. (2012). Large
systems of diffusions interacting through their ranks. Stoch. Proc. Appl. 122, 1730-1747.
5. Pal, S., Shkolnikov, M. (2014).
of measure for Brownian particle systems interacting
through their ranks. Ann. Appl.
Probab. 24, 1482-1508
6. Farinelli, S., Shkolnikov, M.
models for stochastic loss given default. J. Credit Risk 8, paper 4.
7. Shkolnikov, M. (2013). Large
volatility-stabilized markets. Stoch.
Proc. Appl. 123,
8. Ichiba, T., Pal, S.,
Shkolnikov, M. (2013). Convergence
rates for rank-based models with
applications to portfolio theory. Probab.
9. Karatzas, I., Shiryaev, A. N.,
Shkolnikov, M. (2011). On the one-sided Tanaka
equation with drift.
Electron. Commun. Probab.
10. Ichiba, T., Karatzas, I.,
Shkolnikov, M. (2013). Strong
solutions to stochastic equations with
rank-based coefficients. Probab.
Theory Related Fields 156,
11. Shkolnikov, M. (2011).
particle systems and their applications. PhD thesis, Stanford University.
12. Shkolnikov, M. (2013). Some
universal estimates for reversible Markov chains. Electron. J. Probab. 18, article 11.
13. Shkolnikov, M. (2012). On a
non-linear transformation between Brownian martingales. Submitted.
14. Gorin, V., Shkolnikov, M.
(2015). Limits of
multilevel TASEP and related processes. Ann. Inst. Henri Poincaré Probab. Stat. 51, 18-27.
15. Gerhold, S., Kleinert, M.,
Porkert, P., Shkolnikov, M. (2015). Small
time central limit theorems
for semimartingales with applications. Stochastics 87, 723-746.
16. Karatzas, I., Pal, S.,
Shkolnikov, M. (2016). Systems of
Brownian particles with asymmetric
collisions. Ann. Inst. Henri
Poincaré Probab. Stat. 52,
17. Aldous, D., Shkolnikov, M.
(2013). Fluctuations of
martingales and winning probabilities of game
contestants. Electron. J. Probab.
18, article 47.
18. Dembo, A., Shkolnikov, M.,
Varadhan, S.R.S., Zeitouni, O. (2012). Large deviations for diffusions
interacting through their ranks. Comm.
Pure Appl. Math. 69,
19. Racz, M.Z., Shkolnikov, M.
sticky Brownian motions as limits of exclusion
processes. Ann. Appl. Probab.
20. Ichiba, T., Shkolnikov, M.
deviations for interacting Bessel-like processes and
applications to systemic risk. Submitted.
21. Pal, S., Shkolnikov, M.
diffusions and wave equations. Submitted.
22. Shkolnikov, M., Karatzas, I.
of reflected Brownian motions in the orthant. Submitted.
23. Gorin, V., Shkolnikov, M.
Dyson Brownian motions via Jack polynomials. Probab. Theory Related Fields 163, 413-463.
24. Gorin, V., Shkolnikov, M.
particle systems at the edge of multilevel Dyson
Brownian motions. Adv. Math. 304, 90-130.
25. Shkolnikov, M., Sircar, R.,
Zariphopoulou, T. (2016). Asymptotic analysis of forward performance processes
markets and their ill-posed HJB equations. SIAM J. Financial Math. 7, 588-618.
26. Shkolnikov, M. (2015). A
construction of infinite Brownian particle systems. Submitted.
27. Gorin, V., Shkolnikov, M.
Airy semigroup through tridiagonal matrices. To appear in Ann. Probab.
. Kolli, P., Shkolnikov, M.
(2016). SPDE limit of
the global fluctuations in rank-based models. To appear in Ann. Probab.
. Ramanan, K., Shkolnikov, M.
(2016). Intertwinings of beta-Dyson
Brownian motions of different dimensions. To appear in Ann. Inst. Henri
Poincaré Probab. Stat.
. Nadtochiy, S., Shkolnikov, M. (2017). Particle systems with singular interaction through hitting times: application in systemic risk modeling. Submitted.
. Gaudreau Lamarre, P. Y., Shkolnikov, M. (2017). Edge of spiked beta ensembles, stochastic Airy semigroups and reflected Brownian motions. Submitted.
Recent and upcoming talks:
2018: Seminar on Stochastic Processes: Brown University, Casa Mathemática Oaxaca: Workshop on Stochastic Analysis and its Applications
Mathematical Finance Seminar, Columbia University, Oberwolfach:
Mathematics of Quantitative Finance, Western Conference in
Mathematical Finance, University of Michigan, Oxford University:
Oxford-Princeton Workshop on Financial Mathematics & Stochastic
Analysis, Edinburgh: Workshop on BSDEs, SPDEs and their Applications,
Montreal: Mathematical Congress of the Americas (Probability Theory
session), SIAM-LMS Conference on Mathematical Modelling in Finance, Stony Brook, UT Austin
2016: Kavli Institute for Theoretical
Physics: Non-equilibrium dynamics of stochastic and quantum integrable
systems, UC Santa Barbara,
Rutgers University, MIT,
University of Michigan: Byrne Workshop in Stochastic Analysis in
Finance and Insurance, International Centre for Mathematical Sciences,
Edinburgh: At the Frontiers of Quantitative Finance
Canadian Mathematical Society conference: Montréal, University of
Chicago, Northeast Probability Seminar: NYU, 9th Oxford-Princeton
Workshop on Financial Mathematics and Stochastic Analysis, Morgan
Stanley, TU Munich, University of Tokyo, Stochastic Portfolio Theory
conference: Columbia University, Mathematical Finance and Partial
Differential Equations conference: Rutgers University, CUNY, AMS
sectional meeting: DC, Rutgers University, Princeton University
2014: Brown University, University
of Tokyo, Johns Hopkins, Harvard University, University of
Pennsylvania/Temple University, Princeton University, University of
Connecticut, Columbia University, University of Southern California,
University of British Columbia, University of Maryland, Georgia Tech
2013: University of Bonn,
University of Minnesota, Carnegie Mellon University, Cornell
University, Conference on Stochastic Processes and Their Applications
(SPA): University of Colorado, Stanford University, University of
Michigan, Columbia University, MIT, University of Washington, UC
Berkeley, AMS meetings: San Diego
2012: UC Santa Barbara, Conference
in honor of Ioannis Karatzas: Columbia University, Mathematical
Sciences Research Institute, UC Berkeley, MAN Institute at Oxford
University, ETH Zurich, University of Technology Vienna
2011: QMF 2011 conference: Sydney,
UCLA, UC Irvine, UC Berkeley, New York University, Princeton
University, University of North Carolina/Duke University, UC San Diego,
Stanford University, University of Washington
2010: Columbia University, École d'Été de Probabilités:
Saint-Flour, EPFL Lausanne, UC Berkeley, Stanford University
David Aldous, Amir
Farinelli, Pierre Yves Gaudreau Lamarre, Stefan Gerhold, Vadim Gorin,
Karatzas, Max Kleinert, Praveen
Kolli, Sergey Nadtochiy, Soumik Pal, Piet
Porkert, Miklos Z.
Racz, Kavita Ramanan,
N. Shiryaev, Ronnie Sircar, S.R.Srinivasa
Zariphopoulou, Ofer Zeitouni