×

Shkolnikov, Mykhaylo

Compute Distance To:
Author ID: shkolnikov.mykhaylo Recent zbMATH articles by "Shkolnikov, Mykhaylo"
Published as: Shkolnikov, Mykhaylo
Homepage: https://www.princeton.edu/~mykhaylo/
External Links: MGP
Documents Indexed: 28 Publications since 2009
Co-Authors: 24 Co-Authors with 23 Joint Publications
759 Co-Co-Authors

Publications by Year

Citations contained in zbMATH Open

24 Publications have been cited 266 times in 150 Documents Cited by Year
Strong solutions of stochastic equations with rank-based coefficients. Zbl 1302.60092
Ichiba, Tomoyuki; Karatzas, Ioannis; Shkolnikov, Mykhaylo
25
2013
Large systems of diffusions interacting through their ranks. Zbl 1276.60087
Shkolnikov, Mykhaylo
24
2012
Convergence rates for rank-based models with applications to portfolio theory. Zbl 1274.60291
Ichiba, Tomoyuki; Pal, Soumik; Shkolnikov, Mykhaylo
21
2013
Competing particle systems evolving by interacting Lévy processes. Zbl 1238.60113
Shkolnikov, Mykhaylo
20
2011
Particle systems with singular interaction through hitting times: application in systemic risk modeling. Zbl 1417.35204
Nadtochiy, Sergey; Shkolnikov, Mykhaylo
18
2019
Large deviations for diffusions interacting through their ranks. Zbl 1341.60010
Dembo, Amir; Shkolnikov, Mykhaylo; Varadhan, S. R. Srinivasa; Zeitouni, Ofer
17
2016
Systems of Brownian particles with asymmetric collisions. Zbl 1333.60206
Karatzas, Ioannis; Pal, Soumik; Shkolnikov, Mykhaylo
17
2016
Concentration of measure for Brownian particle systems interacting through their ranks. Zbl 1297.82023
Pal, Soumik; Shkolnikov, Mykhaylo
15
2014
Multilevel Dyson Brownian motions via Jack polynomials. Zbl 1334.60160
Gorin, Vadim; Shkolnikov, Mykhaylo
15
2015
Asymptotic analysis of forward performance processes in incomplete markets and their ill-posed HJB equations. Zbl 1410.91430
Shkolnikov, Mykhaylo; Sircar, Ronnie; Zariphopoulou, Thaleia
11
2016
Competing particle systems evolving by I.I.D. Increments. Zbl 1190.60039
Shkolnikov, Mykhaylo
10
2009
On the one-sided tanaka equation with drift. Zbl 1243.60048
Karatzas, Ioannis; Shiryaev, Albert N.; Shkolnikov, Mykhaylo
10
2011
Limits of multilevel TASEP and similar processes. Zbl 1312.60116
Gorin, Vadim; Shkolnikov, Mykhaylo
9
2015
Stochastic Airy semigroup through tridiagonal matrices. Zbl 1430.60011
Gorin, Vadim; Shkolnikov, Mykhaylo
8
2018
Mean field systems on networks, with singular interaction through hitting times. Zbl 1448.82032
Nadtochiy, Sergey; Shkolnikov, Mykhaylo
8
2020
Multidimensional sticky Brownian motions as limits of exclusion processes. Zbl 1315.60111
Rácz, Miklós Z.; Shkolnikov, Mykhaylo
7
2015
Large volatility-stabilized markets. Zbl 1288.60092
Shkolnikov, Mykhaylo
7
2013
SPDE limit of the global fluctuations in rank-based models. Zbl 1430.60057
Kolli, Praveen; Shkolnikov, Mykhaylo
6
2018
Intertwinings of beta-Dyson Brownian motions of different dimensions. Zbl 1391.60145
Ramanan, Kavita; Shkolnikov, Mykhaylo
5
2018
Edge of spiked beta ensembles, stochastic Airy semigroups and reflected Brownian motions. Zbl 1447.60024
Lamarre, Pierre Yves Gaudreau; Shkolnikov, Mykhaylo
5
2019
Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder’s theorem. Zbl 1454.35388
Avanesyan, Levon; Shkolnikov, Mykhaylo; Sircar, Ronnie
3
2020
Interacting particle systems at the edge of multilevel Dyson Brownian motions. Zbl 1351.82047
Gorin, Vadim; Shkolnikov, Mykhaylo
2
2017
Small time central limit theorems for semimartingales with applications. Zbl 1337.60020
Gerhold, Stefan; Kleinert, Max; Porkert, Piet; Shkolnikov, Mykhaylo
2
2015
Inverting the Markovian projection, with an application to local stochastic volatility models. Zbl 1469.60187
Lacker, Daniel; Shkolnikov, Mykhaylo; Zhang, Jiacheng
1
2020
Mean field systems on networks, with singular interaction through hitting times. Zbl 1448.82032
Nadtochiy, Sergey; Shkolnikov, Mykhaylo
8
2020
Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder’s theorem. Zbl 1454.35388
Avanesyan, Levon; Shkolnikov, Mykhaylo; Sircar, Ronnie
3
2020
Inverting the Markovian projection, with an application to local stochastic volatility models. Zbl 1469.60187
Lacker, Daniel; Shkolnikov, Mykhaylo; Zhang, Jiacheng
1
2020
Particle systems with singular interaction through hitting times: application in systemic risk modeling. Zbl 1417.35204
Nadtochiy, Sergey; Shkolnikov, Mykhaylo
18
2019
Edge of spiked beta ensembles, stochastic Airy semigroups and reflected Brownian motions. Zbl 1447.60024
Lamarre, Pierre Yves Gaudreau; Shkolnikov, Mykhaylo
5
2019
Stochastic Airy semigroup through tridiagonal matrices. Zbl 1430.60011
Gorin, Vadim; Shkolnikov, Mykhaylo
8
2018
SPDE limit of the global fluctuations in rank-based models. Zbl 1430.60057
Kolli, Praveen; Shkolnikov, Mykhaylo
6
2018
Intertwinings of beta-Dyson Brownian motions of different dimensions. Zbl 1391.60145
Ramanan, Kavita; Shkolnikov, Mykhaylo
5
2018
Interacting particle systems at the edge of multilevel Dyson Brownian motions. Zbl 1351.82047
Gorin, Vadim; Shkolnikov, Mykhaylo
2
2017
Large deviations for diffusions interacting through their ranks. Zbl 1341.60010
Dembo, Amir; Shkolnikov, Mykhaylo; Varadhan, S. R. Srinivasa; Zeitouni, Ofer
17
2016
Systems of Brownian particles with asymmetric collisions. Zbl 1333.60206
Karatzas, Ioannis; Pal, Soumik; Shkolnikov, Mykhaylo
17
2016
Asymptotic analysis of forward performance processes in incomplete markets and their ill-posed HJB equations. Zbl 1410.91430
Shkolnikov, Mykhaylo; Sircar, Ronnie; Zariphopoulou, Thaleia
11
2016
Multilevel Dyson Brownian motions via Jack polynomials. Zbl 1334.60160
Gorin, Vadim; Shkolnikov, Mykhaylo
15
2015
Limits of multilevel TASEP and similar processes. Zbl 1312.60116
Gorin, Vadim; Shkolnikov, Mykhaylo
9
2015
Multidimensional sticky Brownian motions as limits of exclusion processes. Zbl 1315.60111
Rácz, Miklós Z.; Shkolnikov, Mykhaylo
7
2015
Small time central limit theorems for semimartingales with applications. Zbl 1337.60020
Gerhold, Stefan; Kleinert, Max; Porkert, Piet; Shkolnikov, Mykhaylo
2
2015
Concentration of measure for Brownian particle systems interacting through their ranks. Zbl 1297.82023
Pal, Soumik; Shkolnikov, Mykhaylo
15
2014
Strong solutions of stochastic equations with rank-based coefficients. Zbl 1302.60092
Ichiba, Tomoyuki; Karatzas, Ioannis; Shkolnikov, Mykhaylo
25
2013
Convergence rates for rank-based models with applications to portfolio theory. Zbl 1274.60291
Ichiba, Tomoyuki; Pal, Soumik; Shkolnikov, Mykhaylo
21
2013
Large volatility-stabilized markets. Zbl 1288.60092
Shkolnikov, Mykhaylo
7
2013
Large systems of diffusions interacting through their ranks. Zbl 1276.60087
Shkolnikov, Mykhaylo
24
2012
Competing particle systems evolving by interacting Lévy processes. Zbl 1238.60113
Shkolnikov, Mykhaylo
20
2011
On the one-sided tanaka equation with drift. Zbl 1243.60048
Karatzas, Ioannis; Shiryaev, Albert N.; Shkolnikov, Mykhaylo
10
2011
Competing particle systems evolving by I.I.D. Increments. Zbl 1190.60039
Shkolnikov, Mykhaylo
10
2009
all top 5

Cited by 189 Authors

15 Shkolnikov, Mykhaylo
13 Sarantsev, Andrey
8 Gorin, Vadim
6 Borodin, Alexei
6 Ichiba, Tomoyuki
6 Karatzas, Ioannis
4 Gaudreau Lamarre, Pierre Yves
4 Kruse, Thomas
4 Liang, Gechun
4 Pal, Soumik
4 Reygner, Julien
4 Søjmark, Andreas
4 Tsai, Li-cheng
4 Urusov, Mikhail A.
4 Zariphopoulou, Thaleia
3 Ankirchner, Stefan
3 Dembo, Amir
3 Fernholz, Erhard Robert
3 Ferrari, Patrik Lino
3 Lacker, Daniel
3 Li, Juan
3 Ramanan, Kavita
2 Assiotis, Theodoros
2 Banerjee, Sayan
2 Barnes, Clayton L.
2 Barraquand, Guillaume
2 Bayraktar, Erhan
2 Budhiraja, Amarjit S.
2 Chen, Zhen-Qing
2 Chong, Wing Fung
2 Corwin, Ivan Z.
2 Cuchiero, Christa
2 Cuenca, Cesar
2 Feng, Xinwei
2 Ghosal, Promit
2 Hambly, Ben M.
2 Hu, Ying
2 Jourdain, Benjamin
2 Kolli, Praveen
2 Ledger, Sean
2 Lipton, Alexander
2 Min, Hui
2 Nadtochiy, Sergey
2 Ngo, Hoang-Long
2 Petrov, Leonid
2 Prokaj, Vilmos
2 Rácz, Miklós Z.
2 Sircar, Ronnie
2 Tang, Wenpin
2 Tangpi, Ludovic
2 Zhang, Yuchong
1 Adler, Mark
1 Ahn, Andrew
1 Angoshtari, Bahman
1 Avanesyan, Levon
1 Bahlali, Khaled
1 Balazs, Marton
1 Bartl, Daniel
1 Beiglböck, Mathias
1 Benabdallah, Mohsine
1 Bouhadou, Siham
1 Breuer, Jonathan
1 Çağlar, Mine
1 Campi, Luciano
1 Can, Bugra
1 Carinci, Gioia
1 Carmona, René A.
1 Cator, Eric A.
1 Cerenzia, Mark
1 Çetin, Umut
1 Chevallier, Julien
1 Clancy, David Jr.
1 Coghi, Michele
1 Cohen, Asaf
1 Cvitanić, Jakša
1 Dai, Hongshuai
1 Dalang, Robert C.
1 Das, Sayan Kumar
1 Delarue, François
1 Deuschel, Jean-Dominique
1 Dimitrov, Evgeni I.
1 Dong, Ran
1 Nguyen Tien Dung
1 Eberle, Andreas
1 Ekren, Ibrahim
1 Engelbert, Hans Jürgen
1 Feinstein, Zachary
1 Fernholz, Ricardo T.
1 Flores, Brandon García
1 Fouque, Jean-Pierre
1 Frings, René
1 Friz, Peter Karl
1 Gayduk, Roman
1 Gerhold, Stefan
1 Ghio, Maddalena
1 Giardinà, Cristian
1 Grazieschi, Paolo
1 Grinshpon, Yoel
1 Groisman, Pablo
1 Guionnet, Alice
...and 89 more Authors
all top 5

Cited in 56 Serials

18 The Annals of Applied Probability
10 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
7 Probability Theory and Related Fields
6 Stochastic Processes and their Applications
6 Electronic Journal of Probability
6 Finance and Stochastics
5 The Annals of Probability
5 SIAM Journal on Control and Optimization
5 Journal of Theoretical Probability
5 SIAM Journal on Financial Mathematics
4 Journal of Statistical Physics
4 Statistics & Probability Letters
4 Electronic Communications in Probability
4 Annals of Finance
3 Communications on Pure and Applied Mathematics
3 Journal of Mathematical Analysis and Applications
3 Stochastic Analysis and Applications
3 Annales Henri Poincaré
2 Advances in Mathematics
2 Journal of Applied Probability
2 Mathematics of Operations Research
2 Queueing Systems
2 Bernoulli
2 SIGMA. Symmetry, Integrability and Geometry: Methods and Applications
2 Science China. Mathematics
2 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys
1 Archive for Rational Mechanics and Analysis
1 Communications in Mathematical Physics
1 Ukrainian Mathematical Journal
1 Calcolo
1 Publications Mathématiques
1 Journal of Functional Analysis
1 Proceedings of the American Mathematical Society
1 Transactions of the American Mathematical Society
1 Insurance Mathematics & Economics
1 Acta Mathematica Hungarica
1 Acta Applicandae Mathematicae
1 European Journal of Applied Mathematics
1 SIAM Journal on Mathematical Analysis
1 Selecta Mathematica. New Series
1 Bulletin des Sciences Mathématiques
1 Applied Mathematical Finance
1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
1 International Journal of Theoretical and Applied Finance
1 Brazilian Journal of Probability and Statistics
1 Discrete and Continuous Dynamical Systems. Series B
1 Stochastics and Dynamics
1 Stochastics
1 ALEA. Latin American Journal of Probability and Mathematical Statistics
1 Kinetic and Related Models
1 Probability Surveys
1 Forum of Mathematics, Pi
1 Forum of Mathematics, Sigma
1 Stochastic Systems
1 Stochastic and Partial Differential Equations. Analysis and Computations
1 Proceedings of the Royal Society of London. A. Mathematical, Physical and Engineering Sciences

Citations by Year