Edit Profile (opens in new tab) Shkolnikov, Mykhaylo Compute Distance To: Compute Author ID: 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 all top 5 Co-Authors 5 single-authored 4 Gorin, Vadim 3 Karatzas, Ioannis 3 Nadtochiy, Sergey 3 Pal, Soumik 2 Ichiba, Tomoyuki 2 Sircar, Ronnie 2 Zhang, Jiacheng 1 Aldous, David John 1 Avanesyan, Levon 1 Delarue, François 1 Dembo, Amir 1 Gaudreau Lamarre, Pierre Yves 1 Gerhold, Stefan 1 Kleinert, Max 1 Kolli, Praveen 1 Lacker, Daniel 1 Monter, Sergio A. Almada 1 Porkert, Piet 1 Rácz, Miklós Z. 1 Ramanan, Kavita 1 Shiryaev, Al’bert Nikolaevich 1 Varadhan, S. R. Srinivasa 1 Zariphopoulou, Thaleia 1 Zeitouni, Ofer all top 5 Serials 5 The Annals of Applied Probability 4 The Annals of Probability 4 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 3 Probability Theory and Related Fields 3 Electronic Journal of Probability 2 Stochastic Processes and their Applications 1 Communications on Pure and Applied Mathematics 1 Advances in Mathematics 1 Electronic Communications in Probability 1 Finance and Stochastics 1 Stochastics 1 SIAM Journal on Financial Mathematics 1 Probability and Mathematical Physics all top 5 Fields 26 Probability theory and stochastic processes (60-XX) 13 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 9 Statistical mechanics, structure of matter (82-XX) 4 Partial differential equations (35-XX) 2 Combinatorics (05-XX) 2 Linear and multilinear algebra; matrix theory (15-XX) 2 Operator theory (47-XX) 1 Special functions (33-XX) 1 Integral transforms, operational calculus (44-XX) 1 General topology (54-XX) 1 Numerical analysis (65-XX) 1 Classical thermodynamics, heat transfer (80-XX) 1 Operations research, mathematical programming (90-XX) 1 Biology and other natural sciences (92-XX) 1 Systems theory; control (93-XX) 1 Information and communication theory, circuits (94-XX) Publications by Year all cited Publications top 5 cited Publications 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 1302.60092Ichiba, Tomoyuki; Karatzas, Ioannis; Shkolnikov, Mykhaylo 25 2013 Large systems of diffusions interacting through their ranks. Zbl 1276.60087Shkolnikov, Mykhaylo 24 2012 Convergence rates for rank-based models with applications to portfolio theory. Zbl 1274.60291Ichiba, Tomoyuki; Pal, Soumik; Shkolnikov, Mykhaylo 21 2013 Competing particle systems evolving by interacting Lévy processes. Zbl 1238.60113Shkolnikov, Mykhaylo 20 2011 Particle systems with singular interaction through hitting times: application in systemic risk modeling. Zbl 1417.35204Nadtochiy, Sergey; Shkolnikov, Mykhaylo 18 2019 Large deviations for diffusions interacting through their ranks. Zbl 1341.60010Dembo, Amir; Shkolnikov, Mykhaylo; Varadhan, S. R. Srinivasa; Zeitouni, Ofer 17 2016 Systems of Brownian particles with asymmetric collisions. Zbl 1333.60206Karatzas, Ioannis; Pal, Soumik; Shkolnikov, Mykhaylo 17 2016 Concentration of measure for Brownian particle systems interacting through their ranks. Zbl 1297.82023Pal, Soumik; Shkolnikov, Mykhaylo 15 2014 Multilevel Dyson Brownian motions via Jack polynomials. Zbl 1334.60160Gorin, Vadim; Shkolnikov, Mykhaylo 15 2015 Asymptotic analysis of forward performance processes in incomplete markets and their ill-posed HJB equations. Zbl 1410.91430Shkolnikov, Mykhaylo; Sircar, Ronnie; Zariphopoulou, Thaleia 11 2016 Competing particle systems evolving by I.I.D. Increments. Zbl 1190.60039Shkolnikov, Mykhaylo 10 2009 On the one-sided tanaka equation with drift. Zbl 1243.60048Karatzas, Ioannis; Shiryaev, Albert N.; Shkolnikov, Mykhaylo 10 2011 Limits of multilevel TASEP and similar processes. Zbl 1312.60116Gorin, Vadim; Shkolnikov, Mykhaylo 9 2015 Stochastic Airy semigroup through tridiagonal matrices. Zbl 1430.60011Gorin, Vadim; Shkolnikov, Mykhaylo 8 2018 Mean field systems on networks, with singular interaction through hitting times. Zbl 1448.82032Nadtochiy, Sergey; Shkolnikov, Mykhaylo 8 2020 Multidimensional sticky Brownian motions as limits of exclusion processes. Zbl 1315.60111Rácz, Miklós Z.; Shkolnikov, Mykhaylo 7 2015 Large volatility-stabilized markets. Zbl 1288.60092Shkolnikov, Mykhaylo 7 2013 SPDE limit of the global fluctuations in rank-based models. Zbl 1430.60057Kolli, Praveen; Shkolnikov, Mykhaylo 6 2018 Intertwinings of beta-Dyson Brownian motions of different dimensions. Zbl 1391.60145Ramanan, Kavita; Shkolnikov, Mykhaylo 5 2018 Edge of spiked beta ensembles, stochastic Airy semigroups and reflected Brownian motions. Zbl 1447.60024Lamarre, 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 1454.35388Avanesyan, Levon; Shkolnikov, Mykhaylo; Sircar, Ronnie 3 2020 Interacting particle systems at the edge of multilevel Dyson Brownian motions. Zbl 1351.82047Gorin, Vadim; Shkolnikov, Mykhaylo 2 2017 Small time central limit theorems for semimartingales with applications. Zbl 1337.60020Gerhold, Stefan; Kleinert, Max; Porkert, Piet; Shkolnikov, Mykhaylo 2 2015 Inverting the Markovian projection, with an application to local stochastic volatility models. Zbl 1469.60187Lacker, Daniel; Shkolnikov, Mykhaylo; Zhang, Jiacheng 1 2020 Mean field systems on networks, with singular interaction through hitting times. Zbl 1448.82032Nadtochiy, 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 1454.35388Avanesyan, Levon; Shkolnikov, Mykhaylo; Sircar, Ronnie 3 2020 Inverting the Markovian projection, with an application to local stochastic volatility models. Zbl 1469.60187Lacker, Daniel; Shkolnikov, Mykhaylo; Zhang, Jiacheng 1 2020 Particle systems with singular interaction through hitting times: application in systemic risk modeling. Zbl 1417.35204Nadtochiy, Sergey; Shkolnikov, Mykhaylo 18 2019 Edge of spiked beta ensembles, stochastic Airy semigroups and reflected Brownian motions. Zbl 1447.60024Lamarre, Pierre Yves Gaudreau; Shkolnikov, Mykhaylo 5 2019 Stochastic Airy semigroup through tridiagonal matrices. Zbl 1430.60011Gorin, Vadim; Shkolnikov, Mykhaylo 8 2018 SPDE limit of the global fluctuations in rank-based models. Zbl 1430.60057Kolli, Praveen; Shkolnikov, Mykhaylo 6 2018 Intertwinings of beta-Dyson Brownian motions of different dimensions. Zbl 1391.60145Ramanan, Kavita; Shkolnikov, Mykhaylo 5 2018 Interacting particle systems at the edge of multilevel Dyson Brownian motions. Zbl 1351.82047Gorin, Vadim; Shkolnikov, Mykhaylo 2 2017 Large deviations for diffusions interacting through their ranks. Zbl 1341.60010Dembo, Amir; Shkolnikov, Mykhaylo; Varadhan, S. R. Srinivasa; Zeitouni, Ofer 17 2016 Systems of Brownian particles with asymmetric collisions. Zbl 1333.60206Karatzas, Ioannis; Pal, Soumik; Shkolnikov, Mykhaylo 17 2016 Asymptotic analysis of forward performance processes in incomplete markets and their ill-posed HJB equations. Zbl 1410.91430Shkolnikov, Mykhaylo; Sircar, Ronnie; Zariphopoulou, Thaleia 11 2016 Multilevel Dyson Brownian motions via Jack polynomials. Zbl 1334.60160Gorin, Vadim; Shkolnikov, Mykhaylo 15 2015 Limits of multilevel TASEP and similar processes. Zbl 1312.60116Gorin, Vadim; Shkolnikov, Mykhaylo 9 2015 Multidimensional sticky Brownian motions as limits of exclusion processes. Zbl 1315.60111Rácz, Miklós Z.; Shkolnikov, Mykhaylo 7 2015 Small time central limit theorems for semimartingales with applications. Zbl 1337.60020Gerhold, Stefan; Kleinert, Max; Porkert, Piet; Shkolnikov, Mykhaylo 2 2015 Concentration of measure for Brownian particle systems interacting through their ranks. Zbl 1297.82023Pal, Soumik; Shkolnikov, Mykhaylo 15 2014 Strong solutions of stochastic equations with rank-based coefficients. Zbl 1302.60092Ichiba, Tomoyuki; Karatzas, Ioannis; Shkolnikov, Mykhaylo 25 2013 Convergence rates for rank-based models with applications to portfolio theory. Zbl 1274.60291Ichiba, Tomoyuki; Pal, Soumik; Shkolnikov, Mykhaylo 21 2013 Large volatility-stabilized markets. Zbl 1288.60092Shkolnikov, Mykhaylo 7 2013 Large systems of diffusions interacting through their ranks. Zbl 1276.60087Shkolnikov, Mykhaylo 24 2012 Competing particle systems evolving by interacting Lévy processes. Zbl 1238.60113Shkolnikov, Mykhaylo 20 2011 On the one-sided tanaka equation with drift. Zbl 1243.60048Karatzas, Ioannis; Shiryaev, Albert N.; Shkolnikov, Mykhaylo 10 2011 Competing particle systems evolving by I.I.D. Increments. Zbl 1190.60039Shkolnikov, Mykhaylo 10 2009 all cited Publications top 5 cited Publications 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 all top 5 Cited in 21 Fields 132 Probability theory and stochastic processes (60-XX) 43 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 32 Statistical mechanics, structure of matter (82-XX) 17 Partial differential equations (35-XX) 11 Numerical analysis (65-XX) 10 Linear and multilinear algebra; matrix theory (15-XX) 10 Systems theory; control (93-XX) 8 Combinatorics (05-XX) 6 Operator theory (47-XX) 5 Special functions (33-XX) 4 Biology and other natural sciences (92-XX) 2 Calculus of variations and optimal control; optimization (49-XX) 2 Statistics (62-XX) 2 Mechanics of particles and systems (70-XX) 2 Quantum theory (81-XX) 1 Group theory and generalizations (20-XX) 1 Measure and integration (28-XX) 1 Integral transforms, operational calculus (44-XX) 1 General topology (54-XX) 1 Computer science (68-XX) 1 Information and communication theory, circuits (94-XX) Citations by Year