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Shkolnikov, Mykhaylo

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Author ID: shkolnikov.mykhaylo Recent zbMATH articles by "Shkolnikov, Mykhaylo"
Published as: Shkolnikov, Mykhaylo
Homepage: https://www.princeton.edu/~mykhaylo/
External Links: MGP · Wikidata
Documents Indexed: 27 Publications since 2009

Publications by Year

Citations contained in zbMATH

21 Publications have been cited 197 times in 104 Documents Cited by Year
Large systems of diffusions interacting through their ranks. Zbl 1276.60087
Shkolnikov, Mykhaylo
21
2012
Strong solutions of stochastic equations with rank-based coefficients. Zbl 1302.60092
Ichiba, Tomoyuki; Karatzas, Ioannis; Shkolnikov, Mykhaylo
20
2013
Convergence rates for rank-based models with applications to portfolio theory. Zbl 1274.60291
Ichiba, Tomoyuki; Pal, Soumik; Shkolnikov, Mykhaylo
18
2013
Competing particle systems evolving by interacting Lévy processes. Zbl 1238.60113
Shkolnikov, Mykhaylo
17
2011
Large deviations for diffusions interacting through their ranks. Zbl 1341.60010
Dembo, Amir; Shkolnikov, Mykhaylo; Varadhan, S. R. Srinivasa; Zeitouni, Ofer
15
2016
Systems of Brownian particles with asymmetric collisions. Zbl 1333.60206
Karatzas, Ioannis; Pal, Soumik; Shkolnikov, Mykhaylo
13
2016
Multilevel Dyson Brownian motions via Jack polynomials. Zbl 1334.60160
Gorin, Vadim; Shkolnikov, Mykhaylo
12
2015
Concentration of measure for Brownian particle systems interacting through their ranks. Zbl 1297.82023
Pal, Soumik; Shkolnikov, Mykhaylo
11
2014
Particle systems with singular interaction through hitting times: application in systemic risk modeling. Zbl 1417.35204
Nadtochiy, Sergey; Shkolnikov, Mykhaylo
10
2019
Competing particle systems evolving by I.I.D. Increments. Zbl 1190.60039
Shkolnikov, Mykhaylo
10
2009
Limits of multilevel TASEP and similar processes. Zbl 1312.60116
Gorin, Vadim; Shkolnikov, Mykhaylo
9
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
8
2016
Large volatility-stabilized markets. Zbl 1288.60092
Shkolnikov, Mykhaylo
6
2013
On the one-sided tanaka equation with drift. Zbl 1243.60048
Karatzas, Ioannis; Shiryaev, Albert N.; Shkolnikov, Mykhaylo
6
2011
SPDE limit of the global fluctuations in rank-based models. Zbl 1430.60057
Kolli, Praveen; Shkolnikov, Mykhaylo
5
2018
Intertwinings of beta-Dyson Brownian motions of different dimensions. Zbl 1391.60145
Ramanan, Kavita; Shkolnikov, Mykhaylo
4
2018
Stochastic Airy semigroup through tridiagonal matrices. Zbl 1430.60011
Gorin, Vadim; Shkolnikov, Mykhaylo
3
2018
Multidimensional sticky Brownian motions as limits of exclusion processes. Zbl 1315.60111
Rácz, Miklós Z.; Shkolnikov, Mykhaylo
3
2015
Edge of spiked beta ensembles, stochastic Airy semigroups and reflected Brownian motions. Zbl 1447.60024
Lamarre, Pierre Yves Gaudreau; Shkolnikov, Mykhaylo
2
2019
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
Particle systems with singular interaction through hitting times: application in systemic risk modeling. Zbl 1417.35204
Nadtochiy, Sergey; Shkolnikov, Mykhaylo
10
2019
Edge of spiked beta ensembles, stochastic Airy semigroups and reflected Brownian motions. Zbl 1447.60024
Lamarre, Pierre Yves Gaudreau; Shkolnikov, Mykhaylo
2
2019
SPDE limit of the global fluctuations in rank-based models. Zbl 1430.60057
Kolli, Praveen; Shkolnikov, Mykhaylo
5
2018
Intertwinings of beta-Dyson Brownian motions of different dimensions. Zbl 1391.60145
Ramanan, Kavita; Shkolnikov, Mykhaylo
4
2018
Stochastic Airy semigroup through tridiagonal matrices. Zbl 1430.60011
Gorin, Vadim; Shkolnikov, Mykhaylo
3
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
15
2016
Systems of Brownian particles with asymmetric collisions. Zbl 1333.60206
Karatzas, Ioannis; Pal, Soumik; Shkolnikov, Mykhaylo
13
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
8
2016
Multilevel Dyson Brownian motions via Jack polynomials. Zbl 1334.60160
Gorin, Vadim; Shkolnikov, Mykhaylo
12
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
3
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
11
2014
Strong solutions of stochastic equations with rank-based coefficients. Zbl 1302.60092
Ichiba, Tomoyuki; Karatzas, Ioannis; Shkolnikov, Mykhaylo
20
2013
Convergence rates for rank-based models with applications to portfolio theory. Zbl 1274.60291
Ichiba, Tomoyuki; Pal, Soumik; Shkolnikov, Mykhaylo
18
2013
Large volatility-stabilized markets. Zbl 1288.60092
Shkolnikov, Mykhaylo
6
2013
Large systems of diffusions interacting through their ranks. Zbl 1276.60087
Shkolnikov, Mykhaylo
21
2012
Competing particle systems evolving by interacting Lévy processes. Zbl 1238.60113
Shkolnikov, Mykhaylo
17
2011
On the one-sided tanaka equation with drift. Zbl 1243.60048
Karatzas, Ioannis; Shiryaev, Albert N.; Shkolnikov, Mykhaylo
6
2011
Competing particle systems evolving by I.I.D. Increments. Zbl 1190.60039
Shkolnikov, Mykhaylo
10
2009
all top 5

Cited by 128 Authors

15 Shkolnikov, Mykhaylo
10 Sarantsev, Andrey
8 Gorin, Vadim
6 Borodin, Alexei
5 Ichiba, Tomoyuki
5 Karatzas, Ioannis
4 Pal, Soumik
4 Reygner, Julien
4 Tsai, Li-cheng
4 Zariphopoulou, Thaleia
3 Dembo, Amir
3 Fernholz, Erhard Robert
3 Liang, Gechun
2 Assiotis, Theodoros
2 Chong, Wing Fung
2 Corwin, Ivan
2 Cuchiero, Christa
2 Cuenca, Cesar
2 Ferrari, Patrik Lino
2 Gaudreau Lamarre, Pierre Yves
2 Ghosal, Promit
2 Hambly, Ben M.
2 Hu, Ying
2 Jourdain, Benjamin
2 Kolli, Praveen
2 Kruse, Thomas
2 Lacker, Daniel
2 Li, Juan
2 Min, Hui
2 Nadtochiy, Sergey
2 Ngo, Hoang-Long
2 Prokaj, Vilmos
2 Rácz, Miklós Z.
2 Ramanan, Kavita
2 Søjmark, Andreas
2 Tang, Wenpin
2 Urusov, Mikhail A.
2 Zhang, Yuchong
1 Adler, Mark
1 Angoshtari, Bahman
1 Ankirchner, Stefan
1 Avanesyan, Levon
1 Balazs, Marton
1 Barraquand, Guillaume
1 Bartl, Daniel
1 Bayraktar, Erhan
1 Benabdallah, Mohsine
1 Bouhadou, Siham
1 Çağlar, Mine
1 Can, Bugra
1 Carmona, René A.
1 Cator, Eric A.
1 Cerenzia, Mark
1 Çetin, Umut
1 Chen, Zhen-Qing
1 Chevallier, Julien
1 Cvitanić, Jakša
1 Dalang, Robert C.
1 Delarue, François
1 Dong, Ran
1 Nguyen Tien Dung
1 Eberle, Andreas
1 Engelbert, Hans Jürgen
1 Feng, Xinwei
1 Fernholz, Ricardo T.
1 Ferrari, Pier Luigi
1 Frings, René
1 Gayduk, Roman
1 Gerhold, Stefan
1 Grazieschi, Paolo
1 Guionnet, Alice
1 Gülüm, Ismail Cetin
1 Jara, Milton D.
1 Jiang, Yiming
1 Kabluchko, Zakhar A.
1 Larsson, Martin
1 Ledger, Sean
1 Leocata, Marta
1 Liao, Yuchen
1 Lipshutz, David
1 Lipton, Alexander
1 López, Sergio I.
1 Ludkovski, Michael
1 Luong, Duc-Trong
1 Mascart, Cyrille
1 Monter, Sergio A. Almada
1 Musiela, Marek
1 Nica, Mihai
1 Nordenstam, Eric J. G.
1 Nutz, Marcel
1 Olla, Stefano
1 Ouknine, Youssef
1 Palmer, Aaron Zeff
1 Peskir, Goran
1 Petrov, Leonid
1 Pimentel, Leandro P. R.
1 Pinter, Arpad
1 Quastel, Jeremy
1 Remenik, Daniel
1 Rosati, Tommaso Cornelis
...and 28 more Authors
all top 5

Cited in 46 Serials

12 The Annals of Applied Probability
7 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
5 Probability Theory and Related Fields
5 Stochastic Processes and their Applications
4 The Annals of Probability
4 SIAM Journal on Control and Optimization
4 Electronic Communications in Probability
4 Finance and Stochastics
3 Communications on Pure and Applied Mathematics
3 Journal of Statistical Physics
3 Stochastic Analysis and Applications
3 Journal of Theoretical Probability
3 Annals of Finance
2 Journal of Applied Probability
2 Mathematics of Operations Research
2 Statistics & Probability Letters
2 Queueing Systems
2 Electronic Journal of Probability
2 Annales Henri Poincaré
2 SIGMA. Symmetry, Integrability and Geometry: Methods and Applications
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 Journal of Mathematical Analysis and Applications
1 Advances in Mathematics
1 Calcolo
1 Publications Mathématiques
1 Transactions of the American Mathematical Society
1 Insurance Mathematics & Economics
1 Selecta Mathematica. New Series
1 Bulletin des Sciences Mathématiques
1 Applied Mathematical Finance
1 Bernoulli
1 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
1 International Journal of Theoretical and Applied Finance
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 SIAM Journal on Financial Mathematics
1 Probability Surveys
1 Science China. Mathematics
1 Forum of Mathematics, Pi
1 Forum of Mathematics, Sigma
1 Stochastic Systems
1 Stochastic and Partial Differential Equations. Analysis and Computations

Citations by Year

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