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- Finite and infinite competing Brownian and Levy particle systems interacting through ranks
- Reflected diffusions and jump-diffusions on the half-line and in many dimensions
- Concentration of measure for stochastic ordinary and partial differential equations
- Systemic risk and financial contagion in banking systems
- Optimal control in stochastic volatility models
- Risk theory and ruin probability
- Stochastic portfolio theory

Department of Statistics and Applied Probability

Visiting Assistant Professor, 2015-2018 (expected)

Partially supported by his NSF grant DMS 1409434

Ph.D. in Mathematics, 2010 - 2015

Specialist (MSc equivalent) degree with Honors in Mathematics, 2005 - 2010

Top math high school in Moscow, Russia, 2001 - 2005

- Optimal Consumption and Investment in Stochastic Environment.

With Jean-Pierre Fouque and Ruimeng Hu.

- A Mean-Field Model of Financial Contagion and Systemic Risk in a Banking System.

With Tomoyuki Ichiba and Michael Ludkovski.

- Talagrand Concentration Inequalities for Reflected Diffusions.

With Soumik Pal.

- Multiple Collisions in Systems of Competing Brownian Particles (2018).

With Cameron Bruggeman.*Bernoulli***24**(1), 156-201.

Available at arXiv:1309.2621 [PDF]

- Exponential Convergence Rate of Ruin Probabilities for Level-Dependent Levy-Driven Risk Processes (2017).

With Pierre-Olivier Goffard. Available at arXiv:1710.01845 [PDF]

- Talagrand Concentration Inequalities for Stochastic Partial Differential Equations (2017).

With Davar Khoshnevisan. Available at arXiv:1709.07098 [PDF]

- Brownian Particles with Rank-Dependent Drifts: Out-of-Equilibrium Behavior (2017).

With Manuel Cabezas, Amir Dembo, and Vladas Sidoravicius.

Available at arXiv:1708.01918 [PDF]

- A Model of Interbank Flows, Borrowing, and Investing (2017).

With Aditya Maheshwari. Available at arXiv:1707.03542 [PDF]

- Stationary Distributions and Convergence for Walsh Diffusions (2017).

With Tomoyuki Ichiba. Available at arXiv:1706.07127 [PDF]

- Stable Systems of Competing Levy Particles (2017).

With Clayton Barnes. Available at arXiv:1610.04323 [PDF]

- Laguerre and Jacobi Analogues of the Warren Process (2017).

**Appendix**for the paper by Yi Sun. Available at arXiv:1610.01635 [PDF]

- Yet Another Condition for Absence of Collisions for Competing Brownian Particles (2017).

With Tomoyuki Ichiba.*Electronic Communications in Probability***22**(8), 1-7.

Available at arXiv:1608.07220 [PDF]

- Stationary Gap Distributions for Infinite Systems of Competing Brownian Particles (2017).

With Li-Cheng Tsai.*Electronic Journal of Probability***22**(56), 1-20.

Available at arXiv:1608.00628 [PDF]

- Weak Convergence of Obliquely Reflected Diffusions (2017).

To appear in*Annals of Institute Henri Poincare Probability and Statistics.*

Available at arXiv:1509.01778 [PDF]

- Reflected Brownian Motion in a Convex Polyhedral Cone: Tail Estimates for the Stationary Distribution (2017).

*Journal of Theoretical Probability***30**(3), 1200-1223. Available at arXiv:1509.01781 [PDF]

- Two-Sided Infinite Systems of Competing Brownian Particles (2017).

To appear in*European Series in Applied and Industrial Mathematics (ESAIM) Probability & Statistics.*

Available at arXiv:1509.01859 [PDF]

- Infinite Systems of Competing Brownian Particles (2016).

To appear in*Annals of Institute Henri Poincare Probability and Statistics.*

Available at arXiv:1403.4229 [PDF]

- Explicit Rates of Exponential Convergence for Reflected Jump-Diffusions on the Half-Line (2016).

*ALEA Latin American Journal of Probability and Mathematical Statistics***13**(2), 1069-1093.

Available at arXiv:1509.01783 [PDF]

- Penalty Method for Reflected Diffusions on the Half-Line (2016).

With Cameron Bruggeman.*Stochastics***89**(2), 485-509.

Available at arXiv:1509.01776 [PDF]

- Diverse Market Models of Competing Brownian Particles with Splits and Mergers (2016).

With Ioannis Karatzas.*Annals of Applied Probability***26**(3), 1329-1361.

Available at arXiv:1404.0748 [PDF]

- Comparison Techniques for Competing Brownian Particles (2016).

To appear in*Journal of Theoretical Probability.*

Available at arXiv:1305.1653 [PDF]

- Penalty Method for Obliquely Reflected Diffusions (2016).

Available at arXiv:1509.01777 [PDF]

- Triple and Simultaneous Collisions of Competing Brownian Particles (2015).

*Electronic Journal of Probability***20**(29), 1-28.

Available at arXiv:1401.6255 [PDF]

- On a Class of Diverse Market Models (2014).

*Annals of Finance***10**(2), 291-314. Available at arXiv:1301.5941 [PDF]

- January 2018 Joint Mathematics Meeting (TBD)
[Conference Web Page]

- November 2017 American Mathematical Society Western Fall Sectional Meeting (TBD)
[Conference Web Page]

- November 2017 16th Northeast Probability Seminar (TBD)
[Conference Web Page]

- October 2017 INFORMS Annual Meeting (TBD)
[Conference Web Page]

- October 2017
Probability Seminar. University of Washington, Seattle

- September 2017
American Mathematical Society Southeastern Fall Sectional Meeting
[Conference Web Page]

- September 2017
American Mathematical Society Central Fall Sectional Meeting
[Conference Web Page]

- May 2017
Center for Financial Mathematics and Actuarial Research 10th Anniversary Conference
[Conference Web Page]

- May 2017
Probability Seminar. University of Utah

- March 2017 American Mathematical Society Central Spring Sectional Meeting.
Talks at 3 special sessions. [Conference Web Page]

- March 2017
Probability Seminar. University of Washington, Seattle

- March 2017
Western Conference in Mathematical Finance
[Conference Web Page]

- March 2017
Probability Seminar. University of Maryland, College Park

- March 2017
Seminar on Stochastic Processes [Conference Web Page]

- March 2017
Probability Seminar. University of Delaware

- January 2017
Probability and Statistics Seminar. Boston University

- November 2016
SIAM Conference on Financial Mathematics [
Conference Web Page]

- November 2016
Probability and Statistics Colloqium. Michigan State University

- October 2016 Probability Seminar. Carnegie Mellon University (blackboard talk)

- October 2016
Probability Seminar. Oregon State University

- October 2016
Probability Seminar. University of Washington, Seattle

- September 2016
Probability Seminar. Columbia University

- September 2016
Financial Mathematics Seminar. Princeton University

- September 2016
Probability Seminar. City University of New York

- September 2016
Statistics Seminar. University of Illinois, Chicago

- April 2016
Probability Seminar. University of Washington, Seattle

- December 2015 Southern California
Probability Symposium [Conference Web Page]

- November 2015
14th Northeast Probability Seminar
[
Conference Web Page]

- October 2015 Probability Seminar.
University of California, Santa Barbara

- September 2015
Financial Mathematics Seminar. University of Southern California

- May 2015
Stochastic Portfolio Theory Conference [
Conference Web Page]

- May 2015
Mathematical Finance and PDE Conference
[Conference Web Page]

- April 2015
Ph.D. Thesis Defense. University of Washington, Seattle

- November 2014
13th Northeast Probability Seminar

- October 2014
Probability Seminar. Columbia University

- July 2014 Cornell University Summer School (blackboard talk).

- March 2014 Financial Mathematics Seminar. University of California, Santa Barbara

2015--2018

- 2017--2018:
**Mentor:**Supervising undergraduate research in Probability

- 2015--2017:
**Instructor**

- Probability I
- Stochastic Processes I (Discrete-Time)
- Stochastic Processes II (Continuous-Time)

2010--2015

- 2012--2015
**Instructor**(with full responsibility for courses):

- Multivariable Calculus (Calculus III)
- Vector Calculus (Calculus IV)
- Differential Equations
- Matrix Algebra
- Linear Analysis (PDE, systems of ODE)
- Probability I

- 2011, 2013
**Teaching Assistant:**REU Program in Inverse Problems

- 2011--2012
**Homework Grader:**Real Analysis (graduate level)

- 2010--2012
**Quiz Sections Instructor:**Multivariable Calculus (Calculus III)

- 2008 Grader, Cities' Tournament (a high school math olympiad)

- 2008 Organizer of a summer conference for winners of Cities' Tournament

- 2010 Academic Excellence Award for passing Preliminary (Qualifying) Exams

at the beginning of the first year of the PhD program

- 2010 McKibben & Merner Fellowship (2-year) for passing Preliminary (Qualifying) Exams

at the beginning of the first year of the PhD program

- 2010 Top Report Award on the 17th Conference "Lomonosov-2010"

- 2005 - 2010 Academic Excellence Fellowship, Lomonosov Moscow State University

(awarded 7 times)

- 2002, 2005 Honorable Mention, Moscow Mathematical Olympiad

Raya Feldman University of California, Santa Barbara feldman[_a_t_]pstat.ucsb.edu

Jean-Pierre Fouque University of California, Santa Barbara jpfouque45[_a_t_]gmail.com

Tomoyuki Ichiba University of California, Santa Barbara tomoyuki.ichiba[_a_t]gmail.com

Ioannis Karatzas Columbia University ik[_a_t_]math.columbia.edu

Soumik Pal University of Washington, Seattle soumikpal[_a_t_]gmail.com