Curriculum Vitae. Andrey Sarantsev

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Research Interests

Probability Theory, Stochastic Calculus, and Stochastic Finance
Employment

University of California, Santa Barbara
Department of Statistics and Applied Probability
Visiting Assistant Professor, 2015-2018 (expected)
Mentor: Jean-Pierre Fouque
Partially supported by his NSF grant DMS 1409434


Education

University of Washington, Seattle
Ph.D. in Mathematics, 2010 - 2015
Adviser: Soumik Pal
Thesis: Competing Brownian Particles

Lomonosov Moscow State University, Moscow, Russia
Specialist (MSc equivalent) degree with Honors in Mathematics, 2005 - 2010
Undergraduate Mentor: Vladimir Piterbarg

57th mathematics high school
Top math high school in Moscow, Russia, 2001 - 2005

Work in Progress

  1. Optimal Consumption and Investment in Stochastic Environment.
    With Jean-Pierre Fouque and Ruimeng Hu.

  2. A Mean-Field Model of Financial Contagion and Systemic Risk in a Banking System.
    With Tomoyuki Ichiba and Michael Ludkovski.

  3. Talagrand Concentration Inequalities for Reflected Diffusions.
    With Soumik Pal.


Publications and Preprints

  1. Multiple Collisions in Systems of Competing Brownian Particles (2018).
    With Cameron Bruggeman. Bernoulli 24 (1), 156-201.
    Available at arXiv:1309.2621   [PDF]

  2. Exponential Convergence Rate of Ruin Probabilities for Level-Dependent Levy-Driven Risk Processes (2017).
    With Pierre-Olivier Goffard. Available at arXiv:1710.01845   [PDF]

  3. Talagrand Concentration Inequalities for Stochastic Partial Differential Equations (2017).
    With Davar Khoshnevisan. Available at arXiv:1709.07098   [PDF]

  4. 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]

  5. A Model of Interbank Flows, Borrowing, and Investing (2017).
    With Aditya Maheshwari. Available at arXiv:1707.03542   [PDF]

  6. Stationary Distributions and Convergence for Walsh Diffusions (2017).
    With Tomoyuki Ichiba. Available at arXiv:1706.07127   [PDF]

  7. Stable Systems of Competing Levy Particles (2017).
    With Clayton Barnes. Available at arXiv:1610.04323   [PDF]

  8. Laguerre and Jacobi Analogues of the Warren Process (2017).
    Appendix for the paper by Yi Sun. Available at arXiv:1610.01635   [PDF]

  9. 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]

  10. 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]

  11. Weak Convergence of Obliquely Reflected Diffusions (2017).
    To appear in Annals of Institute Henri Poincare Probability and Statistics.
    Available at arXiv:1509.01778   [PDF]

  12. 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]

  13. 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]

  14. Infinite Systems of Competing Brownian Particles (2016).
    To appear in Annals of Institute Henri Poincare Probability and Statistics.
    Available at arXiv:1403.4229   [PDF]

  15. 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]

  16. Penalty Method for Reflected Diffusions on the Half-Line (2016).
    With Cameron Bruggeman. Stochastics 89 (2), 485-509.
    Available at arXiv:1509.01776   [PDF]

  17. 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]

  18. Comparison Techniques for Competing Brownian Particles (2016).
    To appear in Journal of Theoretical Probability.
    Available at arXiv:1305.1653   [PDF]

  19. Penalty Method for Obliquely Reflected Diffusions (2016).
    Available at arXiv:1509.01777   [PDF]

  20. Triple and Simultaneous Collisions of Competing Brownian Particles (2015).
    Electronic Journal of Probability 20 (29), 1-28.
    Available at arXiv:1401.6255   [PDF]

  21. On a Class of Diverse Market Models (2014).
    Annals of Finance 10 (2), 291-314. Available at arXiv:1301.5941   [PDF]

Research Talks
Teaching Experience

University of California, Santa Barbara

2015--2018   Visiting Assistant Professor
University of Washington, Seattle

2010--2015   Ph.D. Student
Undergraduate Teaching Experience, Moscow, Russia


Fellowships and Awards
  • 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


Languages and Computer Skills

Languages: English (fluent), Russian (native)

Programming Languages: C, Python

Editors: LaTeX, HTML

Math software: MATLAB, Sage, R

Personal Information

Date of Birth: October 9, 1989

Place of Birth: Moscow, Russia

Citizenship: Russian

References

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