Research. Andrey Sarantsev

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I am interested in Probability Theory, Stochastic Calculus, and Stochastic Finance
My mentor in UCSB is Jean-Pierre Fouque
He partially supports me by his NSF grant DMS 1409434

My Ph.D. thesis: Competing Brownian Particles

Coauthors:   Cameron Bruggeman   Manuel Cabezas   Amir Dembo   Jean-Pierre Fouque   Pierre-Olivier Goffard   Ruimeng Hu   Tomoyuki Ichiba   Davar Khoshnevisan   Michael Ludkovski   Ioannis Karatzas   Aditya Maheshwari   Soumik Pal   Vladas Sidoravicius   Li-Cheng Tsai

Research Statement in Probability Theory     Research Statement in Mathematical Finance

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My Undergraduate Research   Studying Archive: Undergrad and Grad

 

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