ORFE Department
202 Sherrerd Hall, Princeton University
Princeton, NJ 08544
mykhaylo at princeton.edu
Currently, I am an Associate Professor in the ORFE Department, an Affiliated Faculty Member of the Bendheim Center for Finance and an Associated Faculty Member with the Program in Applied & Computational Math at Princeton University. Before joining ORFE I was an Assistant Professor in the Math Department at Princeton. Before coming to Princeton I was a Postdoctoral Fellow at UC Berkeley and MSRI mentored by David Aldous. My PhD is from the Math Department at Stanford University where my adviser was Amir Dembo.
At the moment, I am studying interacting particle systems arising in mathematical finance, mathematical physics, and neuroscience using tools from stochastic analysis and PDE/SPDE. More broadly, my interests include a variety of topics in probability theory and PDEs: random operators, integrable probability, models of random growth, concentration of measure, large deviations, and probabilistic approaches to PDEs.
My research is partially supported by the NSF grant DMS-2108680.
Here you can find current activities I am involved in, my PhD students, publications, collaborators, and CV.
Current activities:
- Associate Editor for Annals of Applied Probability
- Associate Editor for Mathematical Finance
- Associate Editor for Applied Mathematical Finance
- IMSI workshop: Laplacian Growth Models
- Carnegie Mellon Probability/Math Finance Seminar
PhD students:
Benjamin Budway (expected: 05/2027), Jou-Hua Lai (expected: 05/2026), Yucheng Guo (expected: 05/2026), Scander Mustapha (defended: 05/2024), Graeme Baker (defended: 06/2023), Jiacheng Zhang (defended: 05/2021), Levon Avanesyan (defended: 12/2020), Pierre Yves Gaudreau Lamarre (defended: 05/2020), Praveen Kolli (defended: 04/2018)
Publications:
- Shkolnikov, M. (2007). Affine matrix-valued diffusions. Diploma thesis. University of Munich.
- Shkolnikov, M. (2009). Competing particle systems evolving by i.i.d. increments. Electron. J. Probab. 14, 728-751.
- Shkolnikov, M. (2011). Competing particle systems evolving by interacting Lévy processes. Ann. Appl. Probab. 21, 1911-1932.
- Shkolnikov, M. (2012). Large systems of diffusions interacting through their ranks. Stoch. Proc. Appl. 122, 1730-1747.
- Pal, S., Shkolnikov, M. (2014). Concentration of measure for Brownian particle systems interacting through their ranks. Ann. Appl. Probab. 24, 1482-1508.
- Farinelli, S., Shkolnikov, M. (2012). Two models for stochastic loss given default. J. Credit Risk 8, paper 4.
- Shkolnikov, M. (2013). Large volatility-stabilized markets. Stoch. Proc. Appl. 123, 212-228.
- Ichiba, T., Pal, S., Shkolnikov, M. (2013). Convergence rates for rank-based models with applications to portfolio theory. Probab. Theory Related Fields 156, 415-448.
- Karatzas, I., Shiryaev, A. N., Shkolnikov, M. (2011). On the one-sided Tanaka equation with drift. Electron. Commun. Probab. 16, 664-677.
- Ichiba, T., Karatzas, I., Shkolnikov, M. (2013). Strong solutions to stochastic equations with rank-based coefficients. Probab. Theory Related Fields 156, 229-248.
- Shkolnikov, M. (2011). Competing particle systems and their applications. PhD thesis, Stanford University.
- Shkolnikov, M. (2013). Some universal estimates for reversible Markov chains. Electron. J. Probab. 18, article 11.
- Shkolnikov, M. (2012). On a non-linear transformation between Brownian martingales.
- Gorin, V., Shkolnikov, M. (2015). Limits of multilevel TASEP and related processes. Ann. Inst. Henri Poincaré Probab. Stat. 51, 18-27.
- Gerhold, S., Kleinert, M., Porkert, P., Shkolnikov, M. (2015). Small time central limit theorems for semimartingales with applications. Stochastics 87, 723-746.
- Karatzas, I., Pal, S., Shkolnikov, M. (2016). Systems of Brownian particles with asymmetric collisions. Ann. Inst. Henri Poincaré Probab. Stat. 52, 323-354.
- Aldous, D., Shkolnikov, M. (2013). Fluctuations of martingales and winning probabilities of game contestants. Electron. J. Probab. 18, article 47.
- Dembo, A., Shkolnikov, M., Varadhan, S.R.S., Zeitouni, O. (2012). Large deviations for diffusions interacting through their ranks. Comm. Pure Appl. Math. 69, 1259-1313.
- Racz, M.Z., Shkolnikov, M. (2015). Multidimensional sticky Brownian motions as limits of exclusion processes. Ann. Appl. Probab. 25, 1155-1188.
- Ichiba, T., Shkolnikov, M. (2013). Large deviations for interacting Bessel-like processes and applications to systemic risk.
- Pal, S., Shkolnikov, M. (2013). Intertwining diffusions and wave equations.
- Shkolnikov, M., Karatzas, I. (2013). Time-reversal of reflected Brownian motions in the orthant.
- Gorin, V., Shkolnikov, M. (2015). Multilevel Dyson Brownian motions via Jack polynomials. Probab. Theory Related Fields 163, 413-463.
- Gorin, V., Shkolnikov, M. (2017). Interacting particle systems at the edge of multilevel Dyson Brownian motions. Adv. Math. 304, 90-130.
- Shkolnikov, M., Sircar, R., Zariphopoulou, T. (2016). Asymptotic analysis of forward performance processes in incomplete markets and their ill-posed HJB equations. SIAM J. Financial Math. 7, 588-618.
- Shkolnikov, M. (2015). A construction of infinite Brownian particle systems.
- Gorin, V., Shkolnikov, M. (2018). Stochastic Airy semigroup through tridiagonal matrices. Ann. Probab. 46, 2287-2344.
- Kolli, P., Shkolnikov, M. (2018). SPDE limit of the global fluctuations in rank-based models. Ann. Probab. 46, 1042-1069.
- Ramanan, K., Shkolnikov, M. (2018). Intertwinings of beta-Dyson Brownian motions of different dimensions. Ann. Inst. Henri Poincaré Probab. Stat. 54, 1152-1163.
- Nadtochiy, S., Shkolnikov, M. (2019). Particle systems with singular interaction through hitting times: application in systemic risk modeling. Ann. Appl. Probab. 29, 89-129.
- Gaudreau Lamarre, P. Y., Shkolnikov, M. (2019). Edge of spiked beta ensembles, stochastic Airy semigroups and reflected Brownian motions. Ann. Inst. Henri Poincaré Probab. Stat. 55, 1402-1438.
- Almada Monter, S. A., Shkolnikov, M., Zhang, J. (2019). Dynamics of observables in rank-based models and performance of functionally generated portfolios. Ann. Appl. Probab. 29, 2849-2883.
- Avanesyan, L., Shkolnikov, M., Sircar, R. (2020). Construction of forward performance processes in stochastic factor models and an extension of Widder’s theorem. Finance Stoch. 24, 981-1011.
- Nadtochiy, S., Shkolnikov, M. (2020). Mean field systems on networks, with singular interaction through hitting times. Ann. Probab. 48, 1520-1556.
- Delarue, F., Nadtochiy, S., Shkolnikov, M. (2022). Global solutions to the supercooled Stefan problem with blow-ups: regularity and uniqueness. Probab. Math. Phys. 3, 171-213.
- Lacker, D., Shkolnikov, M., Zhang, J. (2020). Inverting the Markovian projection, with an application to local stochastic volatility models. Ann. Probab. 48, 2189-2211.
- Baker, G., Shkolnikov, M. (2022). Zero kinetic undercooling limit in the supercooled Stefan problem. Ann. Inst. Henri Poincaré Probab. Stat. 58, 861-871.
- Lacker, D., Shkolnikov, M., Zhang, J. (2023). Superposition and mimicking theorems for conditional McKean-Vlasov equations. J. Eur. Math. Soc. 25, 3229-3288.
- Kaushansky, V., Reisinger, C., Shkolnikov, M., Song, Z. Q. (2023). Convergence of a time-stepping scheme to the free boundary in the supercooled Stefan problem. Ann. Appl. Probab. 33, 274-298.
- Nadtochiy, S., Shkolnikov, M., Zhang, X. (2024). Scaling limits of external multi-particle DLA on the plane and the supercooled Stefan problem. Ann. Inst. Henri Poincaré Probab. Stat. 60, 658-691.
- Baker, G., Shkolnikov, M. (2022). A singular two-phase Stefan problem and particles interacting through their hitting times. To appear in Ann. Appl. Probab.
- Nadtochiy, S., Shkolnikov, M. (2023). Stefan problem with surface tension: global existence of physical solutions under radial symmetry. Probab. Theory Related Fields 187, 385-422.
- Mustapha, S., Shkolnikov, M. (2023). Well-posedness of the supercooled Stefan problem with oscillatory initial conditions. Submitted.
- Guo, Y., Nadtochiy, S., Shkolnikov, M. (2023). Stefan problem with surface tension: uniqueness of physical solutions under radial symmetry. Submitted.
- Shkolnikov, M., Soner, H. M., Tissot-Daguette, V. (2023). Deep level-set method for Stefan problems. J. Comput. Phys. 503.
- Budway, B., Shkolnikov, M. (2024). Multilevel Dyson Brownian motions via the superposition principle. Submitted.
- Shkolnikov, M., Yeung, L. C. (2024). From rank-based models with common noise to pathwise entropy solutions of SPDEs. Submitted.
Collaborators:
- David Aldous
- Sergio A. Almada Monter
- Levon Avanesyan
- Graeme Baker
- Benjamin Budway
- Francois Delarue
- Amir Dembo
- Simone Farinelli
- Pierre Yves Gaudreau Lamarre
- Stefan Gerhold
- Vadim Gorin
- Yucheng Guo
- Tomoyuki Ichiba
- Ioannis Karatzas
- Daniel Lacker
- Scander Mustapha
- Sergey Nadtochiy
- Soumik Pal
- Piet Porkert
- Miklos Z. Racz
- Kavita Ramanan
- Christoph Reisinger
- Albert N. Shiryaev
- Ronnie Sircar
- H. Mete Soner
- Valentin Tissot-Daguette
- S.R.Srinivasa Varadhan
- Lane Chun Yeung
- Thaleia Zariphopoulou
- Ofer Zeitouni
- Jiacheng Zhang
- Xiling Zhang