38 citations · 150 across the 39 of their papers we have counts for
Showing 2017 · math.PRShow all
2 papers · 2 filters
math.PR2017
Edge of spiked beta ensembles, stochastic Airy semigroups and reflected Brownian motions
Pierre Yves Gaudreau Lamarre, Mykhaylo Shkolnikov
We access the edge of Gaussian beta ensembles with one spike by analyzing high powers of the associated tridiagonal matrix models. In the classical cases beta=1, 2, 4, this corresp…
math.PR2017
Particle systems with singular interaction through hitting times: application in systemic risk modeling
Sergey Nadtochiy, Mykhaylo Shkolnikov
We propose an interacting particle system to model the evolution of a system of banks with mutual exposures. In this model, a bank defaults when its normalized asset value hits a l…