38 citations · 150 across the 39 of their papers we have counts for
3 papers · 1 filter
Mean field systems on networks, with singular interaction through hitting times
Sergey Nadtochiy, Mykhaylo Shkolnikov
Building on the line of work [DIRT15a], [DIRT15b], [NS17a], [DT17], [HLS18], [HS18] we continue the study of particle systems with singular interaction through hitting times. In co…
Construction of Forward Performance Processes in Stochastic Factor Models and an Extension of Widder's Theorem
Levon Avanesyan, Mykhaylo Shkolnikov, Ronnie Sircar
We consider the problem of optimal portfolio selection under forward investment performance criteria in an incomplete market. Given multiple traded assets, the prices of which depe…
Dynamics of observables in rank-based models and performance of functionally generated portfolios
Sergio A. Almada Monter, Mykhaylo Shkolnikov, Jiacheng Zhang
In the seminal work [9], several macroscopic market observables have been introduced, in an attempt to find characteristics capturing the diversity of a financial market. Despite t…