Sergey Nadtochiy, Ph.D.
Associate Professor of Applied Mathematics
Phone:
312.567.3132
Email:
Office:
Rettaliata Engineering Center, Room 234B
Office Hours:
Tuesdays 3:30 - 4:30 PM
Thursdays 10:00 AM - 11:15 AM
Website:
Education
Ph.D. - Princeton University
B.S. - Moscow State University
Expertise
Financial Mathematics, Probability Theory, Partial Differential Equations, Stochastic Control and Game Theory.
Publications
- Global Solution to Super-cooled Stefan Problem with Blow-ups: Regularity and Uniqueness (with F. Delarue, S. Nadtochiy and M. Shkolnikov). Submitted, 2019. arXiv:1902.05174
- Mean Field Systems on Networks, with Singular Interaction through Hitting Times (with M. Shkolnikov). Submitted, 2018. arXiv:1807.02015
- Optimal Contract for a Fund Manager, with Capital Injections and Endogenous Trading Constraints (with T. Zariphopoulou). To appear in SIAM Journal on Financial Mathematics, 2019.
- Control-Stopping Games for Market Microstructure and Beyond (with R. Gayduk). To appear in Mathematics of Operations Research, 2019.
- Particle Systems with Singular Interaction through Hitting Times: Application in Systemic Risk Modeling (with M. Shkolnikov). Annals of Applied Probability, 29(1):89–129, 2019.
- Endogenous Formation of Limit Order Books: Dynamics Between Trades (with R. Gayduk). SIAM Journal on Control and Optimization, 56(3), 1577-1619, 2018.
- Liquidity Effects of Trading Frequency (with R. Gayduk). Mathematical Finance, 28(3), 839-876, 2018.