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Sergey Nadtochiy

Sergey Nadtochiy, Ph.D.

Associate Professor of Applied Mathematics




Rettaliata Engineering Center, Room 234B

Office Hours: 

Tuesdays 3:30 - 4:30 PM
Thursdays 10:00 AM - 11:15 AM


Ph.D. - Princeton University
B.S. - Moscow State University


Financial Mathematics, Probability Theory, Partial Differential Equations, Stochastic Control and Game Theory.


  • 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.