Research Interests
Probability Theory, Stochastic Calculus, and Stochastic Finance
- Random particle systems interacting through ranks
- Long-term stability of stochastic processes
- Concentration of measure for stochastic equations
- Systemic risk and financial contagion
- Risk theory and ruin probability
- Stochastic portfolio theory
- Time series modeling of forest biomass
- Financial econometrics and retirement planning
Employment
University of Nevada, Reno
Department of Mathematics and Statistics
Assistant Professor (tenure-track), 2018--
University of California, Santa Barbara
Department of Statistics and Applied Probability
Visiting Assistant Professor, 2015--2018
Mentor: Jean-Pierre Fouque
Partially supported by his NSF grant DMS 1409434
Education
University of Washington, Seattle
Ph.D. in Mathematics, 2010--2015
Adviser: Soumik Pal
Thesis: Competing Brownian Particles
Unofficial Transcript
Lomonosov Moscow State University, Moscow, Russia
Specialist (MSc equivalent) degree with Honors in Mathematics, 2005--2010
Undergraduate Mentor: Professor Vladimir Ilyich Piterbarg
After the second year, I chose
Division of Probability Theory.
I took a lot of courses in Probability Theory and Stochastic Processes.
Undergraduate Thesis (revised edition):
Undergraduate Thesis
Unofficial Transcript: (english)
(russian)
57th mathematics high school
Top math high school in Moscow, Russia, 2001--2005
Research Advising
University of Nevada, Reno
Ph.D. students (current): Abraham Atsiwo, Jihyun Park (Statistics and Data Science), Hayden Brown (Applied Mathematics)
M.S. students (former): Kwame Boamah-Addo (Statistics and Data Science), Hayden Brown (Applied Mathematics)
Undergraduate students: 10 former students
Teaching Experience
University of Nevada, Reno
2018--now
Assistant Professor
University of California, Santa Barbara
2015--2018
Visiting Assistant Professor
- Probability I
- Applied Stochastic Processes I, Discrete-time
- Applied Stochastic Processes II, Continuous-time
University of Washington, Seattle
2010--2015
Ph.D. Student
- 2012--2015 Instructor (with full responsibility for courses):
- Multivariable Calculus (Calculus III)
- Vector Calculus (Calculus IV)
- Differential Equations
- Matrix Algebra
- Linear Analysis (PDE, systems of ODE)
- Probability I
- 2011, 2013 Teaching Assistant: REU Program in Inverse Problems
- 2011--2012 Homework Grader: Real Analysis (graduate level)
- 2010--2012 Quiz Sections Instructor: Multivariable Calculus (Calculus III)
Undergraduate Student, Lomonosov Moscow State University
- 2008 Grader, Cities' Tournament (a high school math olympiad)
- 2008 Organizer of a summer conference for winners of Cities' Tournament
Research Talks
- 2023 Society for Industrial and Applied Mathematics Conference in Financial Mathematics, Philadelphia
- 2022 University of Texas, Dallas; University of Utah
- 2021 UNR Statistics Seminar (online); UNR Departmental Colloquium (online);
Frontier Probability Days (University of Nevada Las Vegas)
- 2020 Joint Mathematics Meeting, Denver; University of Montana; UNR Matrix Theory Seminar (online);
European Seminar in Computing, University of West Bohemia (online); University of Mississippi (online);
Washington State University (online); Computational and Methodological Statistics, King's College London (online)
- 2019 American Statistical Association Nevada Sectional Meeting (University of Nevada Reno);
Institute for Operations Research and Management Sciences (INFORMS) Annual Meeting, Seattle (2 talks)
- 2018 Joint Mathematics Meeting, San Diego; Florida State University; Cornell University; Carnegie Mellon University;
California State University, Los Angeles; University of Nevada Reno; Frontier Probability Days, Oregon State University;
University of Minnesota; University of California, Santa Barbara (UCSB);
American Mathematical Society (AMS) Western (San Francisco State University) and Eastern
(University of Delaware) Fall Sectional Meetings; University of Washington
- 2017 AMS Western (UC Riverside), Southeastern (University of Central Florida),
Central (University of North Texas) Fall Sectional Meetings; INFORMS Annual Meeting, Houston;
Center for Financial Mathematics and Actuarial Research (UCSB) 10th anniversary conference;
University of Utah; Boston University; 9th Western Conference in Mathematical Finance, University of Washington;
Seminar on Stochastic Processes, University of Virginia; University of Maryland, College Park; University of Delaware;
AMS Central Spring Sectional Meeting (University of Indiana Bloomington); University of Washington
- 2016 SIAM Conference in Financial Mathematics, Austin; Michigan State University;
Carnegie Mellon University; Oregon State University; University of Washington;
University of Illinois, Chicago; Princeton University; Columbia University; City University of New York
- 2015 Southern California Probability Symposium (UC Irvine); University of Southern California; UCSB
- 2014 Columbia University; Seminar on Stochastic Processes, UC San Diego; UCSB
Service Duties
- Accessibility for visually impaired students
- Department research library: created it from scratch
- Graduate-level comprehensive and qualifying exams in Statistics and Probability: write, grade, proctor
- Statistics and Data Science graduate committee
- Graduate committee member of several graduate students
- Recommendation letters for graduate and job applications
- Python workshops for students
- Refereeing research manuscripts
Fellowships and Awards
- 2010 Academic Excellence Award and McKibben & Merner Fellowship (2-year)
for passing Preliminary (Qualifying) Exams at the beginning of the first year of the PhD program
- 2005--2010 Academic Excellence Fellowship, Lomonosov Moscow State University (awarded 7 times)
- 2002, 2005 Honorable Mention, Moscow Mathematical Olympiad
Languages and Computer Skills
Languages: English (fluent), Russian (native)
Coding: C, Python, R, SQL
Editors: LaTeX, HTML
Personal Information
Date of Birth: October 9, 1989
Place of Birth: Moscow, Russia
Citizenship: Russian