Dear All,

You are cordially invited to attend the NYU FRE Lecture Series on Thursday, October 10th in the Dibner Auditorium
(5 MetroTech Center – 1st Floor) at 6 p.m.

Dr. Mykhaylo Shkolnikov will present a talk on the following topic:

Title:

From Systemic Risk to Supercooling and Back

Abstract:

I will explain how structural models of default cascades in the systemic risk literature naturally lead to the supercooled Stefan problem of mathematical physics. On the one hand, this connection allows us to uncover a notion of global solutions to the supercooled Stefan problem, which we analyze in detail. On the other hand, the supercooled Stefan problem formulation allows to provide a truly intrinsic definition of systemic crises and to characterize the fragile states of the economy. Time permitting, I will also explain the network and game extensions of the problem. Based on a series of works with Francois Delarue and Sergey Nadtochiy.

Bio:

Mykhaylo (Misha) Shkolnikov is currently an assistant professor in the Department of Operations Research and Financial Engineering, an affiliated faculty member with the Bendheim Center for Finance, and an associated faculty member with the Program in Applied & Computational Mathematics (PACM) at Princeton University. Prior to that, he was an assistant professor in the Department of Mathematics at Princeton and a postdoctoral fellow at the University of California, Berkeley and MSRI. He earned his PhD in mathematics at Stanford University. Shkolnikov is the recipient of the 2018 Erlang Prize from the Applied Probability Society of INFORMS and of the 2019 Early Career Prize from the SIAM Activity Group on Financial Mathematics and Engineering. His research focuses on stochastic portfolio theory (and, more generally, optimal investment), interacting particle systems, random matrix theory, as well as probabilistic approaches to partial differential equations.

We look forward to having you join us for the talk and refreshments. Please mark your calendars.