Research. Andrey Sarantsev

I am interested in Probability Theory and Stochastic Finance
My adviser is Professor Soumik Pal

I am interested in continuous probability, both theoretical and applied. More precisely, I am working in Stochastic Portfolio Theory, a newly developed framework for analyzing portfolio performance. To this end, I am studying competing Brownian particle systems and reflected Brownian motion.

What to read on this subject

Stochastic Portfolio Theory. An Overview. Robert Fernholz, Ioannis Karatzas
Topics in Multidimensional Diffusion Theory. Attainability, Reflection, Ergodicity and Rankings. Tomoyuki Ichiba
Semimartingale Reflected Brownian Motion in the Orthant. A Survey. Ruth Williams

Publications and Preprints

Publications on arXiv

My Undergraduate Research

Research at the Department of Mathematics, University of Washington

Pacific Institute for the Mathematical Sciences (PIMS)

Northwest Probability Seminar

This is an annual one-day conference in probability held in Seattle, each October.

Probability in Seattle

Microsoft Research Theory Group

This is a group of mathematicians, some of which do research in probability and are affiliated with the Department of Mathematics, University of Washington.

INTECH Investment Management

This is an investment company whose members do a lot of high-level research in Stochastic Portfolio Theory. My adviser collaborates with this group.