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Thursday, February 1, 2018 at 4:15pm
We consider a model of a banking system, with capitals of banks modeled as stochastic processes. New banks can emerge at random moments, and banks can also default at random times, with contagion effects on other banks. We study properties of such systems: existence and uniqueness, long-term stability, large systems limit.
Andrey Sarantsev is a visiting assistant professor in the statistics and applied probability department at the University of California, Santa Barbara.
Sarantsev is interested in probability theory, stochastic calculus, and stochastic finance. He is working with Jean-Pierre Fouque, a distinguished professor in UCSB’s department of statistics and applied probability.
In 2015, Sarantsev received his Ph.D. in mathematics from the University of Washington in Seattle, working his advisor Soumik Pal. He earned his M.S. in mathematics from Lomonosov Moscow State University in 2010.