Publications and Preprints. Andrey Sarantsev
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Submitted Manuscripts

  1. Modeling Stock Returns and Volatility Using Bivariate Gamma Generalized Laplace Law.
    With Tomasz Kozubowski and James Spiker. Available at arXiv:2602.15296

  2. GPS constellation search for exotic physics messengers coincident with the binary neutron star merger GW170817.
    With Geoffrey Blewitt and Andrei Derevianko and Arko Sen and Paul Ries. Available at arXiv:2602.15296

  3. Valuation Measure of the Stock Market using Stochastic Volatility and Stock Earnings.
    With Angel Piotrowski and Ian Anderson. Available at arXiv:2508.06010

  4. Zero-Coupon Treasury Yield Curve with VIX as Stochastic Volatility.
    With Jihyun Park. Available at arXiv:2411.03699

  5. Log Heston Model for Monthly Average VIX.
    With Jihyun Park. Available at arXiv:2410.22471

  6. Capital Asset Pricing Model with Size Factor and Normalizing by Volatility Index.
    With Abraham Atsiwo. Available at arXiv:2411.19444  

  7. Random Stability of Random Variables.
    Available at arXiv:2603.28093

  8. A Simple Bivariate Example for Fast Convergence Rates of Maximum Likelihood Estimates.
    Available at arXiv:2605.00198

  9. The VIX as Stochastic Volatility for Corporate Bonds.

Published and Accepted Articles

  1. Tutorial on Running Median Subtraction Filter with Application to Searches for Exotic Field Transients in Multi-Messenger Astronomy (2025).
    With Geoffrey Blewitt and Andrei Derevianko and Arko Sen.
    AIP Advances 15 055205   Available at arXiv:2410.03773

  2. A New Stock Market Valuation Measure with Applications to Equity-Linked Annuities (2025).
    Statistics and Risk Modeling 42 (1-2), 1-18.   Available at arXiv:1905.04603

  3. The Variance-Gamma Distribution: A Review (2025).
    With Adrian Fischer and Robert E. Gaunt.   Statistical Science 40 (2), 235--258.   Available at arXiv:2303.05615  

  4. Boundary Approximation for Sticky Jump-Reflected Processes on the Half-Line (2024).
    With Andrey Pilipenko. Electronic Journal of Probability 29 1-21.
    Available at arXiv:2303.02771  

  5. Modified Method of Moments for Generalized Laplace Distributions (2024).
    With Adrian Fischer and Robert E. Gaunt. Communications in Statistics - Simulation and Computation 1--18.
    Available at arXiv:2203.10775  

  6. IID Time Series Testing (2023).
    Theory of Stochastic Processes 27 (43), 41-52.
    Available at arXiv:2203.10405

  7. Birth and Death Processes in Interactive Random Environments (2022).
    With Guodong Pang and Yuri Suhov.   Queueing Systems 102 (1-2), 269-307.
    Available at arXiv:2203.10411

  8. Transient Behaviors of Single-Server Queues with Diffusive Rates (2022).
    With Guodong Pang and Yuri Suhov.   Queueing Systems 100 (3-4), 333-335.

  9. Penalty Method for Obliquely Reflected Diffusions (2021).
    Lithuanian Journal of Mathematics 61 (4), 518-549.
    Available at arXiv:1509.01777

  10. Optimal Portfolio for Power Utility in Absolute and Relative Wealth (2021).
    Statistics and Probability Letters 179 109225.
    Available at arXiv:2105.08139

  11. A Stock Market Model Based on CAPM and Market Size (2021).
    With Brandon Flores and Blessing Ofori-Atta. Annals of Finance 17 (3), 405-424.
    Available at arXiv:1907.08911

  12. Sub-exponential Rate of Convergence to Equilibrium for Processes on the Half-line (2021).
    13. Statistics and Probability Letters 175 109115
    Available at arXiv:2003.10614

  13. Time Series Analysis of Forest Dynamics at the Ecoregion Level (2020).
    With Olga Rumyantseva and Nikolay Strigul. MDPI Forecasting 2 (3), 364-386.

  14. A Note on Jump Atlas Models (2020).
    With Clayton Barnes. Brazilian Journal of Probability and Statistics 34 (4), 844-857.
    Available at arXiv:1610.04323

  15. Convergence Rate to Equilibrium in Wasserstein Distance for Reflected Jump–Diffusions (2020).
    Statistics and Probability Letters 165 108860.
    Available at arXiv:2003.10590

  16. Stationary Distributions and Convergence for M/M/1 Queues in Interactive Random Environment (2020).
    With Yana Belopolskaya and Guodong Pang and Yurii Suhov.
    Queueing Systems 94 (3-4), 357-392. Available at arXiv:1902.03941

  17. Autoregression Modeling of Forest Dynamics (2019).
    With Olga Rumyantseva and Nikolay Strigul. MDPI Forests 10 (12). Available at arXiv:1911.09182

  18. Exponential Convergence Rate of Ruin Probabilities for Level-Dependent Levy-Driven Risk Processes (2019).
    With Pierre-Olivier Goffard. Journal of Applied Probability 56 (4), 1244-1268.
    Available at arXiv:1710.01845

  19. Dynamic Contagion in a Banking System with Births and Defaults (2019).
    With Tomoyuki Ichiba and Michael Ludkovski.
    Annals of Finance 15 (4), 489-538. Available at arXiv:1807.09897

  20. Stationary Distributions and Convergence for Walsh Diffusions (2019).
    With Tomoyuki Ichiba. Bernoulli 25 (4A), 2439-2478. Available at arXiv:1706.07127

  21. Talagrand Concentration Inequalities for Stochastic Partial Differential Equations (2019).
    With Davar Khoshnevisan. Stochastic Partial Differential Equations: Analysis and Computations. 7 (4), 679-698.
    Available at arXiv:1709.07098

  22. Comparison Techniques for Competing Brownian Particles (2019).
    Journal of Theoretical Probability 32 (2), 545-585.
    Available at arXiv:1305.1653

  23. Brownian Particles with Rank-Dependent Drifts: Out-of-Equilibrium Behavior (2019).
    With Manuel Cabezas and Amir Dembo and Vladas Sidoravicius.
    Communications in Pure and Applied Mathematics 72 (7), 1424-1458.
    Available at arXiv:1708.01918  

  24. Large Rank-Based Models with Common Noise (2019).
    With Praveen Kolli. Statistics and Probability Letters 151, 29-35.
    Available at arXiv:1802.06202

  25. A Note on Transportation Cost Inequalities for Diffusions with Reflections (2019).
    With Soumik Pal. Electronic Communications in Probability 24 (21), 1-11.
    Available at arXiv:1808.02164

  26. Modeling Systemic Risk with Interbank Flows, Borrowing, and Investing (2018).
    With Aditya Maheshwari. Risks 6 (4), 1-26. Special Issue: Systemic Risk in Finance and Insurance.
    Available at arXiv:1707.03542

  27. Weak Convergence of Obliquely Reflected Diffusions (2018).
    Annals of Institute Henri Poincare Probability and Statistics 54 (3), 1408-1431. Available at arXiv:1509.01778

  28. Multiple Collisions in Systems of Competing Brownian Particles (2018).
    With Cameron Bruggeman. Bernoulli 24 (1), 156-201. Available at arXiv:1309.2621

  29. Infinite Systems of Competing Brownian Particles (2017).
    Annals of Institute Henri Poincare Probability and Statistics 53 (4), 2279-2315. Available at arXiv:1403.4229

  30. Yet Another Condition for Absence of Collisions for Competing Brownian Particles (2017).
    With Tomoyuki Ichiba. Electronic Communications in Probability 22 (8), 1-7.
    Available at arXiv:1608.07220

  31. Stationary Gap Distributions for Infinite Systems of Competing Brownian Particles (2017).
    With Li-Cheng Tsai. Electronic Journal of Probability 22 (56), 1-20.
    Available at arXiv:1608.00628

  32. Reflected Brownian Motion in a Convex Polyhedral Cone: Tail Estimates for the Stationary Distribution (2017).
    Journal of Theoretical Probability 30 (3), 1200-1223.
    Available at arXiv:1509.01781

  33. Two-Sided Infinite Systems of Competing Brownian Particles (2017).
    European Series in Applied and Industrial Mathematics (ESAIM) Probability & Statistics 21 , 317-349.
    Available at arXiv:1509.01859

  34. Explicit Rates of Exponential Convergence for Reflected Jump-Diffusions on the Half-Line (2016).
    ALEA Latin American Journal of Probability and Mathematical Statistics 13 (2), 1069-1093.
    Available at arXiv:1509.01783

  35. Penalty Method for Reflected Diffusions on the Half-Line (2016).
    With Cameron Bruggeman. Stochastics 89 (2), 485-509.
    Available at arXiv:1509.01776

  36. Diverse Market Models of Competing Brownian Particles with Splits and Mergers (2016).
    With Ioannis Karatzas. Annals of Applied Probability 26 (3), 1329-1361.
    Available at arXiv:1404.0748

  37. Triple and Simultaneous Collisions of Competing Brownian Particles (2015).
    Electronic Journal of Probability 20 (29), 1-28.
    Available at arXiv:1401.6255

  38. On a Class of Diverse Market Models (2014).
    Annals of Finance 10 (2), 291-314.
    Available at arXiv:1301.5941