Publications and Preprints. Andrey Sarantsev
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Submitted Articles

  1. Capital Asset Pricing Model with Size Factor and Normalizing by Volatility Index
    2. With Abraham Atsiwo. Available at arXiv:2411.19444   [PDF]

  2. Zero-Coupon Treasury Yield Curve with VIX as Stochastic Volatility (2024).
    With Jihyun Park. Available at arXiv:2411.03699   [PDF]

  3. Log Heston Model for Monthly Average VIX (2024).
    With Jihyun Park. Available at arXiv:2410.22471   [PDF]

  4. Tutorial on Running Median Subtraction Filter with Application to Searches for Exotic Field Transients in Multi-Messenger Astronomy (2024).
    With Geoffrey Blewitt, Andrei Derevianko, Arko Sen.
    Available at arXiv:2410.03773   [PDF]

  5. A New Stock Market Valuation Measure with Applications to Equity-Linked Annuities (2022).
    Available at arXiv:1905.04603   [PDF]

Published and Accepted Articles

  1. The Variance-Gamma Distribution: A Review (2024).
    With Adrian Fischer and Robert E. Gaunt.
    To appear in Statistical Science.
    Available at arXiv:2303.05615   [PDF]

  2. 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   [PDF]

  3. 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   [PDF]

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

  5. 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   [PDF]

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

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

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

  9. 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   [PDF]

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

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

  12. 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   [PDF]

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

  14. 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   [PDF]

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

  16. 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   [PDF]

  17. 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   [PDF]

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

  19. 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   [PDF]

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

  21. 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   [PDF]

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

  23. 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   [PDF]

  24. 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   [PDF]

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

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

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

  28. 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   [PDF]

  29. 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   [PDF]

  30. 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   [PDF]

  31. 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   [PDF]

  32. 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   [PDF]

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

  34. 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   [PDF]

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

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