Publications and Preprints. Andrey Sarantsev

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Published Papers

  1. 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]

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

  3. 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]

  4. 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]

  5. 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]

  6. 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]

  7. 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]

  8. 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]

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

  10. 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]

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

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

Accepted Papers

  1. Brownian Particles with Rank-Dependent Drifts: Out-of-Equilibrium Behavior (2018).
    With Manuel Cabezas, Amir Dembo, and Vladas Sidoravicius.
    To appear in Communications in Pure and Applied Mathematics.
    Available at arXiv:1708.01918   [PDF]

  2. Stationary Distributions and Convergence for Walsh Diffusions (2018).
    With Tomoyuki Ichiba. To appear in Bernoulli.
    Available at arXiv:1706.07127   [PDF]

  3. Comparison Techniques for Competing Brownian Particles (2016).
    To appear in Journal of Theoretical Probability.
    Available at arXiv:1305.1653   [PDF]

Submitted Papers

  1. A Model of Interbank Flows, Borrowing, and Investing (2018).
    With Aditya Maheshwari. Available at arXiv:1707.03542   [PDF]

  2. Talagrand Concentration Inequalities for Stochastic Partial Differential Equations (2018).
    With Davar Khoshnevisan. Available at arXiv:1709.07098   [PDF]

  3. Exponential Convergence Rate of Ruin Probabilities for Level-Dependent Levy-Driven Risk Processes (2018).
    With Pierre-Olivier Goffard. Available at arXiv:1710.01845   [PDF]

  4. Stable Systems of Competing Levy Particles (2017).
    With Clayton Barnes. Available at arXiv:1610.04323   [PDF]

  5. Laguerre and Jacobi Analogues of the Warren Process (2017).
    Appendix for the paper by Yi Sun. Available at arXiv:1610.01635   [PDF]

  6. Penalty Method for Obliquely Reflected Diffusions (2017).
    Available at arXiv:1509.01777   [PDF]

Work in Progress

  1. Optimal Consumption and Investment in Stochastic Environment.
    With Jean-Pierre Fouque and Ruimeng Hu.

  2. A Mean-Field Model of Financial Contagion and Systemic Risk in a Banking System.
    With Tomoyuki Ichiba and Michael Ludkovski.

  3. Talagrand Concentration Inequalities for Reflected Diffusions.
    With Soumik Pal.