Zobrazeno 1 - 10
of 39
pro vyhledávání: '"Andrey Sarantsev"'
Publikováno v:
Forecasting, Vol 2, Iss 3, Pp 364-386 (2020)
Forecasting of forest dynamics at a large scale is essential for land use management, global climate change and biogeochemistry modeling. We develop time series models of the forest dynamics in the conterminous United States based on forest inventory
Externí odkaz:
https://doaj.org/article/51061252c67a47c4bf4bee27c22f2f3f
Autor:
Aditya Maheshwari, Andrey Sarantsev
Publikováno v:
Risks, Vol 6, Iss 4, p 131 (2018)
In our model, private actors with interbank cash flows similar to, but more general than that by Carmona et al. (2013) borrow from the non-banking financial sector at a certain interest rate, controlled by the central bank, and invest in risky assets
Externí odkaz:
https://doaj.org/article/7e15698a25a64149a1faf6806769495e
Publikováno v:
Queueing Systems. 100:333-335
Publikováno v:
Forecasting
Volume 2
Issue 3
Pages 20-386
Forecasting, Vol 2, Iss 20, Pp 364-386 (2020)
Volume 2
Issue 3
Pages 20-386
Forecasting, Vol 2, Iss 20, Pp 364-386 (2020)
Forecasting of forest dynamics at a large scale is essential for land use management, global climate change and biogeochemistry modeling. We develop time series models of the forest dynamics in the conterminous United States based on forest inventory
Publikováno v:
Queueing Systems. 94:357-392
A Markovian single-server queue is studied in an interactive random environment. The arrival and service rates of the queue depend on the environment, while the transition dynamics of the random environment depend on the queue length. We consider in
This paper studies birth and death processes in interactive random environments where the birth and death rates and the dynamics of the state of the environment are dependent on each other. Two models of a random environment are considered: a continu
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::bc5c63dc199034afc83963561f320602
Publikováno v:
Journal of Applied Probability
Journal of Applied Probability, Cambridge University press, In press
Journal of Applied Probability, Cambridge University press, In press
We find explicit estimates for the exponential rate of long-term convergence for the ruin probability in a level-dependent Lévy-driven risk model, as time goes to infinity. Siegmund duality allows us to reduce the problem to long-term convergence of
Autor:
Andrey Sarantsev
Portfolio managers often evaluate performance relative to benchmark, usually taken to be the Standard & Poor 500 stock index fund. This relative portfolio wealth is defined as the absolute portfolio wealth divided by wealth from investing in the benc
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ef2544bb0971057706e0cac0e91c9eef
http://arxiv.org/abs/2105.08139
http://arxiv.org/abs/2105.08139
Autor:
Andrey Sarantsev, Praveen Kolli
Publikováno v:
Statistics & Probability Letters. 151:29-35
For large systems of Brownian particles interacting through their ranks introduced in (Banner et al., 2005), the empirical cumulative distribution function satisfies a porous medium PDE. However, when we introduce a common noise, the limit is no long
Publikováno v:
Communications on Pure and Applied Mathematics. 72:1424-1458
We study the long-range asymptotic behavior for an out-of-equilibrium countable one-dimensional system of Brownian particles interacting through their rank-dependent drifts. Focusing on the semi-infinite case, where only the leftmost particle gets a