5 citations · 5 across the 2 of their papers we have counts for
2 papers
math.PR2013
On a Class of Diverse Market Models
Andrey Sarantsev
A market model in Stochastic Portfolio Theory is a finite system of strictly positive stochastic processes. Each process represents the capitalization of a certain stock. If at any…
math.PR2011★ 5 cited
Tail Asymptotic of Sum and Product of Random Variables with Applications in the Theory of Extremes of Conditionally Gaussian Processes
Andrey Sarantsev
We consider two independent random variables with the given tail asymptotic (e.g. power or exponential). We find tail asymptotic for their sum and product. This is done by some cum…