13 citations · 36 across the 12 of their papers we have counts for
13 papers
Martingale Approach to Gambler's Ruin Problem for Correlated Random Walks
Vladimir Pozdnyakov
The gambler's ruin problem for correlated random walks (CRW), both with and without delays, is addressed using the Optional Stopping Theorem for martingales. We derive closed-form…
Recurrent Events Modeling Based on a Reflected Brownian Motion with Application to Hypoglycemia
Yingfa Xie, Haoda Fu, Yuan Huang +2
Patients with type 2 diabetes need to closely monitor blood sugar levels as their routine diabetes self-management. Although many treatment agents aim to tightly control blood suga…
On the Convergence of Credit Risk in Current Consumer Automobile Loans
Jackson P. Lautier, Vladimir Pozdnyakov, Jun Yan
Loan seasoning and inefficient consumer interest rate refinance behavior are well-known for mortgages. Consumer automobile loans, which are collateralized loans on a rapidly deprec…
Pricing Time-to-Event Contingent Cash Flows: A Discrete-Time Survival Analysis Approach
Jackson P. Lautier, Vladimir Pozdnyakov, Jun Yan
Prudent management of insurance investment portfolios requires competent asset pricing of fixed-income assets with time-to-event contingent cash flows, such as consumer asset-backe…
Estimating a distribution function for discrete data subject to random truncation with an application to structured finance
Jackson P. Lautier, Vladimir Pozdnyakov, Jun Yan
Proper econometric analysis should be informed by data structure. Many forms of financial data are recorded in discrete-time and relate to products of a finite term. If the data co…
Moving-Resting Process with Measurement Error in Animal Movement Modeling
Chaoran Hu, Mark Elbroch, Thomas Meyer +2
Statistical modeling of animal movement is of critical importance. The continuous trajectory of an animal's movements is only observed at discrete, often irregularly spaced time po…