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- Vladimir Pozdnyakov, Joseph Glaz, Martin Kulldorff, And J Michael Steele
- 2004

Scan statistics are commonly used in biology, medicine, engineering and other fields where interest is in the probability of observing clusters of events in a window at an unknown location. Due to the dependent nature of the number of events in a large number of overlapping window locations, even approximate solutions for the simplest scan statistics may… (More)

- Vladimir Pozdnyakov, J Michael Steele
- 2003

We provide a framework for the martingale representation for futures prices which has some concrete advantages over the classical treatments of Duue In particular, the new formulation accommodates models where the distribution of the associated risk-free rate has unbounded support. This relaxation is particularly useful in the theory of LIBOR futures.

- Joseph Glaz, Martin Kulldorff, Vladimir Pozdnyakov, J Michael Steele
- 2005

Methods using gambling teams and martingales are developed and applied to find formulas for the expected value and the generating function of the waiting time until one observes an element of a finite collection of patterns in a sequence which is generated by a two-state first or higher order Markov chain.

- Vladimir Pozdnyakov, J Michael Steele
- 2008

We show how martingale techniques (both old and new) can be used to obtain otherwise hard-to-get information for the moments and distributions of waiting times for patterns in independent or Markov sequences. In particular, we show how these methods provide moments and distribution approximations for certain scan statistics, including about variable length… (More)

- Vladimir Pozdnyakov, J Michael Steele
- 2014

We survey the ways that martingales and the method of gambling teams can be used to obtain otherwise hard-to-get information for the moments and distributions of waiting times for the occurrence of simple or compound patterns in an independent or a Markov sequence. We also survey how such methods can be used to provide moments and distribution… (More)

Animal movements are of great importance in studying home ranges, migration routes, resource selection, and social interactions. The Global Positioning System provides relatively continuous animal tracking over time and long distances. Nevertheless, the continuous trajectory of an animal’s movement is usually only observed at discrete time points. Brownian… (More)

- Vladimir Pozdnyakov, J Michael Steele
- 2012

We illustrate a process that constructs martingales with help from matrix products that arise naturally in the theory of sampling without replacement. The usefulness of the new martingales is illustrated by the development of maximal inequalities for permuted sequences of real numbers. Some of these inequalities are new and some are variations of classical… (More)

- Vladimir Pozdnyakov, J Michael Steele
- 2010

We consider a simple model of sequential decisions made by a fusion agent that receives binary-passive reports from distributed sensors. The main result is an explicit formula for the probability of making a decision before a fixed budget is exhausted. These results depend on the relationship between a special ruin problem for a " lazy random walk " and a… (More)