On the joint probability density function of a stochastic growth process with random stopping time

Jie Fu

doi:10.1117/12.2638689

17 May 2022 On the joint probability density function of a stochastic growth process with random stopping time

Jie Fu

Proceedings Volume 12259, 2nd International Conference on Applied Mathematics, Modelling, and Intelligent Computing (CAMMIC 2022); 122590L (2022) https://doi.org/10.1117/12.2638689
Event: 2nd International Conference on Applied Mathematics, Modelling, and Intelligent Computing, 2022, Kunming, China

Abstract

This report is concerned with a random growth process with random stopping time. Such a process is widely used in the general setting of survival analysis where the stopping time is assumed to subtly depend on the growth process and the growth process is thought to reflect the accumulation of risk factors. Concrete applications of this type of stochastic processes can be found in the fields of health outcome researches, actuarial science, financial risk analysis and so on. In this report we focus on deriving an explicit formula that expresses the joint probability density function of the survival time and the cumulative risk factors at the time to die through two conditional expectations of the process. Such an explicit expression is crucial to many real applications.

Citation Download Citation

Jie Fu "On the joint probability density function of a stochastic growth process with random stopping time", Proc. SPIE 12259, 2nd International Conference on Applied Mathematics, Modelling, and Intelligent Computing (CAMMIC 2022), 122590L (17 May 2022); https://doi.org/10.1117/12.2638689

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