An analytic expression for the distribution of the generalized Shiryaev-Roberts diffusion. The Fourier spectral expansion approach (Q2404186): Difference between revisions

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English	An analytic expression for the distribution of the generalized Shiryaev-Roberts diffusion. The Fourier spectral expansion approach	scientific article

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scholarly article

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title

An analytic expression for the distribution of the generalized Shiryaev-Roberts diffusion. The Fourier spectral expansion approach (English)

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author

Aleksey S. Polunchenko

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Grigory Sokolov

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published in

Methodology and Computing in Applied Probability

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publication date

18 September 2017

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full work available at URL

https://arxiv.org/abs/1601.03868

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zbMATH Keywords

generalized Shiryaev-Roberts procedure

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Kolmogorov forward equation

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Markov diffusion processes

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quickest change-point detection

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sequential analysis

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MaRDI profile type

MaRDI publication profile

0 references

0 references

0 references

0 references

On the integration of products of Whittaker functions with respect to the second index

0 references

A note on Ritov's Bayes approach to the minimax property of the cusum procedure

0 references

Q3150773

0 references

The Confluent Hypergeometric Function

0 references

The GARCH (1,1)-\(M\) model: results for the densities of the variance and the mean

0 references

On Asymptotic Optimality of the Second Order in the Minimax Quickest Detection Problem of Drift Change for Brownian Motion

0 references

Diffusion in a one-dimensional random medium and hyperbolic Brownian motion

0 references

Exponential functionals of Brownian motion and disordered systems

0 references

On certain Markov processes attached to exponential functionals of Brownian motion; application to Asian options

0 references

The integral of geometric Brownian motion

0 references

Q5336643

0 references

Quickest detection of drift change for Brownian motion in generalized Bayesian and minimax settings

0 references

The parabolic differential equations and the associated semigroups of transformation

0 references

Space-Time Approach to Non-Relativistic Quantum Mechanics

0 references

Q3084090

0 references

The path integral on the Poincaré upper half-plane with a magnetic field and for the Morse potential

0 references

'Normal' distribution functions on spheres and the modified Bessel functions

0 references

Q3374309

0 references

Q4772511

0 references

On Distributions of Certain Wiener Functionals

0 references

Q3259971

0 references

Classical diffusion processes and total positivity

0 references

Über die analytischen Methoden in der Wahrscheinlichkeitsrechnung

0 references

Q4057193

0 references

THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE

0 references

Spectral Expansions for Asian (Average Price) Options

0 references

PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY

0 references

The distributions of annuities

0 references

Procedures for Reacting to a Change in Distribution

0 references

Elementary Solutions for Certain Parabolic Partial Differential Equations

0 references

The present value of a stochastic perpetuity and the gamma distribution

0 references

Q5821083

0 references

Optimal stopping times for detecting changes in distributions

0 references

Optimality of the CUSUM procedure in continuous time.

0 references

A numerical approach to performance analysis of quickest change-point detection procedures

0 references

CONTINUOUS INSPECTION SCHEMES

0 references

Q5493563

0 references

Optimal detection of a change in distribution

0 references

A diffusion process and its applications to detecting a change in the drift of Brownian motion

0 references

On optimality of the Shiryaev-Roberts procedure for detecting a change in distribution

0 references

State-of-the-art in sequential change-point detection

0 references

Q3845705

0 references

Quickest Detection

0 references

Q3999270

0 references

Decision theoretic optimality of the cusum procedure

0 references

An analytical inversion of a Laplace transform related to annuities certain

0 references

On the integral of geometric Brownian motion

0 references

On Optimum Methods in Quickest Detection Problems

0 references

Q4172681

0 references

Minimax optimality of the method of cumulative sums (cusum) in the case of continuous time

0 references

Q4220653

0 references

Q2782369

0 references

Q3259158

0 references

An orthogonality relation for the Whittaker functions of the second kind of imaginary order

0 references

Q5420263

0 references

State-of-the-Art in Bayesian Changepoint Detection

0 references

Third-order Asymptotic Optimality of the Generalized Shiryaev--Roberts Changepoint Detection Procedures

0 references

Q3279399

0 references

Data-Efficient Quickest Change Detection in Minimax Settings

0 references

Loi de l'indice du lacet Brownien, et distribution de Hartman-Watson

0 references

On some exponential functionals of Brownian motion

0 references

Identifiers

zbMATH Open document ID

1373.62423

0 references

DOI

10.1007/s11009-016-9478-7

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Mathematics Subject Classification ID

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0 references

0 references

0 references

0 references

0 references

0 references

Sitelinks

Mathematics(1 entry)

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+The Confluent Hypergeometric Function
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+On Asymptotic Optimality of the Second Order in the Minimax Quickest Detection Problem of Drift Change for Brownian Motion
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+Diffusion in a one-dimensional random medium and hyperbolic Brownian motion
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@@ Property / cites work @@
+Exponential functionals of Brownian motion and disordered systems
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@@ Property / cites work @@
+On certain Markov processes attached to exponential functionals of Brownian motion; application to Asian options
+Normal rank
@@ Property / cites work @@
+The integral of geometric Brownian motion
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+Normal rank
@@ Property / cites work @@
+Q5336643
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+Normal rank
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+Quickest detection of drift change for Brownian motion in generalized Bayesian and minimax settings
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+The parabolic differential equations and the associated semigroups of transformation
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+Space-Time Approach to Non-Relativistic Quantum Mechanics
+Normal rank
@@ Property / cites work @@
+Q3084090
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+Normal rank
@@ Property / cites work @@
+The path integral on the Poincaré upper half-plane with a magnetic field and for the Morse potential
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@@ Property / cites work @@
+'Normal' distribution functions on spheres and the modified Bessel functions
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@@ Property / cites work @@
+Q3374309
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+Normal rank
@@ Property / cites work @@
+Q4772511
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+Normal rank
@@ Property / cites work @@
+On Distributions of Certain Wiener Functionals
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+Normal rank
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+Q3259971
@@ Property / cites work: Q3259971 / rank @@
+Normal rank
@@ Property / cites work @@
+Classical diffusion processes and total positivity
+Normal rank
@@ Property / cites work @@
+Über die analytischen Methoden in der Wahrscheinlichkeitsrechnung
+Normal rank
@@ Property / cites work @@
+Q4057193
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+Normal rank
@@ Property / cites work @@
+THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE
@@ Property / cites work: THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE / rank @@
+Normal rank
@@ Property / cites work @@
+Spectral Expansions for Asian (Average Price) Options
+Normal rank
@@ Property / cites work @@
+PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY
@@ Property / cites work: PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY / rank @@
+Normal rank
@@ Property / cites work @@
+The distributions of annuities
@@ Property / cites work: The distributions of annuities / rank @@
+Normal rank
@@ Property / cites work @@
+Procedures for Reacting to a Change in Distribution
+Normal rank
@@ Property / cites work @@
+Elementary Solutions for Certain Parabolic Partial Differential Equations
+Normal rank
@@ Property / cites work @@
+The present value of a stochastic perpetuity and the gamma distribution
+Normal rank
@@ Property / cites work @@
+Q5821083
@@ Property / cites work: Q5821083 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal stopping times for detecting changes in distributions
+Normal rank
@@ Property / cites work @@
+Optimality of the CUSUM procedure in continuous time.
+Normal rank
@@ Property / cites work @@
+A numerical approach to performance analysis of quickest change-point detection procedures
+Normal rank
@@ Property / cites work @@
+CONTINUOUS INSPECTION SCHEMES
@@ Property / cites work: CONTINUOUS INSPECTION SCHEMES / rank @@
+Normal rank
@@ Property / cites work @@
+Q5493563
@@ Property / cites work: Q5493563 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal detection of a change in distribution
@@ Property / cites work: Optimal detection of a change in distribution / rank @@
+Normal rank
@@ Property / cites work @@
+A diffusion process and its applications to detecting a change in the drift of Brownian motion
+Normal rank
@@ Property / cites work @@
+On optimality of the Shiryaev-Roberts procedure for detecting a change in distribution
+Normal rank
@@ Property / cites work @@
+State-of-the-art in sequential change-point detection
+Normal rank
@@ Property / cites work @@
+Q3845705
@@ Property / cites work: Q3845705 / rank @@
+Normal rank
@@ Property / cites work @@
+Quickest Detection
@@ Property / cites work: Quickest Detection / rank @@
+Normal rank
@@ Property / cites work @@
+Q3999270
@@ Property / cites work: Q3999270 / rank @@
+Normal rank
@@ Property / cites work @@
+Decision theoretic optimality of the cusum procedure
+Normal rank
@@ Property / cites work @@
+An analytical inversion of a Laplace transform related to annuities certain
+Normal rank
@@ Property / cites work @@
+On the integral of geometric Brownian motion
@@ Property / cites work: On the integral of geometric Brownian motion / rank @@
+Normal rank
@@ Property / cites work @@
+On Optimum Methods in Quickest Detection Problems
@@ Property / cites work: On Optimum Methods in Quickest Detection Problems / rank @@
+Normal rank
@@ Property / cites work @@
+Q4172681
@@ Property / cites work: Q4172681 / rank @@
+Normal rank
@@ Property / cites work @@
+Minimax optimality of the method of cumulative sums (cusum) in the case of continuous time
+Normal rank
@@ Property / cites work @@
+Q4220653
@@ Property / cites work: Q4220653 / rank @@
+Normal rank
@@ Property / cites work @@
+Q2782369
@@ Property / cites work: Q2782369 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3259158
@@ Property / cites work: Q3259158 / rank @@
+Normal rank
@@ Property / cites work @@
+An orthogonality relation for the Whittaker functions of the second kind of imaginary order
+Normal rank
@@ Property / cites work @@
+Q5420263
@@ Property / cites work: Q5420263 / rank @@
+Normal rank
@@ Property / cites work @@
+State-of-the-Art in Bayesian Changepoint Detection
+Normal rank
@@ Property / cites work @@
+Third-order Asymptotic Optimality of the Generalized Shiryaev--Roberts Changepoint Detection Procedures
+Normal rank
@@ Property / cites work @@
+Q3279399
@@ Property / cites work: Q3279399 / rank @@
+Normal rank
@@ Property / cites work @@
+Data-Efficient Quickest Change Detection in Minimax Settings
+Normal rank
@@ Property / cites work @@
+Loi de l'indice du lacet Brownien, et distribution de Hartman-Watson
+Normal rank
@@ Property / cites work @@
+On some exponential functionals of Brownian motion
+Normal rank
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