Analytic evaluation of the fractional moments for the quasi-stationary distribution of the Shiryaev martingale on an interval (Q5082731): Difference between revisions

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scientific article; zbMATH DE number 7545690

Language	Label	Description	Also known as
English	Analytic evaluation of the fractional moments for the quasi-stationary distribution of the Shiryaev martingale on an interval	scientific article; zbMATH DE number 7545690

Statements

instance of

scholarly article

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title

Analytic evaluation of the fractional moments for the quasi-stationary distribution of the Shiryaev martingale on an interval (English)

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author

Kexuan Li

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Aleksey S. Polunchenko

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Andrey Pepelyshev

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published in

Communications in Statistics - Simulation and Computation

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publication date

21 June 2022

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full work available at URL

https://arxiv.org/abs/1904.02961

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https://orca.cardiff.ac.uk/121826/1/LiPolunchenkoPepelyshev__ComStat2019.pdf

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zbMATH Keywords

fractional moments

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Markov diffusions

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quasi-stationarity

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Shiryaev process

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stochastic processes

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MaRDI profile type

MaRDI publication profile

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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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Quasi-Stationary Distributions

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

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

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The integral of geometric Brownian motion

0 references

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

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BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES

0 references

Q4275389

0 references

Spectral Expansions for Asian (Average Price) Options

0 references

Spectral theory of semi-groups connected with diffusion processes and its application

0 references

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

0 references

Convergence of quasi-stationary to stationary distributions for stochastically monotone Markov processes

0 references

Exact distribution of the Generalized Shiryaev–Roberts stopping time under the minimax Brownian motion setup

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On the quasi-stationary distribution of the Shiryaev–Roberts diffusion

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Asymptotic exponentiality of the first exit time of the Shiryaev–Roberts diffusion with constant positive drift

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Asymptotic Near-Minimaxity of the Randomized Shiryaev--Roberts--Pollak Change-Point Detection Procedure in Continuous Time

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Analytic moment and Laplace transform formulae for the quasi-stationary distribution of the Shiryaev diffusion on an interval

0 references

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

0 references

A Note on the Quasi-stationary Distribution of the Shiryaev Martingale on the Positive Half-Line

0 references

Q3999270

0 references

On the integral of geometric Brownian motion

0 references

Q3845705

0 references

On Optimum Methods in Quickest Detection Problems

0 references

0 references

0 references

0 references

0 references

On some exponential functionals of Brownian motion

0 references

Identifiers

zbMATH Open document ID

1497.60112

0 references

DOI

10.1080/03610918.2019.1612433

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

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+Diffusion in a one-dimensional random medium and hyperbolic Brownian motion
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@@ Property / cites work @@
+On certain Markov processes attached to exponential functionals of Brownian motion; application to Asian options
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+The integral of geometric Brownian motion
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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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+Spectral Expansions for Asian (Average Price) Options
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+Spectral theory of semi-groups connected with diffusion processes and its application
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+A diffusion process and its applications to detecting a change in the drift of Brownian motion
+Normal rank
@@ Property / cites work @@
+Convergence of quasi-stationary to stationary distributions for stochastically monotone Markov processes
+Normal rank
@@ Property / cites work @@
+Exact distribution of the Generalized Shiryaev–Roberts stopping time under the minimax Brownian motion setup
+Normal rank
@@ Property / cites work @@
+On the quasi-stationary distribution of the Shiryaev–Roberts diffusion
+Normal rank
@@ Property / cites work @@
+Asymptotic exponentiality of the first exit time of the Shiryaev–Roberts diffusion with constant positive drift
+Normal rank
@@ Property / cites work @@
+Asymptotic Near-Minimaxity of the Randomized Shiryaev--Roberts--Pollak Change-Point Detection Procedure in Continuous Time
+Normal rank
@@ Property / cites work @@
+Analytic moment and Laplace transform formulae for the quasi-stationary distribution of the Shiryaev diffusion on an interval
+Normal rank
@@ Property / cites work @@
+An analytic expression for the distribution of the generalized Shiryaev-Roberts diffusion. The Fourier spectral expansion approach
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+A Note on the Quasi-stationary Distribution of the Shiryaev Martingale on the Positive Half-Line
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+Normal rank
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+On the integral of geometric Brownian motion
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+Normal rank
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+Q3845705
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+Normal rank
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+On Optimum Methods in Quickest Detection Problems
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