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

DOI10.1080/03610918.2019.1612433zbMath1497.60112arXiv1904.02961OpenAlexW2996285398WikidataQ127739181 ScholiaQ127739181MaRDI QIDQ5082731

Kexuan Li, Aleksey S. Polunchenko, Andrey Pepelyshev

Publication date: 21 June 2022

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1904.02961

zbMATH Keywords

stochastic processesquasi-stationarityfractional momentsMarkov diffusionsShiryaev process

Mathematics Subject Classification ID

Brownian motion (60J65) Diffusion processes (60J60) Sequential statistical analysis (62L10)

Related Items (1)

On the convergence rate of the quasi- to stationary distribution for the Shiryaev-Roberts diffusion

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