Asymptotic exponentiality of the first exit time of the Shiryaev–Roberts diffusion with constant positive drift (Q4596535)
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scientific article; zbMATH DE number 6814901
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| English | Asymptotic exponentiality of the first exit time of the Shiryaev–Roberts diffusion with constant positive drift |
scientific article; zbMATH DE number 6814901 |
Statements
Asymptotic exponentiality of the first exit time of the Shiryaev–Roberts diffusion with constant positive drift (English)
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1 December 2017
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convergence of probability measures
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first exit time
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generalized Shiryaev-Roberts procedure
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Laplace transform
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Markov diffusion
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moment generating function
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quickest change-point detection
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Whittaker functions
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0.8882253
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0.88145405
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0.8813788
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0.88005745
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0.8790954
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0.8775358
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0.87415546
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