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

DOI10.1080/07474946.2017.1360089zbMATH Open1489.62257arXiv1702.08900OpenAlexW2593071040MaRDI QIDQ4596535FDOQ4596535

Authors: Aleksey S. Polunchenko 

Publication date: 1 December 2017

Published in: Sequential Analysis (Search for Journal in Brave)

Abstract: We consider the first exit time of a Shiryaev-Roberts diffusion with constant positive drift from the interval $[0,A]$ where $A>0$. We show that the moment generating function (Laplace transform) of a suitably standardized version of the first exit time converges to that of the unit-mean exponential distribution as $Ao+infty$. The proof is explicit in that the moment generating function of the first exit time is first expressed analytically and in a closed form, and then the desired limit as $Ao+infty$ is evaluated directly. The result is of importance in the area of quickest change-point detection, and its discrete-time counterpart has been previously established - although in a different manner - by Pollak and Tartakovsky (2009).

Full work available at URL: https://arxiv.org/abs/1702.08900

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zbMATH Keywords

Laplace transformfirst exit timemoment generating functionWhittaker functionsconvergence of probability measuresMarkov diffusiongeneralized Shiryaev-Roberts procedurequickest change-point detection

Mathematics Subject Classification ID

Sequential statistical analysis (62L10) Diffusion processes (60J60) Stopping times; optimal stopping problems; gambling theory (60G40)

Cited In (3)

• Analytic evaluation of the fractional moments for the quasi-stationary distribution of the Shiryaev martingale on an interval
• Analytic moment and Laplace transform formulae for the quasi-stationary distribution of the Shiryaev diffusion on an interval
• On the convergence rate of the quasi- to stationary distribution for the Shiryaev-Roberts diffusion

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