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

DOI10.1080/07474946.2017.1360089MaRDI QIDQ4596535zbMATH OpenOpenAlexFDO

Authors Aleksey S. Polunchenko

Publication date 1 December 2017

Published in Sequential Analysis (Search for Journal in Brave)

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

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)

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).

Recommendations

• First exit times for Lévy-driven diffusions with exponentially light jumps
• scientific article; zbMATH DE number 3911425
• Explicit asymptotics on first passage times of diffusion processes
• Asymptotic Distribution of Exit Times for Small-Noise Diffusions
• On the exit time of a random walk with positive drift
• First exit times of SDEs driven by stable Lévy processes
• On First Exit Times for Homogeneous Diffusion Processes
• Exit time and invariant measure asymptotics for small noise constrained diffusions
• scientific article; zbMATH DE number 1286413
• On the first exit time from an interval for diffusions with jumps

Cited in

(3)

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

This page was built for publication: Asymptotic exponentiality of the first exit time of the Shiryaev–Roberts diffusion with constant positive drift

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4596535)