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

DOI10.1080/07474946.2020.1766926MaRDI QIDQ4964401zbMATH OpenOpenAlexFDO

Authors Kexuan Li, Aleksey S. Polunchenko

Publication date 2 March 2021

Published in Sequential Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1907.02676

zbMATH Keywords

generalized Shiryaev-Roberts procedureMarkov diffusionquickest change point detectionWhittaker functions

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with discrete parameter (60G42) Diffusion processes (60J60) Nonparametric hypothesis testing (62G10) Sequential statistical analysis (62L10)

Abstract: For the classical Shiryaev--Roberts martingale diffusion considered on the interval $[0,A]$, where $A>0$ is a given absorbing boundary, it is shown that the rate of convergence of the diffusion's quasi-stationary cumulative distribution function (cdf), $Q_A(x)$, to its stationary cdf, $H(x)$, as $Ao+infty$, is no worse than $O(log(A)/A)$, uniformly in $xge0$. The result is established explicitly, by constructing new tight lower- and upper-bounds for $Q_A(x)$ using certain latest monotonicity properties of the modified Bessel $K$ function involved in the exact closed-form formula for $Q_A(x)$ recently obtained by Polunchenko (2017).

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Cited in

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• Exponential convergence to quasi-stationary distribution and \(Q\)-process
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