An analytic expression for the distribution of the generalized Shiryaev-Roberts diffusion. The Fourier spectral expansion approach

DOI10.1007/s11009-016-9478-7zbMath1373.62423arXiv1601.03868OpenAlexW2294177012MaRDI QIDQ2404186

Aleksey S. Polunchenko, Grigory Sokolov

Publication date: 18 September 2017

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1601.03868

zbMATH Keywords

sequential analysisKolmogorov forward equationMarkov diffusion processesgeneralized Shiryaev-Roberts procedurequickest change-point detection

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Inference from stochastic processes and spectral analysis (62M15) Diffusion processes (60J60) Sequential statistical analysis (62L10)

Related Items

Tumor growth modeling via Fokker-Planck equation ⋮ Analytic evaluation of the fractional moments for the quasi-stationary distribution of the Shiryaev martingale on an interval ⋮ On the evaluation of an integral involving the Whittaker \(W\) function ⋮ A Note on the Quasi-stationary Distribution of the Shiryaev Martingale on the Positive Half-Line ⋮ On the quasi-stationary distribution of the Shiryaev–Roberts diffusion ⋮ 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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