Exact distribution of the Generalized Shiryaev–Roberts stopping time under the minimax Brownian motion setup

DOI10.1080/07474946.2016.1132066zbMath1338.62183arXiv1601.04262OpenAlexW2293209285MaRDI QIDQ2805608

Aleksey S. Polunchenko

Publication date: 12 May 2016

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

Full work available at URL: https://arxiv.org/abs/1601.04262

zbMATH Keywords

parabolic partial differential equationsfirst passage timessequential analysisKolmogorov forward equationmethod of separation of variablesSturm-Liouville theoryMarkov diffusion processesgeneralized Shiryaev-Roberts procedurequickest change-point detection

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Initial-boundary value problems for second-order parabolic equations (35K20) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Sequential statistical analysis (62L10)

Related Items (5)

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 ⋮ 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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