Convergence of quasi-stationary to stationary distributions for stochastically monotone Markov processes

DOI10.2307/3214131zbMath0595.60075OpenAlexW1987617979MaRDI QIDQ3727090

Moshe Pollak, David O. Siegmund

Publication date: 1986

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3214131

zbMATH Keywords

weak convergencestationary distributionmonotone Markov processes

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (17)

The bivariate maximum process and quasi-stationary structure of birth- death processes ⋮ Bias of estimator of change point detected by a CUSUM procedure ⋮ Monotone infinite stochastic matrices and their augmented truncations ⋮ Bounds for the quasi-stationary distribution of some specialized Markov chains ⋮ A less sensitive linear detector for the change point based on kernel smoothing method ⋮ Analytic evaluation of the fractional moments for the quasi-stationary distribution of the Shiryaev martingale on an interval ⋮ Revisiting John Lamperti's maximal branching process ⋮ State-of-the-art in sequential change-point detection ⋮ A lower confidence bound for the change point after a sequential CUSUM test ⋮ Inference for post-change parameters after sequential CUSUM test under AR(1) model ⋮ On the First Exit Time of a Nonnegative Markov Process Started at a Quasistationary Distribution ⋮ Analytic moment and Laplace transform formulae for the quasi-stationary distribution of the Shiryaev diffusion on an interval ⋮ Inference for post-change mean by a CUSUM procedure ⋮ Quasi-stationary biases of change point and change magnitude estimation after sequential cusum test ⋮ On the convergence rate of the quasi- to stationary distribution for the Shiryaev-Roberts diffusion ⋮ Power of the MOSUM test for online detection of a transient change in mean ⋮ A Small Sample Size Comparison of the Cusum and Shiryayev-Roberts Approaches: Changepoint Detection

This page was built for publication: Convergence of quasi-stationary to stationary distributions for stochastically monotone Markov processes