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

DOI10.1080/07474946.2017.1360089zbMath1489.62257arXiv1702.08900OpenAlexW2593071040MaRDI QIDQ4596535

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 transformconvergence of probability measuresmoment generating functionWhittaker functionsfirst exit timeMarkov diffusiongeneralized Shiryaev-Roberts procedurequickest change-point detection

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Sequential statistical analysis (62L10)

Related Items (3)

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

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