A Note on the Quasi-stationary Distribution of the Shiryaev Martingale on the Positive Half-Line
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Publication:4618067
DOI10.1137/S0040585X97T989179zbMath1442.60078arXiv1711.05134MaRDI QIDQ4618067
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Publication date: 7 February 2019
Published in: Theory of Probability & Its Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1711.05134
Applications of statistics to actuarial sciences and financial mathematics (62P05) Brownian motion (60J65) Diffusion processes (60J60) Sequential statistical analysis (62L10)
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