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

DOI10.1080/07474946.2020.1766926zbMath1460.62132arXiv1907.02676OpenAlexW3086896343MaRDI QIDQ4964401

Publication date: 2 March 2021

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

Full work available at URL: https://arxiv.org/abs/1907.02676

zbMATH Keywords

Whittaker functions Markov diffusion generalized Shiryaev-Roberts procedure quickest change point detection

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Martingales with discrete parameter (60G42) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Sequential statistical analysis (62L10)

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