Analytic moment and Laplace transform formulae for the quasi-stationary distribution of the Shiryaev diffusion on an interval

Polunchenko, Aleksay S. and Pepelyshev, Andrey ORCID: https://orcid.org/0000-0001-5634-5559 2018. Analytic moment and Laplace transform formulae for the quasi-stationary distribution of the Shiryaev diffusion on an interval. Statistical Papers 59 (4) , pp. 1351-1377. 10.1007/s00362-018-1019-8

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Abstract

We derive analytic closed-form moment and Laplace transform formulae for the quasi-stationary distribution of the classical Shiryaev diffusion restricted to the interval [0,A] with absorption at a given A > 0

Item Type:	Article
Date Type:	Publication
Status:	Published
Schools:	Mathematics
Subjects:	Q Science > QA Mathematics
Publisher:	Springer Verlag
ISSN:	0932-5026
Date of First Compliant Deposit:	3 July 2018
Date of Acceptance:	1 July 2018
Last Modified:	25 Nov 2024 11:45
URI:	https://orca.cardiff.ac.uk/id/eprint/112957

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