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

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

Research output: Contribution to journal › Article › peer-review

Department of Statistical Modeling

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DOI

https://doi.org/10.1007/s00362-018-1019-8
Final published version

Aleksey S. Polunchenko
Andrey Pepelyshev

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.

Original language	English
Pages (from-to)	1351-1377
Number of pages	27
Journal	Statistical Papers
Volume	59
Issue number	4
DOIs	https://doi.org/10.1007/s00362-018-1019-8
State	Published - 1 Dec 2018

Research areas

Laplace transform, Markov diffusions, Quasi-stationarity, Shiryaev process, Special functions, Stochastic processes

Scopus subject areas

Statistics and Probability
Statistics, Probability and Uncertainty

ID: 50725263