Cardiff University | Prifysgol Caerdydd ORCA
Online Research @ Cardiff 
WelshClear Cookie - decide language by browser settings

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

Polunchenko, Aleksay S. and Pepelyshev, Andrey 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

[img]
Preview
PDF - Accepted Post-Print Version
Download (518kB) | Preview

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: 10 Jul 2019 02:05
URI: http://orca.cf.ac.uk/id/eprint/112957

Actions (repository staff only)

Edit Item Edit Item

Downloads

Downloads per month over past year

View more statistics