Analytic evaluation of the fractional moments for the quasi-stationary distribution of the Shiryaev martingale on an interval-Reference-Cited by-同舟云学术

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Analytic evaluation of the fractional moments for the quasi-stationary distribution of the Shiryaev martingale on an interval

Published:2019-06-06 Issue:9 Volume:50 Page:2705-2720
ISSN:0361-0918
Container-title:Communications in Statistics - Simulation and Computation
language:en
Short-container-title:Communications in Statistics - Simulation and Computation

Author:

Li Kexuan¹,Polunchenko Aleksey S.¹^ORCID,Pepelyshev Andrey²³^ORCID

Affiliation:

1. Department of Mathematical Sciences, State University of New York (SUNY), Binghamtom, NY, USA

2. School of Mathematics, Cardiff University, Cardiff, UK

3. Faculty of Mathematics and Mechanics, St. Petersburg State University, St. Petersburg, Russia

Funder

Simons Foundation

Russian Foundation for Basic Research

Publisher

Informa UK Limited

Subject

Modeling and Simulation,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03610918.2019.1612433

Reference38 articles.

1. On Asymptotic Optimality of the Second Order in the Minimax Quickest Detection Problem of Drift Change for Brownian Motion

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. On the convergence rate of the quasi- to stationary distribution for the Shiryaev-Roberts diffusion;Sequential Analysis;2020-04-02

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