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07/05/2019
On the Convergence Rate of the Quasi- to Stationary Distribution for the Shiryaev--Roberts Diffusion
For the classical Shiryaev--Roberts martingale diffusion considered on t...
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04/05/2019
Analytic Evaluation of the Fractional Moments for the Quasi-Stationary Distribution of the Shiryaev Martingale on an Interval
We consider the quasi-stationary distribution of the classical Shiryaev ...
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05/19/2018
Analytic moment and Laplace transform formulae for the quasi-stationary distribution of the Shiryaev diffusion on an interval
We derive analytic closed-form moment and Laplace transform formulae for...
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11/14/2017