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

05/19/2018

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by   Aleksey S. Polunchenko, et al.

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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.