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

Aleksey S. Polunchenko; Andrey Pepelyshev

doi:10.1007/s00362-018-1019-8

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

Aleksey S. Polunchenko
, Andrey Pepelyshev

Mathematics and Statistics

Binghamton University

Cardiff University
St. Petersburg State University

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

4 Scopus citations

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.

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 - Dec 1 2018

Keywords

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

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10.1007/s00362-018-1019-8

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

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.",

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

author = "Polunchenko, \{Aleksey S.\} and Andrey Pepelyshev",

note = "Publisher Copyright: {\textcopyright} 2018, Springer-Verlag GmbH Germany, part of Springer Nature.",

year = "2018",

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doi = "10.1007/s00362-018-1019-8",

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T1 - Analytic moment and Laplace transform formulae for the quasi-stationary distribution of the Shiryaev diffusion on an interval

AU - Polunchenko, Aleksey S.

AU - Pepelyshev, Andrey

PY - 2018/12/1

Y1 - 2018/12/1

N2 - 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.

AB - 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.

KW - Laplace transform

KW - Markov diffusions

KW - Quasi-stationarity

KW - Shiryaev process

KW - Special functions

KW - Stochastic processes

UR - https://www.scopus.com/pages/publications/85049692513

U2 - 10.1007/s00362-018-1019-8

DO - 10.1007/s00362-018-1019-8

M3 - Article

SN - 0932-5026

VL - 59

SP - 1351

EP - 1377

JO - Statistical Papers

JF - Statistical Papers

IS - 4

ER -

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

Abstract

Keywords

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