Analytic moment and Laplace transform formulae for the quasi-stationary distribution of the Shiryaev diffusion on an interval
Tóm tắt
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
$$A>0$$
.
Tài liệu tham khảo
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