seminars:stat:190404
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| + | ^ **DATE: | ||
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| + | ^ **SPEAKER: | ||
| + | ^ **TITLE:**| On the Convergence Rate of the Quasi- to Stationary Distribution for the Shiryaev-Roberts Diffusion | ||
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| + | For the classical Shiryaev–Roberts martingale diffusion | ||
| + | considered on the interval $[0, A]$, where $A > 0$ is a given absorbing | ||
| + | boundary, it is shown that the rate of convergence of the diffusion’s | ||
| + | quasi-stationary cumulative distribution function (cdf), $Q_A(x)$, to its | ||
| + | stationary cdf, $H(x)$, as $A$ goes to infinity, is no worse than $O(\log(A)/ | ||
| + | uniformly for any $x\ge0$. | ||
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