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seminars:stat:190404

Statistics Seminar

Department of Mathematical Sciences

DATE: | Thursday, April 4, 2019 |
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TIME: | 1:15pm – 2:15pm |

LOCATION: | WH 100E |

SPEAKER: | Kexuan Li, Binghamton University |

TITLE: | On the Convergence Rate of the Quasi- to Stationary Distribution for the Shiryaev-Roberts Diffusion |

**Abstract**

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 $O(\log(A)/A)$, uniformly for any $x\ge0$.

seminars/stat/190404.txt · Last modified: 2019/04/02 11:41 by aleksey

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