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Statistics Seminar
Department of Mathematical Sciences

DATE:Thursday, April 4, 2019
TIME:1:15pm – 2:15pm
SPEAKER:Kexuan Li, Binghamton University
TITLE: On the Convergence Rate of the Quasi- to Stationary Distribution for the Shiryaev-Roberts Diffusion


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