Browsing by Author "Polunchenko, A. S."
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Polunchenko, A. S.; Martínez, S.; Martín, J. San (Society for Industrial and Applied Mathematics Publications, 2019)We obtain a closed-form formula for the quasi-stationary distribution of the classical Shiryaev martingale diffusion considered on the positive half-line [A, +∞) withA>0 fixed; the state space’s left endpoint is assumed ...