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Analytic moment and Laplace transform formulae for the quasi-stationary distribution of the Shiryaev diffusion on an interval

Author

Listed:
  • Aleksey S. Polunchenko

    (Binghamton University, State University of New York)

  • Andrey Pepelyshev

    (Cardiff University
    St. Petersburg State University)

Abstract

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 $$A>0$$ A > 0 .

Suggested Citation

  • Aleksey S. Polunchenko & Andrey Pepelyshev, 2018. "Analytic moment and Laplace transform formulae for the quasi-stationary distribution of the Shiryaev diffusion on an interval," Statistical Papers, Springer, vol. 59(4), pages 1351-1377, December.
    • Handle: RePEc:spr:stpapr:v:59:y:2018:i:4:d:10.1007_s00362-018-1019-8
    DOI: 10.1007/s00362-018-1019-8
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    References listed on IDEAS

    as
    1. Hélyette Geman & Marc Yor, 1993. "Bessel Processes, Asian Options, And Perpetuities," Mathematical Finance, Wiley Blackwell, vol. 3(4), pages 349-375, October.
    2. Vadim Linetsky, 2004. "Spectral Expansions for Asian (Average Price) Options," Operations Research, INFORMS, vol. 52(6), pages 856-867, December.
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