Analytic Evaluation of the Fractional Moments for the Quasi-Stationary Distribution of the Shiryaev Martingale on an Interval

Kexuan Li, Aleksey S. Polunchenko, Andrey Pepelyshev

We consider the quasi-stationary distribution of the classical Shiryaev diffusion restricted to the interval $[0,A]$ with absorption at a fixed $A>0$. We derive analytically a clos…