More On the Quasi-Stationary Distribution of the Shiryaev--Roberts Diffusion

Soumik Banerjee, Aleksey S. Polunchenko

We consider the classical Shiryaev--Roberts martingale diffusion, $(R_t{)}_{t\ge 0}$, restricted to the interval $[0,A]$, where $A>0$ is a preset absorbing boundary. We take yet anoth…