A Note on the Quasi-Stationary Distribution of the Shiryaev Martingale on the Positive Half-Line

Aleksey S. Polunchenko, Servet Martinez, Jaime San Martin

We obtain a closed-form formula for the quasi-stationary distribution of the classical Shiryaev martingale diffusion considered on the positive half-line $[A,+\infty )$ with $A>0$ f…