Analytic moment and Laplace transform formulae for the quasi-stationary distribution of the Shiryaev diffusion on an interval
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analyticdiffusiondistributionformulaeintervallaplacemomentquasi-stationary
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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 $A>0$.
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