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Analytic evaluation of the fractional moments for the quasi-stationary distribution of the Shiryaev martingale on an interval.

Kexuan LiAleksey S. PolunchenkoAndrey Pepelyshev
Published in: Commun. Stat. Simul. Comput. (2021)
Keyphrases
  • stationary distribution
  • markov chain
  • random walk
  • transition probabilities
  • steady state
  • queue length
  • initial state
  • product form
  • search algorithm
  • scheduling problem