Abstract
For the classical Shiryaev-Roberts martingale diffusion considered on the interval where A > 0 is a given absorbing boundary, it is shown that the rate of convergence of the diffusion’s quasi-stationary cumulative distribution function (c.d.f.), to its stationary c.d.f., H(x), as is no worse than uniformly in The result is established explicitly by constructing new tight lower- and upper-bounds for using certain latest monotonicity properties of the modified Bessel K function involved in the exact closed-form formula for recently obtained by Polunchenko (2017b).
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