Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Asymptotic Exponentiality of the First Exit Time of the Shiryaev-Roberts
  Diffusion with Constant Positive Drift   We consider the first exit time of a Shiryaev-Roberts diffusion with constant
positive drift from the interval $[0,A]$ where $A>0$. We show that the moment
generating function (Laplace transform) of a suitably standardized version of
the first exit time converges to that of the unit-mean exponential distribution
as $A\to+\infty$. The proof is explicit in that the moment generating function
of the first exit time is first expressed analytically and in a closed form,
and then the desired limit as $A\to+\infty$ is evaluated directly. The result
is of importance in the area of quickest change-point detection, and its
discrete-time counterpart has been previously established - although in a
different manner - by Pollak and Tartakovsky (2009).

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The categories of this paper are: cs
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The categories of this paper are: adap-org
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The categories of this paper are: mtrl-th
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The categories of this paper are: hep-lat
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The categories of this paper are: quant-ph
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The categories of this paper are: nucl-ex
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The categories of this paper are: funct-an
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The categories of this paper are: bayes-an
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The categories of this paper are: physics
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The categories of this paper are: atom-ph
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The categories of this paper are: patt-sol
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The categories of this paper are: nucl-th
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The categories of this paper are: acc-phys
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The categories of this paper are: hep-ex
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The categories of this paper are: chem-ph
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The categories of this paper are: nlin