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Russian Mathematical Surveys, 2013, Volume 68, Issue 3, Pages 577–579
DOI: https://doi.org/10.1070/RM2013v068n03ABEH004844 (Mi rm9534) 		 
This article is cited in 6 scientific papers (total in 6 papers)

In the Moscow Mathematical Society
Communications of the Moscow Mathematical Society

Methods of sequential hypothesis testing for the drift of a fractional Brownian motion

A. A. Muravlev

Steklov Mathematical Institute of the Russian Academy of Sciences
English version PDF (332 kB) Citations (6) Russian version article
References:
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DOI: https://doi.org/10.1070/RM2013v068n03ABEH004844
Funding agency Grant number
Ministry of Education and Science of the Russian Federation 11.G34.31.0073
Russian Foundation for Basic Research 11-01-00949-а
12-01-31449-мол_а
13-08-01096-а
Presented: A. V. Bulinski
Accepted: 05.04.2013
Bibliographic databases:
Document Type: Article
MSC: Primary 62L10, 60G22; Secondary 60G40
Language: English
Original paper language: Russian
Citation: A. A. Muravlev, “Methods of sequential hypothesis testing for the drift of a fractional Brownian motion”, Russian Math. Surveys, 68:3 (2013), 577–579
Citation in format AMSBIB
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\by A.~A.~Muravlev
\paper Methods of sequential hypothesis testing for the drift of a~fractional Brownian motion
\jour Russian Math. Surveys
\yr 2013
\vol 68
\issue 3
\pages 577--579
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Linking options:
  • https://www.mathnet.ru/eng/rm9534
  • https://doi.org/10.1070/RM2013v068n03ABEH004844
  • https://www.mathnet.ru/eng/rm/v68/i3/p193
    • This publication is cited in the following 6 articles:
    1. Dokuchaev N., “On the Fractional Stochastic Integration For Random Non-Smooth Integrands”, Stoch. Anal. Appl., 2022  crossref  isi
    2. A. A. Muravlev, “Asymptotics of the boundaries in one non-linear optimal stopping problem”, Russian Math. Surveys, 75:2 (2020), 380–382  mathnet  crossref  crossref  mathscinet  zmath  adsnasa  isi  elib
    3. Muravlev A., Zhitlukhin M., “A Bayesian Sequential Test For the Drift of a Fractional Brownian Motion”, Adv. Appl. Probab., 52:4 (2020), 1308–1324  crossref  mathscinet  isi
    4. Alexey Muravlev, Mikhail Zhitlukhin, MATRIX Book Series, 2, 2017 MATRIX Annals, 2019, 667  crossref
    5. Nikolai Dokuchaev, “On the No-Arbitrage Market and Continuity in the Hurst Parameter”, SSRN Journal, 2015  crossref
    6. Nikolai Dokuchaev, “A Smooth Component of the Fractional Brownian Motion and Optimal Portfolio Selection”, SSRN Journal, 2015  crossref
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
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    Statistics & downloads:
    Abstract page:589
    Russian version PDF:212
    English version PDF:24
    References:67
    First page:41
     
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