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Sequential Analysis. Design Methods & Applications, 2013, Volume 32, Issue 3, Pages 288–296
DOI: https://doi.org/10.1080/07474946.2013.803809
(Mi seqan2)
 

This article is cited in 15 scientific papers (total in 15 papers)

Bayesian sequential estimation of a drift of fractional Brownian motion

U. Çetina, A. Novikovb, A. N. Shiryaevc

a The London School of Economics, London, UK
b University of Technology, Sydney, Australia
c Steklov Mathematical Institute, Moscow, Russia
Citations (15)
Abstract: We solve explicitly a Bayesian sequential estimation problem for the drift parameter $\mu$ of a fractional Brownian motion under the assumptions that a prior density of $\mu$ is Gaussian and that a penalty function is quadratic or Dirac-delta. The optimal stopping time for this case is deterministic.
Funding agency Grant number
Australian Research Council DP 120102398
The second named author acknowledges support by the Australian Research Council (ARC) under grant DP 120102398.
Received: 10.02.2013
Accepted: 05.05.2013
Bibliographic databases:
Document Type: Article
MSC: 62L12, 62F15, 60G22
Language: English
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  • This publication is cited in the following 15 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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