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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
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.
Received: 10.02.2013 Accepted: 05.05.2013
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