This article is cited in 17 papers

Bayesian sequential estimation of a drift of fractional Brownian motion

U. Çetin^a, A. Novikov^b, A. N. Shiryaev<sup>c

a</sup> 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.

MSC: 62L12, 62F15, 60G22

Received: 10.02.2013
Accepted: 05.05.2013

Language: English

DOI: 10.1080/07474946.2013.803809

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