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

DOI10.1070/RM2013v068n03ABEH004844zbMath1294.62173MaRDI QIDQ2854106

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Publication date: 17 October 2013

Published in: Russian Mathematical Surveys (Search for Journal in Brave)

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stopping times; optimal stopping problems; gambling theory (60G40) Sequential statistical analysis (62L10)

Related Items (4)

On the fractional stochastic integration for random non-smooth integrands ⋮ Asymptotics of the boundaries in one non-linear optimal stopping problem ⋮ On Chernoff's test for a fractional Brownian motion ⋮ A Bayesian sequential test for the drift of a fractional Brownian motion

Cites Work

• On optimal stopping and free boundary problems
• Stochastic calculus for fractional Brownian motion and related processes.
• Bayesian Sequential Estimation of a Drift of Fractional Brownian Motion
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