A Bayesian sequential test for the drift of a fractional Brownian motion

DOI10.1017/apr.2020.43zbMath1470.62125arXiv1804.02757OpenAlexW3108706494MaRDI QIDQ5005050

Alexey Muravlev, Mikhail Zhitlukhin

Publication date: 4 August 2021

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1804.02757

zbMATH Keywords

fractional Brownian motionoptimal stoppingsequential testChernoff's test

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stopping times; optimal stopping problems; gambling theory (60G40) Sequential statistical analysis (62L10) Optimal stopping in statistics (62L15)

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