Sequential Analysis. Design Methods & Applications
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 Sequential Anal., 2013, Volume 32, Issue 3, Pages 288–296 (Mi seqan2)

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.

 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.

DOI: https://doi.org/10.1080/07474946.2013.803809

Bibliographic databases:

MSC: 62L12, 62F15, 60G22
Accepted:05.05.2013
Language: