2 papers
math.PR2019
Sequential tracking of an unobservable two-state Markov process under Brownian noise
Alexey Muravlev, Mikhail Urusov, Mikhail Zhitlukhin
We consider an optimal control problem, where a Brownian motion with drift is sequentially observed, and the sign of the drift coefficient changes at jump times of a symmetric two-…
math.ST2018
A Bayesian sequential test for the drift of a fractional Brownian motion
Alexey Muravlev, Mikhail Zhitlukhin
We consider a fractional Brownian motion with unknown linear drift such that the drift coefficient has a prior normal distribution and construct a sequential test for the hypothesi…