13 citations · 15 across the 7 of their papers we have counts for
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math.PR2020
A sequential test for the drift of a Brownian motion with a possibility to change a decision
Mikhail Zhitlukhin
We construct a Bayesian sequential test of two simple hypotheses about the value of the unobservable drift coefficient of a Brownian motion, with a possibility to change the initia…
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.PR2018
On the maximum of discretely sampled fractional Brownian motion with small Hurst parameter
Konstantin Borovkov, Mikhail Zhitlukhin
We show that the distribution of the maximum of the fractional Brownian motion with Hurst parameter over an -point set can be approximated by the…