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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…
math.ST2012★ 13 cited
Optimal stopping problems for a Brownian motion with a disorder on a finite interval
A. N. Shiryaev, M. V. Zhitlukhin
We consider optimal stopping problems for a Brownian motion and a geometric Brownian motion with a "disorder", assuming that the moment of a disorder is uniformly distributed on a…