Bayesian Sequential Estimation of a Drift of Fractional Brownian Motion

Taylor & Francis
Publication Type:
Journal Article
Sequential Analysis: Design Methods and Applications, 2013, 32 (3), pp. 288 - 296
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We solve explicitly a Bayesian sequential estimation problem for the drift parameter of a fractional Brownian motion under the assumptions that a prior density of is Gaussian and that a penalty function is quadratic or Dirac-delta. The optimal stopping time for this case is deterministic. Keywords: Fractional Brownian motion; Penalty function; Sequential estimation. Subject Classifications: 62L12; 62F15; 60G22.
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