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Sequential tracking of an unobservable two-state Markov process under Brownian noise
We consider an optimal control problem, where a Brownian motion with dri...
08/03/2019 ∙ by Alexey Muravlev, et al. ∙
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A Bayesian sequential test for the drift of a fractional Brownian motion
We consider a fractional Brownian motion with unknown linear drift such ...
04/08/2018 ∙ by Alexey Muravlev, et al. ∙
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