Browsing Closed by Author "Shiryaev, Albert"

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Browsing Closed by Author "Shiryaev, Albert"

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  • Cetin, U.; Novikov, Alex; Shiryaev, Albert (Taylor & Francis, 2013)
    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 ...
  • Shiryaev, Albert; Novikov, Alex (Oldenbourg Wissenschaftsverlag GmbH, 2009)
    The paper deals with the problem of finding an optimal one-time rebalancing strategy assuming that in the Blacka??Scholes model the drift term of the stock may change its value spontaneously at some random non-observable ...