  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 hypothesis that the drift is positive versus the
alternative that it is negative. We show that the problem of constructing the
test reduces to an optimal stopping problem for a standard Brownian motion,
obtained by a transformation of the fractional one. The solution is described
as the first exit time from some set, whose boundaries are shown to satisfy a
certain integral equation, which is solved numerically.
