Geodesic
On optimal sequential estimation procedures for non-quadratic loss functions
Teoriâ veroâtnostej i ee primeneniâ, Tome 23 (1978) no. 1, pp. 137-143

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A problem of sequential estimation of a parameter $\theta\in R^1$ is considered for the loss function $(d-\theta)^\alpha$ in the case of discrete as well as continuous time. 
@article{TVP_1978_23_1_a10,
     author = {M. S. Tihov},
     title = {On optimal sequential estimation procedures for non-quadratic loss functions},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
     pages = {137--143},
     publisher = {mathdoc},
     volume = {23},
     number = {1},
     year = {1978},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/TVP_1978_23_1_a10/}
}
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M. S. Tihov. On optimal sequential estimation procedures for non-quadratic loss functions. Teoriâ veroâtnostej i ee primeneniâ, Tome 23 (1978) no. 1, pp. 137-143. http://geodesic.mathdoc.fr/item/TVP_1978_23_1_a10/