Speaking of O'Brian, I just read "21" last weekend, and as with the case of Dorothy Dunnett and the missing last Johnson Johnson book (of which even less, that is to say nothing at all, exists) it seems somehow impossible to believe that this really is The End, and there will never be any more canon, and that if you want to know what happened to the characters you are just going to have to make it up in your own head.
But making it up just isn't satisfactory, not with either of those two authors. They're too singular, too inimitable. If JKR were to unexpectedly shuffle off this mortal coil (though I fervently hope she doesn't!) and leave the HP series unfinished, I think I might eventually find some fanfic or other, or if necessary write one myself, that would give me a sense of closure. But not with O'Brian or Dunnett.