Sampling of diffusion processes for real-time estimation
Maben Rabi, John S. Baras · 2004 43rd IEEE Conference on Decision and Control (CDC) (IEEE Cat. No.04CH37601) · 2004
This paper addresses the causal sampling of observations of a diffusion process that results in a good quality continuous estimator based upon these samples. The optimal sampling scheme with a fixed number of samples is found by solving an optimal (multiple) stopping problem. This is solved explicitly in a special case. A class of threshold approximations is also described.