Sampling of Diffusion Processes for Real-Time Estimation

M.Rabi and J.S. Baras

43rd IEEE Conference on Decision and Control, Atlantis, Paradise Island, Bahamas, 14-17 Dec. 2004.

Abstract

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.