Sampling of Diffusion Processes for Real-Time Estimation
Baras, John, S.
Date: December 14 - December 17, 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.