Mathematics and Statistics Vol. 2(3), pp. 142 - 146
DOI: 10.13189/ms.2014.020306
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On the Optimization Problem of Stochastic Observations of Random Walks

Alexander A. Butov ^*
Faculty of Mathematics and Information technologies of Ulyanovsk State University, Ulyanovsk, Russian Federation

ABSTRACT

The optimal control problem for the intensity of observation events of the process of random walk is considered for the case of counting Poisson process in semimartingale terms. The linear function of the intensity as a cost of observations and the expected value of the quadratic form of errors of estimation as a cost of an error are reckoned in a loss function. The analogues result for the problem of the optimal intensity of stochastic approximation is presented.

KEYWORDS
Random Walk, Poisson Process, Optimal Control, Estimation, Semimartingale

Cite This Paper in IEEE or APA Citation Styles
(a). IEEE Format:
[1] Alexander A. Butov , "On the Optimization Problem of Stochastic Observations of Random Walks," Mathematics and Statistics, Vol. 2, No. 3, pp. 142 - 146, 2014. DOI: 10.13189/ms.2014.020306.

(b). APA Format:
Alexander A. Butov (2014). On the Optimization Problem of Stochastic Observations of Random Walks. Mathematics and Statistics, 2(3), 142 - 146. DOI: 10.13189/ms.2014.020306.