具有控制和任意停止的序列估计问题

IF 1 2区数学 Q3 STATISTICS & PROBABILITY Probability Uncertainty and Quantitative Risk Pub Date : 2021-10-27 DOI:10.3934/puqr.2022011

Erik Ekstrom, I. Karatzas

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引用次数: 1

摘要

我们表明，对于在白噪声中观察到的随机量，“全爆炸”控制在结合了(i)顺序最小二乘估计和贝叶斯更新特征的问题中是最优的;(ii)以单位时间的超二次代价对观测值的接收速率进行有界控制;(iii)“快速”任意停车。在这种情况下，我们还开发了最优过滤和停止规则。

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A sequential estimation problem with control and discretionary stopping

We show that “full-bang” control is optimal in a problem which combines features of (i) sequential least-squares estimation with Bayesian updating, for a random quantity observed in a bath of white noise; (ii) bounded control of the rate at which observations are received, with a superquadratic cost per unit time; and (iii) “fast” discretionary stopping. We develop also the optimal filtering and stopping rules in this context.

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来源期刊

Probability Uncertainty and Quantitative Risk STATISTICS & PROBABILITY-

CiteScore

1.60

自引率

13.30%

发文量

审稿时长

12 weeks

期刊介绍： Probability, Uncertainty and Quantitative Risk (PUQR) is a quarterly academic journal under the supervision of the Ministry of Education of the People's Republic of China and hosted by Shandong University, which is open to the public at home and abroad (ISSN 2095-9672; CN 37-1505/O1). Probability, Uncertainty and Quantitative Risk (PUQR) mainly reports on the major developments in modern probability theory, covering stochastic analysis and statistics, stochastic processes, dynamical analysis and control theory, and their applications in the fields of finance, economics, biology, and computer science. The journal is currently indexed in ESCI, Scopus, Mathematical Reviews, zbMATH Open and other databases.

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