RUS  ENG
Full version
JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 2024 Volume 69, Issue 1, Pages 76–90 (Mi tvp5664)

Energy saving approximation of Wiener process under unilateral constraints

M. A. Lifshits, S. E. Nikitin

Saint Petersburg State University

Abstract: We consider an energy saving approximation of a Wiener process under unilateral constraints. We show that, almost surely, on large time intervals the minimal energy necessary for the approximation logarithmically depends on the interval length. We also construct an adaptive approximation strategy optimal in a class of diffusion strategies and providing the logarithmic order of energy consumption.

Keywords: Wiener process, Markovian pursuit strategy, concave majorant.

Received: 23.06.2023

DOI: 10.4213/tvp5664


 English version:
Theory of Probability and its Applications, 2024, 69:1, 59–70

Bibliographic databases:


© Steklov Math. Inst. of RAS, 2024