Sequential tracking of an unobservable two-state Markov process under Brownian noise

Autor:	Muravlev, Alexey, Urusov, Mikhail, Zhitlukhin, Mikhail
Rok vydání:	2019
Předmět:	Mathematics - Probability Mathematics - Statistics Theory 62L10 62L15 60G40
Druh dokumentu:	Working Paper
Popis:	We consider an optimal control problem, where a Brownian motion with drift is sequentially observed, and the sign of the drift coefficient changes at jump times of a symmetric two-state Markov process. The Markov process itself is not observable, and the problem consist in finding a {-1,1}-valued process that tracks the unobservable process as close as possible. We present an explicit construction of such a process. Comment: 18 pages
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1908.01162 Zobrazit plný text záznamu View this record from Arxiv