Energy saving approximation of Wiener process under unilateral constraints

DOI10.1137/S0040585X97T99174XMaRDI QIDQ6441207zbMATH OpenOpenAlexFDO

Authors M. A. Lifshits, S. Nikitin

Publication date 23 June 2023

Full work available at URL https://doi.org/10.1137/s0040585x97t99174x

Mathematics Subject Classification ID

Probability theory and stochastic processes (60-XX) Computer science (68-XX)

Abstract: We consider the 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's length. We also construct an adaptive approximation strategy that is optimal in a class of diffusion strategies and also provides the logarithmic order of energy consumption.

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