Energy saving approximation of Wiener process under unilateral constraints

M. A. Lifshits; S. E. Nikitin

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arXiv · 2306.13305

Energy saving approximation of Wiener process under unilateral constraints

M. A. Lifshits·S. E. Nikitin

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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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M. A. Lifshits, S. E. Nikitin. 2023-06-23. Energy saving approximation of Wiener process under unilateral constraints. https://arxiv.org/abs/2306.13305

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