Mathematical modelling of optimal control of the episodically observed process

M. S. Gavrilova

Ulyanovsk State University, Ulyanovsk, Russia

Abstract: In the paper the mathematical method for solving the problem of finding the optimal intensity of observations for the episodically observed process is considered. The proposed method is based on the theory of martingales. The theorem on the optimal intensity of the Poisson process in the problem of minimizing the objective functional is proved. The results obtained can be used in various fields of science, including biology and medicine.

Keywords: random process, observations, Poisson process, intensity, optimization, Ito’s Formula, martingale.

UDC: 519.216.2

Received: 22.05.2020
Revised: 22.05.2020
Accepted: 31.05.2020