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Consistent Estimation of Randomly Sampled Ornstein-Uhlenbeck Process Long-Run Mean for Long-Term Target State Prediction.

Leonardo Maria MillefioriPaolo BracaPeter Willett
Published in: IEEE Signal Process. Lett. (2016)
Keyphrases
  • long run
  • long term
  • heavy traffic
  • short run
  • randomly sampled
  • expected cost
  • ornstein uhlenbeck
  • short term
  • brownian motion
  • state space
  • control policy