We study exact optimal designs for processes governed by mean-reversion stochastic differential equations with a time dependent volatility and known mean-reversion speed. It turns out that any mean-reversion Itō process has a product covariance structure. We prove the existence of a nondegenerate optimal sampling design for the parameter estimation and derive the information matrix corresponding to the observation of the full path. The results are demonstrated on a process with exponential volatility.
@article{159,
title = {Planning Planning of experiments for a nonautonomous Ornstein-Uhlenbeck process},
journal = {Tatra Mountains Mathematical Publications},
volume = {51},
year = {2012},
doi = {10.2478/tatra.v51i1.159},
language = {EN},
url = {http://dml.mathdoc.fr/item/159}
}
Lacko, Vladimír. Planning Planning of experiments for a nonautonomous Ornstein-Uhlenbeck process. Tatra Mountains Mathematical Publications, Tome 51 (2012) . doi : 10.2478/tatra.v51i1.159. http://gdmltest.u-ga.fr/item/159/