Planning of experiments for a nonautonomous ornstein-uhlenbeck process

Vladimír Lacko

doi:10.2478/v10127-012-0011-2

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Planning of experiments for a nonautonomous ornstein-uhlenbeck process

Tatra Mountains Mathematical Publications

Volume 51 (2012): Issue 1 (April 2012)

By: Vladimír Lacko

Open Access

|Nov 2012

Abstract

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 It¯o 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.

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