Accès libre

Planning of experiments for a nonautonomous ornstein-uhlenbeck process

À propos de cet article

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.

ISSN:
1210-3195
Langue:
Anglais
Périodicité:
3 fois par an
Sujets de la revue:
Mathematics, General Mathematics