Abstract
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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