Non trivial optimal sampling rate for estimating a Lipschitz-continuous function in presence of mean-reverting Ornstein-Uhlenbeck noise

Enrico Bernardi, Alberto Lanconelli, Christopher S. A. Lauria +1

We examine a mean-reverting Ornstein-Uhlenbeck process that perturbs an unknown Lipschitz-continuous drift and aim to estimate the drift's value at a predetermined time horizon by…