{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,2,21]],"date-time":"2025-02-21T12:59:32Z","timestamp":1740142772576,"version":"3.37.3"},"reference-count":7,"publisher":"Informa UK Limited","license":[{"start":{"date-parts":[[2006,8,13]],"date-time":"2006-08-13T00:00:00Z","timestamp":1155427200000},"content-version":"unspecified","delay-in-days":0,"URL":"http:\/\/creativecommons.org\/licenses\/by\/3.0\/"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Applied Mathematics and Decision Sciences"],"published-print":{"date-parts":[[2006,8,13]]},"abstract":"<jats:p>We consider two Gaussian measures. In the \u201cinitial\u201d\nmeasure the state variable is Gaussian, with zero drift and\ntime-varying volatility. In the \u201ctarget measure\u201d the state\nvariable follows an Ornstein-Uhlenbeck process, with a free set of\nparameters, namely, the time-varying speed of mean reversion. We\nlook for the speed of mean reversion that minimizes the variance\nof the Radon-Nikodym derivative of the target measure with respect\nto the initial measure under a constraint on the time integral of\nthe variance of the state variable in the target measure. We show\nthat the optimal speed of mean reversion follows a Riccati\nequation. This equation can be solved analytically when the\nvolatility curve takes specific shapes. We discuss an application\nof this result to simulation, which we presented in an earlier\narticle.<\/jats:p>","DOI":"10.1155\/jamds\/2006\/95912","type":"journal-article","created":{"date-parts":[[2006,9,13]],"date-time":"2006-09-13T08:27:32Z","timestamp":1158136052000},"page":"1-9","source":"Crossref","is-referenced-by-count":0,"title":["An analytical characterization for an optimal change of Gaussian measures"],"prefix":"10.1080","volume":"2006","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-8322-9219","authenticated-orcid":true,"given":"Henry","family":"Schellhorn","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"301","reference":[{"key":"1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9965.00001"},{"key":"2","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9965.02001"},{"issue":"1","key":"3","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1214\/aoap\/1177005978","volume":"1","year":"1991","journal-title":"The Annals of Applied Probability"},{"key":"4","doi-asserted-by":"publisher","DOI":"10.1098\/rspa.2004.1366"},{"key":"6","doi-asserted-by":"publisher","DOI":"10.1137\/0304013"},{"key":"8","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9965.00093"},{"key":"11","doi-asserted-by":"publisher","DOI":"10.1214\/aop\/1042644714"}],"container-title":["Journal of Applied Mathematics and Decision Sciences"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/downloads.hindawi.com\/archive\/2006\/095912.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/downloads.hindawi.com\/archive\/2006\/095912.pdf","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,8,8]],"date-time":"2024-08-08T14:23:33Z","timestamp":1723127013000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.hindawi.com\/journals\/ads\/2006\/095912\/abs\/"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2006,8,13]]},"references-count":7,"alternative-id":["095912","95912"],"URL":"https:\/\/doi.org\/10.1155\/jamds\/2006\/95912","relation":{},"ISSN":["1173-9126","1532-7612"],"issn-type":[{"type":"print","value":"1173-9126"},{"type":"electronic","value":"1532-7612"}],"subject":[],"published":{"date-parts":[[2006,8,13]]}}}