Ergodicity and parameter estimates for Infinite-dimensional fractional Ornstein-Uhlenbeck process (Q1021254): Difference between revisions

The authors consider a linear stochastic evolution equations in Hilbert spaces. The driving process is a cylindrical fractional Brownian motion with Hurst parameter \(H \in (0,1)\). It is shown that if the semigroup is exponentially stable there exists a strictly stationary solution and that this stationary solution is ergodic. Using these results parameter-dependent equations are considered with a multiplicative parameter in the drift. Based on these ergodic theorems the strong consistency of two families of estimators is proved. Finally, the authors apply these general results to two particular cases: linear stochastic heat and wave equations with fractional noise.