Hypothesis testing for stochastic PDEs driven by additive noise

DOI10.1016/j.spa.2014.09.022zbMath1307.60092arXiv1308.1900OpenAlexW2088595422MaRDI QIDQ2253846

Liaosha Xu, Igor Cialenco

Publication date: 13 February 2015

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1308.1900

zbMATH Keywords

hypothesis testingmaximum likelihood estimatorstochastic PDEscumulant generating functionadditive space-time white noisestochastic fractional heat equationlarge deviation type results

Mathematics Subject Classification ID

Large deviations (60F10) White noise theory (60H40) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Markov processes: hypothesis testing (62M02)

Related Items (6)

Deviation properties for linear self-attracting diffusion process and applications ⋮ Statistical inference for SPDEs: an overview ⋮ Drift estimation for discretely sampled SPDEs ⋮ A note on error estimation for hypothesis testing problems for some linear SPDEs ⋮ Trajectory fitting estimators for SPDEs driven by additive noise ⋮ Cramér-type moderate deviations for the likelihood ratio process of Ornstein–Uhlenbeck process with shift

Cites Work

• A note on error estimation for hypothesis testing problems for some linear SPDEs
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