Parameter estimation in mixed fractional stochastic heat equation (Q6157633)

The paper is devoted to parameter estimation in a stochastic heat equation of the following form: \[ \left(\frac{\partial u}{\partial t}-\frac12\frac{\partial^2 u}{\partial x^2}\right)(t,x)=\sigma \dot{B}^H_x+k\dot{W}_x,\ t>0,\ x\in \mathbb{R}, \] \(u(0,x)\) equals zero at any point \(x\). The right-hand side of equation is a mixed fractional noise. It consists of two independent stochastic processes, namely, a fractional Brownian motion \(B^H\) with Hurst parameter \(H\in (0, 1)\) and a Wiener process \(W\). Coefficients \(\sigma\) and \(\kappa\) are some positive numbers. The solution is understood in the mild sense. The goal of the paper is to estimate unknown parameters \(H, \sigma, \kappa\) by discrete observations of the solution \(u(t, x)\). The authors start with proving stationarity and ergodicity of the solution \(u(t, x)\) as a function of the spatial variable \(x\) by analyzing the behavior of the covariance function. Based on these results, they construct a strongly consistent estimator of \(H\) (assuming that the parameters \(\sigma\) and \(\kappa\) are unknown). The asymptotic normality of this estimator is proved for any \( H\in(0, \frac12)\cup(\frac12 , \frac34).\) Then the problem of estimating the couple of parameters \((\sigma, \kappa)\) when the value of \(H\) is known, is studied. The authors prove strong consistency of the estimator and investigate its asymptotic normality.