Parameter estimation for stochastic partial differential equations of second order

DOI10.1007/S00245-018-9506-9MaRDI QIDQ781562zbMATH OpenOpenAlexFDO

Authors Josef Janák

Publication date 17 July 2020

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1806.04045

zbMATH Keywords

asymptotic normalityparameter estimationstrong consistency

Mathematics Subject Classification ID

Point estimation (62F10) Markov processes: estimation; hidden Markov models (62M05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Signal detection and filtering (aspects of stochastic processes) (60G35) PDEs with randomness, stochastic partial differential equations (35R60) Estimation and detection in stochastic control theory (93E10)

Abstract: Stochastic partial differential equations of second order with two unknown parameters are studied. Based on ergodicity, two suitable families of minimum constrast estimators are introduced. Strong consistency and asymptotic normality of estimators are proved. The results are applied to hyperbolic equations perturbed by Brownian noise.

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Cites work

• scientific article; zbMATH DE number 4020990 (Why is no real title available?)
• Asymptotic statistical inference for a stochastic heat flow problem
• Drift parameter estimation for infinite-dimensional fractional Ornstein-Uhlenbeck process
• Ergodicity and parameter estimates for Infinite-dimensional fractional Ornstein-Uhlenbeck process
• Parameter estimation in stochastic differential equations.
• Simulation and inference for stochastic differential equations. With R examples.
• Statistical aspects of the fractional stochastic calculus
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• Stochastic Equations in Infinite Dimensions

Cited in

(11)

• Certain estimation problems for stochastic partial differential equations.
• Bayesian estimation of a class of second-order stochastic differential equations
• Parameter estimates for linear partial differential equations with fractional boundary noise
• Second-order stochastic differential equation model as an alternative for the ALT and CALT models
• Statistical inference for a stochastic wave equation with Malliavin–Stein method
• Estimation problems for coefficients of stochastic partial differential equations. II
• Parameter estimation for stochastic wave equation based on observation window
• Minimum distance estimator for a hyperbolic stochastic partial differentialequation
• Improving the approximation of the first- and second-order statistics of the response stochastic process to the random Legendre differential equation
• On minimum-contrast estimation for hilbert space-valued stochastic differential equations
• Parameter estimation for stochastic parabolic equations: Asymptotic properties of a two-dimensional projection-based estimator

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