Parameter estimation for stochastic partial differential equations of second order
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PDEs with randomness, stochastic partial differential equations (35R60) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Point estimation (62F10) Markov processes: estimation; hidden Markov models (62M05) 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
- 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
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Cited in
(13)- Certain estimation problems for stochastic partial differential equations.
- Second-order stochastic differential equation model as an alternative for the ALT and CALT models
- Parameter estimation for stochastic parabolic equations: Asymptotic properties of a two-dimensional projection-based estimator
- Parameter estimation for stochastic wave equation based on observation window
- Improving the approximation of the first- and second-order statistics of the response stochastic process to the random Legendre differential equation
- Estimation problems for coefficients of stochastic partial differential equations. II
- On minimum-contrast estimation for hilbert space-valued stochastic differential equations
- Minimum distance estimator for a hyperbolic stochastic partial differentialequation
- Bayesian estimation of a class of second-order stochastic differential equations
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- Non-parametric estimation for the stochastic wave equation
- Cramér-type moderate deviations of drift estimation in the stochastic heat equation
- Parameter estimates for linear partial differential equations with fractional boundary noise
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