Estimation of the drift parameter for the fractional stochastic heat equation via power variation
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Publication:2178923
\(q\) variationdrift parameter estimationfractional Brownian motionfractional Laplacianstochastic heat equation
Fractional partial differential equations (35R11) PDEs with randomness, stochastic partial differential equations (35R60) Gaussian processes (60G15) Self-similar stochastic processes (60G18) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Non-Markovian processes: estimation (62M09)
Abstract: We define power variation estimators for the drift parameter of the stochastic heat equation with the fractional Laplacian and an additive Gaussian noise which is white in time and white or correlated in space. We prove that these estimators are consistent and asymptotically normal and we derive their rate of convergence under the Wasserstein metric.
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Cited in
(21)- Diffusivity estimation for activator-inhibitor models: theory and application to intracellular dynamics of the actin cytoskeleton
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