On central limit theorems for power variations of the solution to the stochastic heat equation

DOI10.1007/978-3-030-28665-1_5MaRDI QIDQ2179550zbMATH OpenOpenAlexFDO

Authors Markus Bibinger, Mathias Trabs

Publication date 13 May 2020

Full work available at URL https://arxiv.org/abs/1901.01026

zbMATH Keywords

central limit theoremmixingpower variationsstochastic partial differential equation

Mathematics Subject Classification ID

Heat equation (35K05) PDEs with randomness, stochastic partial differential equations (35R60) Central limit and other weak theorems (60F05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Abstract: We consider the stochastic heat equation whose solution is observed discretely in space and time. An asymptotic analysis of power variations is presented including the proof of a central limit theorem. It generalizes the theory from arXiv:1710.03519 in several directions.

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• Central limit theorems for spatial averages of the stochastic heat equation via Malliavin-Stein's method
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• Temporal quadratic and higher order variation for the nonlinear stochastic heat equation and applications to parameter estimation
• Quadratic variation for the solution of the nonlinear stochastic wave equation
• Parameter estimation for stochastic fractional pseudo-parabolic equations
• Parameter estimation from local measurements for a class of stochastic Burgers equations

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