Drift estimation for discretely sampled SPDEs

DOI10.1007/s40072-019-00164-4zbMath1455.60081arXiv1904.10884OpenAlexW2999461418WikidataQ126387007 ScholiaQ126387007MaRDI QIDQ2219508

Igor Cialenco, Francisco J. Delgado-Vences, Hyun-Jung Kim

Publication date: 20 January 2021

Published in: Stochastic and Partial Differential Equations. Analysis and Computations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1904.10884

zbMATH Keywords

stochastic evolution equationsfractional stochastic heat equationdiscrete samplinghigh-frequency samplingdrift estimationparabolic SPDEstatistical inference for SPDEs

Mathematics Subject Classification ID

Inference from stochastic processes (62M99) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical solution of inverse problems involving ordinary differential equations (65L09)

Related Items (13)

Adaptive estimator for a parabolic linear SPDE with a small noise ⋮ Parametric estimation for a parabolic linear SPDE model based on discrete observations ⋮ Pathwise least-squares estimator for linear SPDEs with additive fractional noise ⋮ Statistical inference for a stochastic wave equation with Malliavin–Stein method ⋮ Parameter estimation for semilinear SPDEs from local measurements ⋮ Exact variation and drift parameter estimation for the nonlinear fractional stochastic heat equation ⋮ Parameter estimation for linear parabolic SPDEs in two space dimensions based on high frequency data ⋮ Parameter estimation for a linear parabolic SPDE model in two space dimensions with a small noise ⋮ Unnamed Item ⋮ Estimation of the Hurst and diffusion parameters in fractional stochastic heat equation ⋮ Diffusivity estimation for activator-inhibitor models: theory and application to intracellular dynamics of the actin cytoskeleton ⋮ Drift estimation for stochastic reaction-diffusion systems ⋮ Parameter estimation for discretely sampled stochastic heat equation driven by space-only noise

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