Parameter estimation for SPDEs with multiplicative fractional noise

DOI10.1142/S0219493710003091zbMATH Open1204.62034arXiv1002.3911OpenAlexW2964282209MaRDI QIDQ3069754FDOQ3069754

Authors: Igor Cialenco 

Publication date: 19 January 2011

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Abstract: We study parameter estimation problem for diagonalizable stochastic partial differential equations driven by a multiplicative fractional noise with any Hurst parameter $Hin(0,1)$. Two classes of estimators are investigated: traditional maximum likelihood type estimators, and a new class called closed-form exact estimators. Finally the general results are applied to stochastic heat equation driven by a fractional Brownian motion.

Full work available at URL: https://arxiv.org/abs/1002.3911

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zbMATH Keywords

asymptotic normalityparameter estimationmultiplicative noisestochastic evolution equationsstochastic PDEsingular models

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Inference from stochastic processes (62M99) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Fractional processes, including fractional Brownian motion (60G22)

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Cited In (21)

• Optimal approximation of SDE's with additive fractional noise
• Parameter estimation in diagonalizable bilinear stochastic parabolic equations
• Parameter estimations for linear parabolic fractional SPDEs with jumps
• Bayesian estimations for diagonalizable bilinear SPDEs
• Parameter estimates for linear partial differential equations with fractional boundary noise
• Nonparametric estimation for i.i.d. paths of fractional SDE
• Statistical inference on the drift parameter in fractional Brownian motion with a deterministic drift
• Statistical inference for SPDEs: an overview
• Trajectory fitting estimators for SPDEs driven by additive noise
• Moderate deviation for maximum likelihood estimator in the parabolic stochastic partial differential equations driven by additive fractional Brownian motion
• Diffusivity estimation for activator-inhibitor models: theory and application to intracellular dynamics of the actin cytoskeleton
• Stochastic elastic equation driven by multiplicative multi-parameter fractional noise
• A note on error estimation for hypothesis testing problems for some linear SPDEs
• Exact variation and drift parameter estimation for the nonlinear fractional stochastic heat equation
• Parameter estimation in mixed fractional stochastic heat equation
• Nonparametric inference for a class of SPDEs driven by fractional noises
• Ergodicity and drift parameter estimation for infinite-dimensional fractional Ornstein-Uhlenbeck process of the second kind
• Parameter identification for the discretely observed geometric fractional Brownian motion
• A note on parameter estimation for discretely sampled SPDEs
• Asymptotic analysis of a kernel estimator for parabolic stochastic partial differential equations driven by fractional noises
• Drift parameter estimation for infinite-dimensional fractional Ornstein-Uhlenbeck process

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