Parameter estimation for SPDEs with multiplicative fractional noise

DOI10.1142/S0219493710003091MaRDI QIDQ3069754zbMATHOpenAlexFDO

Authors Igor Cialenco

Publication date 19 January 2011

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

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

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)

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.

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Cited in

(25)

• Bayesian estimations for diagonalizable bilinear SPDEs
• 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
• Parameter estimation for the stochastic heat equation with multiplicative noise from local measurements
• Ergodicity and drift parameter estimation for infinite-dimensional fractional Ornstein-Uhlenbeck process of the second kind
• 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
• Statistical inference on the drift parameter in fractional Brownian motion with a deterministic drift
• Exact variation and drift parameter estimation for the nonlinear fractional stochastic heat equation
• Optimal approximation of SDE's with additive fractional noise
• Parameter estimation in diagonalizable bilinear stochastic parabolic equations
• Pathwise least-squares estimator for linear SPDEs with additive fractional noise
• Parameter estimation in mixed fractional stochastic heat equation
• Deep learning-based parameter estimation of stochastic differential equations driven by fractional Brownian motions with measurement noise
• Statistical inference for SPDEs: an overview
• On the sieve estimator for fractional SPDEs from discrete observations
• Nonparametric estimation for i.i.d. paths of fractional SDE
• Parameter estimates for linear partial differential equations with fractional boundary noise
• A note on parameter estimation for discretely sampled SPDEs
• Parameter identification for the discretely observed geometric fractional Brownian motion
• Drift parameter estimation for infinite-dimensional fractional Ornstein-Uhlenbeck process
• A note on error estimation for hypothesis testing problems for some linear SPDEs
• Asymptotic analysis of a kernel estimator for parabolic stochastic partial differential equations driven by fractional noises
• Parameter estimations for linear parabolic fractional SPDEs with jumps
• Nonparametric inference for a class of SPDEs driven by fractional noises

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