Asymptotic expansion for the quadratic variations of the solution to the heat equation with additive white noise

DOI10.1142/S0219493721500106MaRDI QIDQ4965645zbMATH OpenOpenAlexFDO

Authors Héctor Araya, Ciprian A. Tudor

Publication date 9 March 2021

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

Full work available at URL https://doi.org/10.1142/s0219493721500106

zbMATH Keywords

asymptotic expansionMalliavin calculuscentral limit theoremquadratic variationstochastic heat equationfourth moment theorem

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Central limit and other weak theorems (60F05) Sequential estimation (62L12) Heat equation (35K05) White noise theory (60H40)

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Cites work

• scientific article; zbMATH DE number 2149887 (Why is no real title available?)
• Analysis of variations for self-similar processes. A stochastic calculus approach
• Asymptotic expansion for vector-valued sequences of random variables with focus on Wiener chaos
• Asymptotic expansions and bootstrapping distributions for dependent variables: A martingale approach
• Central limit theorem for the solution to the heat equation with moving time
• Central limit theorems for sequences of multiple stochastic integrals
• Malliavin calculus and martingale expansion
• Martingale expansion in mixed normal limit
• Normal approximations with Malliavin calculus. From Stein's method to universality
• Parameter Estimates and Exact Variations for Stochastic Heat Equations Driven by Space-Time White Noise
• Recent developments on stochastic heat equation with additive fractional-colored noise
• Spatial variations for the solution to the heat equation with additive time-space white noise
• The Malliavin Calculus and Related Topics
• Variations of the solution to a stochastic heat equation

Cited in

(5)

• Pathwise analysis and parameter estimation for the stochastic Burgers equation
• Long time existence for the heat equation with a spatially correlated noise term
• Spatial variations for the solution to the heat equation with additive time-space white noise
• On Besov regularity and local time of the solution to the stochastic heat equation
• High-dimensional regime for Wishart matrices based on the increments of the solution to the stochastic heat equation

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