A note on parameter estimation for discretely sampled SPDEs

DOI10.1142/S0219493720500161zbMATH Open1451.60063arXiv1710.01649OpenAlexW2971239531WikidataQ127324258 ScholiaQ127324258MaRDI QIDQ5114813FDOQ5114813

Igor Cialenco, Yicong Huang

Publication date: 26 June 2020

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

Abstract: We consider a parameter estimation problem for one dimensional stochastic heat equations, when data is sampled discretely in time or spatial component. We prove that, the real valued parameter next to the Laplacian (the drift), and the constant parameter in front of the noise (the volatility) can be consistently estimated under somewhat surprisingly minimal information. Namely, it is enough to observe the solution at a fixed time and on a discrete spatial grid, or at a fixed space point and at discrete time instances of a finite interval, assuming that the mesh-size goes to zero. The proposed estimators have the same form and asymptotic properties regardless of the nature of the domain - bounded domain or whole space. The derivation of the estimators and the proofs of their asymptotic properties are based on computations of power variations of some relevant stochastic processes. We use elements of Malliavin calculus to establish the asymptotic normality properties in the case of bounded domain. We also discuss the joint estimation problem of the drift and volatility coefficient. We conclude with some numerical experiments that illustrate the obtained theoretical results.

Full work available at URL: https://arxiv.org/abs/1710.01649

zbMATH Keywords

Malliavin calculusstochastic heat equationpower variationdiscrete sampling\(p\)-variationinverse problems for SPDEsstatistics for SPDEs

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Navier-Stokes equations (35Q30) Numerical solution of inverse problems involving ordinary differential equations (65L09)

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Cited In (34)

• Adaptive estimator for a parabolic linear SPDE with a small noise
• Parametric estimation for a parabolic linear SPDE model based on discrete observations
• Statistical analysis of some evolution equations driven by space-only noise
• Parameter Estimation in an SPDE Model for Cell Repolarization
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