A note on parameter estimation for discretely sampled SPDEs

DOI10.1142/S0219493720500161MaRDI QIDQ5114813zbMATH OpenOpenAlexWikidataFDO

Authors Igor Cialenco, Yicong Huang

Publication date 26 June 2020

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

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

zbMATH Keywords

\(p\)-variationdiscrete samplinginverse problems for SPDEsMalliavin calculuspower variationstatistics for SPDEsstochastic heat equation

Mathematics Subject Classification ID

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

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.

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Cited in

(43)

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