Exact variations for stochastic heat equations with piecewise constant coefficients and application to parameter estimation
DOI10.1090/TPMS/1099zbMATH Open1454.60100OpenAlexW3047240863MaRDI QIDQ5117964FDOQ5117964
Publication date: 26 August 2020
Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1090/tpms/1099
stochastic partial differential equationsspecial functionsestimation of parametersquartic and quadratic variations
Point estimation (62F10) Gaussian processes (60G15) Random fields (60G60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Second-order parabolic equations (35K10) PDEs with low regular coefficients and/or low regular data (35R05) Sample path properties (60G17) Incomplete beta and gamma functions (error functions, probability integral, Fresnel integrals) (33B20)
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Cited In (8)
- On mild and weak solutions for stochastic heat equations with piecewise-constant conductivity
- Spatial quadratic variations for the solution to a stochastic partial differential equation with elliptic divergence form operator
- Quadratic variation and drift parameter estimation for the stochastic wave equation with space-time white noise
- Estimation of the drift parameter for the fractional stochastic heat equation via power variation
- Fractional stochastic heat equation with piecewise constant coefficients
- Exact variation and drift parameter estimation for the nonlinear fractional stochastic heat equation
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- Stochastic heat equation with piecewise constant coefficients and generalized fractional type noise
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