Exact variations for stochastic heat equations with piecewise constant coefficients and application to parameter estimation

DOI10.1090/TPMS/1099MaRDI QIDQ5117964zbMATH OpenOpenAlexFDO

Authors Mounir Zili, Eya Zougar

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

zbMATH Keywords

stochastic partial differential equationsspecial functionsestimation of parametersquartic and quadratic variations

Mathematics Subject Classification ID

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

(9)

• 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
• Parameter Estimates and Exact Variations for Stochastic Heat Equations Driven by Space-Time White Noise
• 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
• Stochastic heat equation with piecewise constant coefficients and generalized fractional type noise
• scientific article; zbMATH DE number 7709546 (Why is no real title available?)

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