Estimation of the Hurst and diffusion parameters in fractional stochastic heat equation

DOI10.1090/TPMS/1145zbMATH Open1470.60175OpenAlexW3204376385MaRDI QIDQ5153151FDOQ5153151

Authors: D. A. Avetisian, K. V. Ral'chenko 

Publication date: 29 September 2021

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/tpms/1145

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zbMATH Keywords

asymptotic normalitystrong consistencyfractional Brownian motionstochastic partial differential equation

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) PDEs with randomness, stochastic partial differential equations (35R60)

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Cited In (10)

• Ergodic properties of the solution to a fractional stochastic heat equation, with an application to diffusion parameter estimation
• Statistical estimates of parameters of the heat equation with random initial conditions
• Parameter estimation for the fractional fractal diffusion model based on its numerical solution
• Parameter estimation for SPDEs with multiplicative fractional noise
• Parameter estimation for the stochastic heat equation with multiplicative noise from local measurements
• Estimation of the drift parameter for the fractional stochastic heat equation via power variation
• Parameter estimation for discretely sampled stochastic heat equation driven by space-only noise
• Parameter estimation in mixed fractional stochastic heat equation
• Title not available (Why is that?)
• Estimation of diffusion parameter for stochastic heat equation with white noise

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