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

DOI10.1090/TPMS/1145MaRDI QIDQ5153151zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

asymptotic normalityfractional Brownian motionstochastic partial differential equationstrong consistency

Mathematics Subject Classification ID

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

Recommendations

• Parameter estimation in mixed fractional stochastic heat equation
• Ergodic properties of the solution to a fractional stochastic heat equation, with an application to diffusion parameter estimation
• Hurst index estimation in stochastic differential equations driven by fractional Brownian motion
• On estimations for the parameters of fractional diffusion models and their applications
• Parameter estimation in fractional diffusion models
• Exact variation and drift parameter estimation for the nonlinear fractional stochastic heat equation
• Parameter estimation of stochastic differential equation driven by small fractional noise
• Estimation of the Hurst parameter in some fractional processes
• Inference on the Hurst parameter and the variance of diffusions driven by fractional Brownian motion
• Estimation of the drift parameter for the fractional stochastic heat equation via power variation

Cites work

• A note on parameter estimation for discretely sampled SPDEs
• Central limit theorems for non-linear functionals of Gaussian fields
• Convergence of integrated processes of arbitrary Hermite rank
• Differentiability of the Feynman-Kac semigroup and a control application
• Drift estimation for discretely sampled SPDEs
• Ergodic properties of the solution to a fractional stochastic heat equation, with an application to diffusion parameter estimation
• Estimation of diffusion parameter for stochastic heat equation with white noise
• Estimation of the drift parameter for the fractional stochastic heat equation via power variation
• Evolution equations driven by a fractional Brownian motion
• Existence and uniqueness of a mild solution to the stochastic heat equation with white and fractional noises
• Existence and uniqueness of mild solution to fractional stochastic heat equation
• High-frequency analysis of parabolic stochastic PDEs
• scientific article; zbMATH DE number 3984248 (Why is no real title available?)
• scientific article; zbMATH DE number 967304 (Why is no real title available?)
• Limit theorems for non-linear functionals of Gaussian sequences
• Limit theorems for nonlinear functionals of a stationary Gaussian sequence of vectors
• MODELING TERM STRUCTURE DYNAMICS: AN INFINITE DIMENSIONAL APPROACH
• Non-central limit theorems for non-linear functional of Gaussian fields
• On central limit theorems for power variations of the solution to the stochastic heat equation
• Parameter Estimation of Parabolic Type Factor Model and Empirical Study of US Treasury Bonds
• Parametric estimation for a parabolic linear SPDE model based on discrete observations
• Qualitative behavior of geostochastic systems
• Statistical analysis of some evolution equations driven by space-only noise
• Stochastic evolution equations with fractional Brownian motion
• Stochastic evolution systems. Linear theory and applications to non-linear filtering
• Stochastic heat equation driven by fractional noise and local time
• STOCHASTIC HYPERBOLIC DYNAMICS FOR INFINITE‐DIMENSIONAL FORWARD RATES AND OPTION PRICING
• Stochastic model of population growth and spread
• Stochastic partial differential equations
• Stochastic partial differential equations driven by purely spatial noise
• Stochastic quantification of missing mechanisms in dynamical systems
• Volatility estimation for stochastic PDEs using high-frequency observations
• Young integrals and SPDEs

Cited in

(11)

• Parameter estimation for the fractional fractal diffusion model based on its numerical solution
• Parameter estimation for discretely sampled stochastic heat equation driven by space-only noise
• Estimation of the drift parameter for the fractional stochastic heat equation via power variation
• 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 SPDEs with multiplicative fractional noise
• Estimation of diffusion parameter for stochastic heat equation with white noise
• Parameter estimation in mixed fractional stochastic heat equation
• scientific article; zbMATH DE number 7709546 (Why is no real title available?)
• Parameter estimation for the stochastic heat equation with multiplicative noise from local measurements
• Parameter estimation of Burgers equations driven by white-colored noise

This page was built for publication: Estimation of the Hurst and diffusion parameters in fractional stochastic heat equation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5153151)