Quadratic variation and drift parameter estimation for the stochastic wave equation with space-time white noise

DOI10.1142/S0219493722400147OpenAlexW4225146192MaRDI QIDQ5876561FDOQ5876561

Authors: Obayda Assaad, Ciprian A. Tudor 

Publication date: 1 February 2023

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

Full work available at URL: https://doi.org/10.1142/s0219493722400147

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zbMATH Keywords

central limit theoremquadratic variationWiener chaosstochastic wave equationdrift parameter estimationStein-Malliavin calculus

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic integrals (60H05) Self-similar stochastic processes (60G18)

Cites Work

• The Malliavin Calculus and Related Topics
• Stein's method on Wiener chaos
• Normal approximations with Malliavin calculus. From Stein's method to universality
• Central limit theorems for multiple stochastic integrals and Malliavin calculus
• The optimal fourth moment theorem
• Variations of the solution to a stochastic heat equation
• Parameter Estimates and Exact Variations for Stochastic Heat Equations Driven by Space-Time White Noise
• Statistical inference for stochastic parabolic equations: a spectral approach
• Quadratic variations for the fractional-colored stochastic heat equation
• Likelihood inference for a discretely observed stochastic partial differential equation
• Statistical inference for SPDEs: an overview
• Volatility estimation for stochastic PDEs using high-frequency observations
• A note on parameter estimation for discretely sampled SPDEs
• Correlation structure, quadratic variations and parameter estimation for the solution to the wave equation with fractional noise
• Spatial variation for the solution to the stochastic linear wave equation driven by additive space-time white noise
• Exact variations for stochastic heat equations with piecewise constant coefficients and application to parameter estimation
• Parameter estimation for stochastic wave equation based on observation window
• Estimating Speed and Damping in the Stochastic Wave Equation
• Estimation of the drift parameter for the fractional stochastic heat equation via power variation
• On central limit theorems for power variations of the solution to the stochastic heat equation
• Generalized \(k\)-variations and Hurst parameter estimation for the fractional wave equation via Malliavin calculus
• Wavelet analysis for the solution to the wave equation with fractional noise in time and white noise in space

Cited In (9)

• Estimation of quadratic variation for two-parameter diffusions
• On quadratic variations for the fractional-white wave equation
• AR(1) processes driven by second-chaos white noise: Berry-Esséen bounds for quadratic variation and parameter estimation
• Parameter Estimates and Exact Variations for Stochastic Heat Equations Driven by Space-Time White Noise
• Wavelet analysis for the solution to the wave equation with fractional noise in time and white noise in space
• Parameter estimation for stochastic wave equation based on observation window
• Generalized \(k\)-variations and Hurst parameter estimation for the fractional wave equation via Malliavin calculus
• Correlation structure, quadratic variations and parameter estimation for the solution to the wave equation with fractional noise
• Spatial variation for the solution to the stochastic linear wave equation driven by additive space-time white noise

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