Parameter estimation in diagonalizable bilinear stochastic parabolic equations

DOI10.1007/S11203-008-9031-6MaRDI QIDQ625294zbMATH OpenOpenAlexFDO

Authors Igor Cialenco, S. V. Lototsky

Publication date 15 February 2011

Published in Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0709.1135

zbMATH Keywords

multiplicative noiseSPDEregular modelssingular models

Mathematics Subject Classification ID

Point estimation (62F10) Inference from stochastic processes (62M99) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Abstract: A parameter estimation problem is considered for a stochastic parabolic equation with multiplicative noise under the assumption that the equation can be reduced to an infinite system of uncoupled diffusion processes. From the point of view of classical statistics, this problem turns out to be singular not only for the original infinite-dimensional system but also for most finite-dimensional projections. This singularity can be exploited to improve the rate of convergence of traditional estimators as well as to construct completely new closed-form exact estimator.

Recommendations

• Statistical inference for stochastic parabolic equations: a spectral approach
• Infinite dimensional parameter identification for stochastic parabolic systems
• Parameter estimation for SPDEs with multiplicative fractional noise
• Parameter estimation for stochastic parabolic equations: Asymptotic properties of a two-dimensional projection-based estimator
• Certain estimation problems for stochastic partial differential equations.

Cites work

• scientific article; zbMATH DE number 1637290 (Why is no real title available?)
• scientific article; zbMATH DE number 1304730 (Why is no real title available?)
• Forward interest rate curves in discrete time settings driven by random fields
• MODELING TERM STRUCTURE DYNAMICS: AN INFINITE DIMENSIONAL APPROACH
• On asymptotic problems of parameter estimation in stochastic PDE's: Discrete time sampling
• On asymptotic properties of maximum likelihood estimators for parabolic stochastic PDE's
• On the estimation of parameters for linear stochastic differential equations
• Parameter estimation for stochastic parabolic equations: Asymptotic properties of a two-dimensional projection-based estimator
• Parameter identification in infinte dimensional linear systems
• Random evolution equations in hydrology
• Regularized Maximum Likelihood Estimate for an Infinite-Dimensional Parameter in Stochastic Parabolic Systems
• Relative dispersion in 2D stochastic flows
• Spectral asymptotics of some functionals arising in statistical inference for SPDEs
• The top Lyapunov exponent for a stochastic flow modeling the upper ocean turbulence
• Wiener chaos solutions of linear stochastic evolution equations

Cited in

(17)

• Statistical analysis of some evolution equations driven by space-only noise
• Hypothesis testing for stochastic PDEs driven by additive noise
• Bayesian estimations for diagonalizable bilinear SPDEs
• Infinite dimensional parameter identification for stochastic parabolic systems
• Statistical inference for SPDEs: an overview
• Trajectory fitting estimators for SPDEs driven by additive noise
• Parameter estimation for SPDEs with multiplicative fractional noise
• Parameter estimation for the stochastic heat equation with multiplicative noise from local measurements
• The Parameter Estimation Problem for Parabolic Equations and Discontinuous Observation Operators
• Diffusivity estimation for activator-inhibitor models: theory and application to intracellular dynamics of the actin cytoskeleton
• Parameter estimation for stochastic evolution equations with non-commuting operators
• Parameter estimation for discretely sampled stochastic heat equation driven by space-only noise
• Ergodicity and drift parameter estimation for infinite-dimensional fractional Ornstein-Uhlenbeck process of the second kind
• scientific article; zbMATH DE number 1009510 (Why is no real title available?)
• Statistical inference for stochastic parabolic equations: a spectral approach
• Parameter estimation for stochastic parabolic equations: Asymptotic properties of a two-dimensional projection-based estimator
• Drift parameter estimation for infinite-dimensional fractional Ornstein-Uhlenbeck process

This page was built for publication: Parameter estimation in diagonalizable bilinear stochastic parabolic equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q625294)