Parameter estimation for the stochastic heat equation with multiplicative noise from local measurements

DOI10.1016/J.SPA.2024.104385zbMATH Open1546.60131MaRDI QIDQ6596199FDOQ6596199

Authors: Josef Janák, Markus Reiß 

Publication date: 2 September 2024

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

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zbMATH Keywords

multiplicative noisestochastic heat equationstable limit theoremmartingale representation theoremdrift estimationlocal measurementsaugmented MLE

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Central limit and other weak theorems (60F05) Heat equation (35K05) PDEs with randomness, stochastic partial differential equations (35R60)

Cites Work

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• On asymptotic properties of maximum likelihood estimators for parabolic stochastic PDE's
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• Parameter estimation in diagonalizable bilinear stochastic parabolic equations
• Nonparametric estimation for linear SPDEs from local measurements
• Parameter Estimates and Exact Variations for Stochastic Heat Equations Driven by Space-Time White Noise
• Parameter estimation for the stochastically perturbed Navier-Stokes equations
• Bayesian estimations for diagonalizable bilinear SPDEs
• Parameter Estimation in an SPDE Model for Cell Repolarization
• Parameter estimation for semilinear SPDEs from local measurements

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