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

DOI10.1016/J.SPA.2024.104385MaRDI QIDQ6596199zbMATH OpenFDO

Authors Josef Janák, Markus Reiß

Publication date 2 September 2024

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

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)

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Cites work

• scientific article; zbMATH DE number 3984248 (Why is no real title available?)
• scientific article; zbMATH DE number 2042814 (Why is no real title available?)
• An introduction to computational stochastic PDEs
• Bayesian estimations for diagonalizable bilinear SPDEs
• Nonparametric estimation for linear SPDEs from local measurements
• On asymptotic properties of maximum likelihood estimators for parabolic stochastic PDE's
• Parameter Estimates and Exact Variations for Stochastic Heat Equations Driven by Space-Time White Noise
• Parameter Estimation in an SPDE Model for Cell Repolarization
• Parameter estimation for semilinear SPDEs from local measurements
• Parameter estimation for the stochastically perturbed Navier-Stokes equations
• Parameter estimation in diagonalizable bilinear stochastic parabolic equations
• Pathwise uniqueness for stochastic heat equations with Hölder continuous coefficients: The white noise case
• Statistical inference for ergodic diffusion processes.
• Stochastic Equations in Infinite Dimensions
• Stochastic reaction-diffusion systems with multiplicative noise and non-Lipschitz reaction term

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