Statistical inference for stochastic parabolic equations: a spectral approach

DOI10.5565/PUBLMAT_53109_01MaRDI QIDQ998724zbMATH OpenOpenAlexFDO

Authors S. V. Lototsky

Publication date 29 January 2009

Published in Publicacions Matemàtiques (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/42271

zbMATH Keywords

Ornstein-Uhlenbeck processcylindrical Brownian motionsingular statistical models

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Gaussian processes (60G15) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Continuity and singularity of induced measures (60G30)

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Cited in

(30)

• Drift estimation for discretely sampled SPDEs
• Asymptotic Analysis of the Sieve Estimator for a Class of Parabolic SPDEs
• Hypothesis testing for stochastic PDEs driven by additive noise
• Minimum distance estimator for a hyperbolic stochastic partial differentialequation
• Statistical inference for a stochastic wave equation with Malliavin–Stein method
• Nonparametric calibration for stochastic reaction-diffusion equations based on discrete observations
• Stochastic discontinuous Galerkin methods (SDGM) based on fluctuation-dissipation balance
• Trajectory fitting estimators for SPDEs driven by additive noise
• Parameter estimation for stochastic wave equation based on observation window
• Statistical inference for partial differential equations
• Quadratic variation and drift parameter estimation for the stochastic wave equation with space-time white noise
• Asymptotic statistical inference for a stochastic heat flow problem
• Drift estimation for stochastic reaction-diffusion systems
• Estimation of the drift parameter for the fractional stochastic heat equation via power variation
• An inverse problem for a class of linear stochastic evolution equations
• Parameter estimation for the stochastically perturbed Navier-Stokes equations
• Statistical analysis of some evolution equations driven by space-only noise
• Parameter estimation in diagonalizable bilinear stochastic parabolic equations
• Parameter estimation for SPDEs based on discrete observations in time and space
• Statistical inference for SPDEs: an overview
• ASYMPTOTIC PROPERTIES OF THE MAXIMUM LIKELIHOOD ESTIMATOR FOR STOCHASTIC PARABOLIC EQUATIONS WITH ADDITIVE FRACTIONAL BROWNIAN MOTION
• Parameter estimation for stochastic parabolic equations: Asymptotic properties of a two-dimensional projection-based estimator
• A space-consistent version of the minimum-contrast estimator for linear stochastic evolution equations
• A mixed spectral treatment for the stochastic models with random parameters
• Joint online parameter estimation and optimal sensor placement for the partially observed stochastic advection-diffusion equation
• Volatility estimation for stochastic PDEs using high-frequency observations
• Parameter estimation for linear parabolic SPDEs in two space dimensions based on high frequency data
• Parameter estimation for a linear parabolic SPDE model in two space dimensions with a small noise
• A note on error estimation for hypothesis testing problems for some linear SPDEs
• Parameter estimation for SPDEs with multiplicative fractional noise

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