Ergodic properties of the solution to a fractional stochastic heat equation, with an application to diffusion parameter estimation
| Autor: | Kostiantyn Ralchenko, Diana Avetisian |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2020 |
| Předmět: |
Statistics and Probability
Estimation theory lcsh:T57-57.97 lcsh:Mathematics Mathematical analysis fractional Brownian motion Stochastic partial differential equation lcsh:QA1-939 ergodic process Modeling and Simulation lcsh:Applied mathematics. Quantitative methods Ergodic theory Heat equation strong consistency Statistics Probability and Uncertainty Diffusion (business) stationary process Mathematics |
| Zdroj: | Modern Stochastics: Theory and Applications, Vol 7, Iss 3, Pp 339-356 (2020) |
| ISSN: | 2351-6054 2351-6046 |
| DOI: | 10.15559/20-VMSTA162 |
| Popis: | The paper deals with a stochastic heat equation driven by an additive fractional Brownian space-only noise. We prove that a solution to this equation is a stationary and ergodic Gaussian process. These results enable us to construct a strongly consistent estimator of the diffusion parameter. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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