Estimation of the drift parameter for the fractional stochastic heat equation via power variation

Autor:	Zeina Mahdi Khalil, Ciprian Tudor
Jazyk:	angličtina
Rok vydání:	2019
Předmět:	stochastic heat equation fractional Brownian motion fractional Laplacian q variation drift parameter estimation Applied mathematics. Quantitative methods T57-57.97 Mathematics QA1-939
Zdroj:	Modern Stochastics: Theory and Applications, Vol 6, Iss 4, Pp 397-417 (2019)
Druh dokumentu:	article
ISSN:	2351-6046 2351-6054
DOI:	10.15559/19-VMSTA141
Popis:	We define power variation estimators for the drift parameter of the stochastic heat equation with the fractional Laplacian and an additive Gaussian noise which is white in time and white or correlated in space. We prove that these estimators are consistent and asymptotically normal and we derive their rate of convergence under the Wasserstein metric.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/bdb1c4fe888a4f9ea150836fe5981e90 Zobrazit plný text záznamu View record in DOAJ