On generating fully discrete samples of the stochastic heat equation on an interval

DOI10.1016/j.spl.2020.108750zbMath1437.60038arXiv2001.03403OpenAlexW3012539275MaRDI QIDQ2173358

Florian Hildebrandt

Publication date: 22 April 2020

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2001.03403

zbMATH Keywords

simulationstochastic heat equationtotal variation distancehigh frequency observationspower variations

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Approximations to statistical distributions (nonasymptotic) (62E17) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (5)

Adaptive estimator for a parabolic linear SPDE with a small noise ⋮ Efficient parameter estimation for parabolic SPDEs based on a log-linear model for realized volatilities ⋮ Parameter estimation for a linear parabolic SPDE model in two space dimensions with a small noise ⋮ Unnamed Item ⋮ Parameter estimation for SPDEs based on discrete observations in time and space

Cites Work

• The numerical approximation of stochastic partial differential equations
• The roughness and smoothness of numerical solutions to the stochastic heat equation
• Convergence of numerical schemes for the solution of parabolic stochastic partial differential equations
• Stochastic Equations in Infinite Dimensions

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