Drift estimation for stochastic reaction-diffusion systems

DOI10.1214/19-EJS1665zbMath1436.62438arXiv1904.04774OpenAlexW3100123648MaRDI QIDQ2293717

Gregor Pasemann, Wilhelm Stannat

Publication date: 5 February 2020

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1904.04774

zbMATH Keywords

robustnessmaximum likelihood estimationsemilinear stochastic partial differential equationsparametric drift estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35) Inference from stochastic processes and spectral analysis (62M15) Diffusion processes (60J60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Statistics on metric spaces (62R20)

Related Items

Pathwise least-squares estimator for linear SPDEs with additive fractional noise ⋮ Parameter estimation for semilinear SPDEs from local measurements ⋮ Nonparametric calibration for stochastic reaction-diffusion equations based on discrete observations ⋮ Drift estimation for discretely sampled SPDEs ⋮ Nonparametric estimation for linear SPDEs from local measurements ⋮ Diffusivity estimation for activator-inhibitor models: theory and application to intracellular dynamics of the actin cytoskeleton ⋮ Parameter estimation for discretely sampled stochastic heat equation driven by space-only noise ⋮ Parameter Estimation in an SPDE Model for Cell Repolarization

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Stochastic partial differential equations: an introduction
• Parameter estimation for the stochastically perturbed Navier-Stokes equations
• Statistical inference for stochastic parabolic equations: a spectral approach
• Statistical inference for ergodic diffusion processes.
• Spectral asymptotics of some functionals arising in statistical inference for SPDEs
• Statistical inference for SPDEs: an overview
• Parameter estimation for stochastic parabolic equations: Asymptotic properties of a two-dimensional projection-based estimator
• On asymptotic properties of maximum likelihood estimators for parabolic stochastic PDE's
• High-frequency analysis of parabolic stochastic PDEs
• Drift estimation for discretely sampled SPDEs
• Nonparametric estimation for linear SPDEs from local measurements
• Volatility estimation for stochastic PDEs using high-frequency observations
• Analysis and approximation of stochastic nerve axon equations
• Parameter Estimates and Exact Variations for Stochastic Heat Equations Driven by Space-Time White Noise
• Asymptotic Statistics
• Existence and uniqueness of the solution for stochastic equations on banach spaces
• A note on parameter estimation for discretely sampled SPDEs
• Stochastic Equations in Infinite Dimensions
• Second order PDE's in finite and infinite dimension