Exact variations for stochastic heat equations with piecewise constant coefficients and application to parameter estimation

DOI10.1090/tpms/1099zbMath1454.60100OpenAlexW3047240863MaRDI QIDQ5117964

Eya Zougar, Mounir Zili

Publication date: 26 August 2020

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/tpms/1099

zbMATH Keywords

stochastic partial differential equationsspecial functionsestimation of parametersquartic and quadratic variations

Mathematics Subject Classification ID

Random fields (60G60) Gaussian processes (60G15) Point estimation (62F10) Sample path properties (60G17) PDEs with low regular coefficients and/or low regular data (35R05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Second-order parabolic equations (35K10) Incomplete beta and gamma functions (error functions, probability integral, Fresnel integrals) (33B20)

Related Items (8)

Estimation of the drift parameter for the fractional stochastic heat equation via power variation ⋮ Exact variation and drift parameter estimation for the nonlinear fractional stochastic heat equation ⋮ Unnamed Item ⋮ Stochastic heat equation with piecewise constant coefficients and generalized fractional type noise ⋮ On mild and weak solutions for stochastic heat equations with piecewise-constant conductivity ⋮ Fractional stochastic heat equation with piecewise constant coefficients ⋮ Spatial quadratic variations for the solution to a stochastic partial differential equation with elliptic divergence form operator ⋮ Quadratic variation and drift parameter estimation for the stochastic wave equation with space-time white noise

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