Quadratic variation and drift parameter estimation for the stochastic wave equation with space-time white noise
From MaRDI portal
Publication:5876561
DOI10.1142/S0219493722400147OpenAlexW4225146192MaRDI QIDQ5876561
Ciprian A. Tudor, Unnamed Author, Obayda Assaad
Publication date: 1 February 2023
Published in: Stochastics and Dynamics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219493722400147
central limit theoremquadratic variationWiener chaosstochastic wave equationdrift parameter estimationStein-Malliavin calculus
Cites Work
- Quadratic variations for the fractional-colored stochastic heat equation
- Stein's method on Wiener chaos
- Statistical inference for stochastic parabolic equations: a spectral approach
- Likelihood inference for a discretely observed stochastic partial differential equation
- Correlation structure, quadratic variations and parameter estimation for the solution to the wave equation with fractional noise
- Statistical inference for SPDEs: an overview
- Parameter estimation for stochastic wave equation based on observation window
- Estimation of the drift parameter for the fractional stochastic heat equation via power variation
- On central limit theorems for power variations of the solution to the stochastic heat equation
- Generalized \(k\)-variations and Hurst parameter estimation for the fractional wave equation via Malliavin calculus
- Volatility estimation for stochastic PDEs using high-frequency observations
- Variations of the solution to a stochastic heat equation
- Central limit theorems for multiple stochastic integrals and Malliavin calculus
- Normal Approximations with Malliavin Calculus
- The Malliavin Calculus and Related Topics
- Parameter Estimates and Exact Variations for Stochastic Heat Equations Driven by Space-Time White Noise
- Spatial variation for the solution to the stochastic linear wave equation driven by additive space-time white noise
- Estimating Speed and Damping in the Stochastic Wave Equation
- Wavelet analysis for the solution to the wave equation with fractional noise in time and white noise in space
- A note on parameter estimation for discretely sampled SPDEs
- Exact variations for stochastic heat equations with piecewise constant coefficients and application to parameter estimation
- The optimal fourth moment theorem
This page was built for publication: Quadratic variation and drift parameter estimation for the stochastic wave equation with space-time white noise
