Parameter Estimation for Stochastic Partial Differential Equations of Second Order

被引：2

作者：

Janak, Josef ^{[1
]}

机构：

[1] Univ Econ Prague, Dept Math, Ekon 957, Prague 14800 4, Czech Republic

来源：

APPLIED MATHEMATICS AND OPTIMIZATION | 2020年 / 82卷 / 01期

关键词：

Parameter estimation; Strong consistency; Asymptotic normality;

D O I：

10.1007/s00245-018-9506-9

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

Stochastic partial differential equations of second order with two unknown parameters are studied. Based on ergodicity, two suitable families of minimum contrast estimators are introduced. Strong consistency and asymptotic normality of estimators are proved. The results are applied to hyperbolic equations perturbed by Brownian noise.

引用

页码：353 / 397

页数：45

共 50 条

[1] Parameter Estimation for Stochastic Partial Differential Equations of Second Order
Josef Janák
Applied Mathematics & Optimization, 2020, 82 : 353 - 397
[2] Nonparametric estimation of second-order stochastic differential equations
Nicolau, Joao
ECONOMETRIC THEORY, 2007, 23 (05) : 880 - 898
[3] Parameter Estimation in Stochastic Differential Equations
Weber, G. -W.
Taylan, P.
Goerguelue, Z. -K.
Abd Rahman, H.
Bahar, A.
DYNAMICS, GAMES AND SCIENCE II, 2011, 2 : 703 - +
[4] Parameter Estimation for Stochastic Partial Differential Equations Driven by an Additive Multi-Order Fractional Brownian Motion
El Omari, Mohamed
JOURNAL OF THE INDIAN SOCIETY FOR PROBABILITY AND STATISTICS, 2024,
[5] Parameter estimation in nonlinear stochastic differential equations
Timmer, J
CHAOS SOLITONS & FRACTALS, 2000, 11 (15) : 2571 - 2578
[6] Parameter estimation in stochastic differential equations: An overview
Nielsen, Jan Nygaard
Madsen, Henrik
Young, Peter C.
Annual Reviews in Control, 2000, 24 : 83 - 94
[7] Robust Parameter Estimation for Stochastic Differential Equations
Thomas Deck
Thomas Gorm Theting
Acta Applicandae Mathematica, 2004, 84 : 279 - 314
[8] Robust parameter estimation for stochastic differential equations
Deck, T
Theting, TG
ACTA APPLICANDAE MATHEMATICAE, 2004, 84 (03) : 279 - 314
[9] Differential equations of the second order closing in on parameter
Tzitéica, G
COMPTES RENDUS HEBDOMADAIRES DES SEANCES DE L ACADEMIE DES SCIENCES, 1905, 140 : 492 - 493
[10] The local Haar condition in parameter estimation for second order ordinary differential equations
Kalogiratou, Z
Williams, J
INTERNATIONAL CONFERENCE ON PARALLEL AND DISTRIBUTED PROCESSING TECHNIQUES AND APPLICATIONS, VOLS I-V, PROCEEDINGS, 1999, : 252 - 258

← 1 2 3 4 5 →