Quadratic variation and drift parameter estimation for the stochastic wave equation with space-time white noise

被引：0
|
作者：
Assaad, Obayda [1 ]
Gamain, Julie [1 ]
Tudor, Ciprian A. [1 ]
机构：
[1] Univ Lille, Lab Paul Painleve, CNRS, UMR 8524, F-59000 Lille, France
来源：
STOCHASTICS AND DYNAMICS | 2022年 / 22卷 / 07期
关键词：
Stochastic wave equation; quadratic variation; Stein-Malliavin calculus; Wiener chaos; central limit theorem; drift parameter estimation; STATISTICAL-INFERENCE; HEAT-EQUATIONS;
D O I：
10.1142/S0219493722400147
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We study the quadratic variations (in time and in space) of the solution to the stochastic wave equation driven by the space-time white noise. We give their limit (almost. surely and in L-2(Omega)) and we prove that these variations satisfy, after a proper renormalization, a Central Limit Theorem. We apply the quadratic variation to define and analyze estimators for the drift parameter of the wave equation.
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页数：25
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