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.

引用

页数：25

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