PARAMETER ESTIMATION FOR SPDEs WITH MULTIPLICATIVE FRACTIONAL NOISE

被引：9

作者：

Cialenco, Igor ^{[1
]}

机构：

[1] IIT, Dept Appl Math, Chicago, IL 60616 USA

来源：

STOCHASTICS AND DYNAMICS | 2010年 / 10卷 / 04期

基金：

美国国家科学基金会;

关键词：

Asymptotic normality; parameter estimation; stochastic PDE; multiplicative noise; singular models; stochastic evolution equations; STOCHASTIC PARABOLIC EQUATIONS; MAXIMUM-LIKELIHOOD ESTIMATORS; STATISTICAL-INFERENCE; ASYMPTOTIC PROPERTIES; DYNAMICS; MODEL;

D O I：

10.1142/S0219493710003091

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 parameter estimation problem for diagonalizable stochastic partial differential equations driven by a multiplicative fractional noise with any Hurst parameter H. (0, 1). Two classes of estimators are investigated: traditional maximum likelihood type estimators, and a new class called closed-form exact estimators. Finally the general results are applied to stochastic heat equation driven by a fractional Brownian motion.

引用

页码：561 / 576

页数：16

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