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Estimation of the drift parameter for the fractional stochastic heat equation via power variation.

Authors :
Khalil, Zeina Mahdi
Tudor, Ciprian
Source :
Modern Stochastics: Theory & Applications; 2019, Vol. 6 Issue 4, p397-417, 21p
Publication Year :
2019

Abstract

We define power variation estimators for the drift parameter of the stochastic heat equation with the fractional Laplacian and an additive Gaussian noise which is white in time and white or correlated in space. We prove that these estimators are consistent and asymptotically normal and we derive their rate of convergence under the Wasserstein metric. [ABSTRACT FROM AUTHOR]

Details

Language :
English
ISSN :
23516046
Volume :
6
Issue :
4
Database :
Complementary Index
Journal :
Modern Stochastics: Theory & Applications
Publication Type :
Academic Journal
Accession number :
140404063
Full Text :
https://doi.org/10.15559/19-VMSTA141