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Parameter estimates and exact variations for stochastic heat equations driven by space-time white noise
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Pospisil, Jan and Tribe, Roger (2007) Parameter estimates and exact variations for stochastic heat equations driven by space-time white noise. Stochastic Analysis and Applications, Volume 25 (Number 3). pp. 593-611. doi:10.1080/07362990701282849 ISSN 1532-9356.
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Official URL: http://dx.doi.org/10.1080/07362990701282849
Abstract
In this article we calculate the exact quadratic variation in space and quartic variation in time for the solutions to a one dimensional stochastic heat equation driven by a multiplicative space-time white noise. We use the knowledge of exact variations to estimate the drift parameter appearing in the equation.
Item Type: | Journal Article | ||||
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Subjects: | Q Science > QA Mathematics | ||||
Divisions: | Faculty of Science, Engineering and Medicine > Science > Mathematics | ||||
Journal or Publication Title: | Stochastic Analysis and Applications | ||||
Publisher: | Taylor & Francis Inc. | ||||
ISSN: | 1532-9356 | ||||
Official Date: | 2007 | ||||
Dates: |
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Volume: | Volume 25 | ||||
Number: | Number 3 | ||||
Number of Pages: | 19 | ||||
Page Range: | pp. 593-611 | ||||
DOI: | 10.1080/07362990701282849 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published |
Data sourced from Thomson Reuters' Web of Knowledge
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