Related papers: Non-parametric estimation for the stochastic wave …
Parameter estimation for a parabolic linear stochastic partial differential equation in one space dimension is studied observing the solution field on a discrete grid in a fixed bounded domain. Considering an infill asymptotic regime in…
We consider the nonparametric estimation problem of time-dependent multivariate functions observed in a presence of additive cylindrical Gaussian white noise of a small intensity. We derive minimax lower bounds for the $L^2$-risk in the…
We develop an asymptotic limit theory for nonparametric estimation of the noise covariance kernel in linear parabolic stochastic partial differential equations (SPDEs) with additive colored noise, using space-time infill asymptotics. The…
We consider nonlinear parabolic SPDEs of the form $\partial_t u=\Delta u + \lambda \sigma(u)\dot w$ on the interval $(0, L)$, where $\dot w$ denotes space-time white noise, $\sigma$ is Lipschitz continuous. Under Dirichlet boundary…
Assume that we observe a stochastic process $(X(t))_{t\in[-r,T]}$, which satisfies the linear stochastic delay differential equation \[ \mathrm{d} X(t) = \vartheta \int_{[-r,0]} X(t + u) \, a(\mathrm{d} u) \, \mathrm{d} t + \mathrm{d} W(t)…
The traditional wave equation models wave propagation in an ideal conducting medium. For characterizing the wave propagation in inhomogeneous media with frequency dependent power-law attenuation, the space-time fractional wave equation…
This paper studies the nonlinear one-dimensional stochastic heat equation driven by a Gaussian noise which is white in time and which has the covariance of a fractional Brownian motion with Hurst parameter 1/4\textless{}H\textless{}1/2 in…
We study the Cauchy problem for the nonlinear wave equations (NLW) with random data and/or stochastic forcing on a two-dimensional compact Riemannian manifold without boundary. (i) We first study the defocusing stochastic damped NLW driven…
We establish spectral, linear, and nonlinear stability of the vanishing and slow-moving travelling waves that arise as time asymptotic solutions to the Fisher-Stefan equation. Nonlinear stability is in terms of the limiting equations that…
Solutions to the stochastic wave equation on the unit sphere are approximated by spectral methods. Strong, weak, and almost sure convergence rates for the proposed numerical schemes are provided and shown to depend only on the smoothness of…
The aim of this paper is to establish the almost sure asymptotic behavior as the space variable becomes large, for the solution to the one spatial dimensional stochastic heat equation driven by a Gaussian noise which is white in time and…
We examine the almost-sure asymptotics of the solution to the stochastic heat equation driven by a L\'evy space-time white noise. When a spatial point is fixed and time tends to infinity, we show that the solution develops unusually high…
We consider the one-dimensional KPP-equation driven by space-time white noise. We show that for all parameters above the critical value for survival, there exist stochastic wavelike solutions which travel with a deterministic positive…
For the stochastic heat equation with multiplicative noise we consider the problem of estimating the diffusivity parameter in front of the Laplace operator. Based on local observations in space, we first study an estimator that was derived…
We study strictly parabolic stochastic partial differential equations on $\R^d$, $d\ge 1$, driven by a Gaussian noise white in time and coloured in space. Assuming that the coefficients of the differential operator are random, we give…
We consider the long time limit theorems for the solutions of a discrete wave equation with a weak stochastic forcing. The multiplicative noise conserves the energy and the momentum. We obtain a time-inhomogeneous Ornstein-Uhlenbeck…
We consider statistics for stochastic evolution equations in Hilbert space with emphasis on stochastic partial differential equations (SPDEs). We observe a solution process under additional measurement errors and want to estimate a real or…
We propose localized spectral estimators for the quadratic covariation and the spot covolatility of diffusion processes which are observed discretely with additive observation noise. The eligibility of this approach to lead to an…
We consider the problem of estimating an arbitrary dynamical parameter of an quantum open system in the input-output formalism. For irreducible Markov processes, we show that in the limit of large times the system-output state can be…
We show that the Schr\"{o}dinger-Newton equation, which describes the nonlinear time evolution of self-gravitating quantum matter, can be made compatible with the no-signaling requirement by elevating it to a stochastic differential…