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Thermodynamic quantities, like heat, entropy, or work, are random variables, in stochastic systems. Here, we investigate the statistics of the heat exchanged by a Brownian particle subjected to a logarithm-harmonic potential. We derive…
We derive consistent and asymptotically normal estimators for the drift and volatility parameters of the stochastic heat equation driven by an additive space-only white noise when the solution is sampled discretely in the physical domain.…
We consider the stochastic heat equation which includes a fractional power of the Laplacian of order $\alpha \in (1, 2]$ and it is driven by a nonlinear space-time Gaussian white noise. We study two types of power variations for the…
We consider the problem of Hurst index estimation for solutions of stochastic differential equations driven by an additive fractional Brownian motion. Using techniques of the Malliavin calculus, we analyze the asymptotic behavior of the…
Strongly consistent and asymptotically normal estimators of the Hurst parameter of solutions of stochastic differential equations are proposed. The estimators are based on discrete observations of the underlying processes.
This paper is a survey of recent contributions on estimation in stochastic differential equations with mixed-effects. These models involve N stochastic differential equations with common drift and diffusion functions but random parameters…
In this article, we give some existence and smoothness results for the law of the solution to a stochastic heat equation driven by a finite dimensional fractional Brownian motion with Hurst parameter $H>1/2$. Our results rely on recent…
This paper is concerned with the stochastic thermodynamics of non-equilibrium Gaussian processes that can exhibit anomalous diffusion. In the systems considered, the noise correlation function is not necessarily related to friction. Thus,…
We study a least square-type estimator for an unknown parameter in the drift coefficient of a stochastic differential equation with additive fractional noise of Hurst parameter H>1/2. The estimator is based on discrete time observations of…
We study the asymptotic properties of an estimator of Hurst parameter of a stochastic differential equation driven by a fractional Brownian motion with $H > 1/2$. Utilizing the theory of asymptotic expansion of Skorohod integrals introduced…
Strongly consistent and asymptotically normal estimators of the Hurst index and volatility parameters of solutions of stochastic differential equations with polynomial drift are proposed. The estimators are based on discrete observations of…
We study the problem of parametric estimation for continuously observed stochastic differential equation driven by fractional Brownian motion. Under some assumptions on drift and diffusion coefficients, we construct maximum likelihood…
Strongly consistent and asymptotic normal estimators of the Hurst index of a stochastic differential equation driven by a fractional Brownian motion are proposed. The estimators are based on discrete observations of the underlying process.
We consider a system of $d$ linear stochastic heat equations driven by an additive infinite-dimensional fractional Brownian noise on the unit circle $S^1$. We obtain sharp results on the H\"older continuity in time of the paths of the…
In this paper we prove, for small Hurst parameters, the higher order differentiability of a stochastic flow associated with a stochastic differential equation driven by an additive multi-dimensional fractional Brownian noise, where the…
In this paper, a Feynman-Kac formula is established for stochastic partial differential equation driven by Gaussian noise which is, with respect to time, a fractional Brownian motion with Hurst parameter $H<1/2$. To establish such a…
A parameter estimation problem is considered for a stochastic parabolic equation with multiplicative noise under the assumption that the equation can be reduced to an infinite system of uncoupled diffusion processes. From the point of view…
We consider the stochastic heat equation on $\mathbb R^d$ with multiplicative space-time white noise noise smoothed in space. For $d\geq 3$ and small noise intensity, the solution is known to converge to a strictly positive random variable…
In this paper, we study the Moderate Deviation Principle for a perturbed stochastic heat equation in the whole space $\rr^d, d\ge1$. This equation is driven by a Gaussian noise, white in time and correlated in space, and the differential…
This paper studies the stochastic heat equation with multiplicative noises of the form uW, where W is a mean zero Gaussian noise and the differential element uW is interpreted both in the sense of Skorohod and Stratonovich. The existence…