通过幂变差估计分数阶随机热方程的漂移参数
概率论
2019-12-18 v1
摘要
我们为带有分数阶 Laplacian 与加性高斯噪声（时间上白噪声、空间上白噪声或相关问题）的随机热方程定义了漂移参数的幂变差估计量。我们证明这些估计量是一致且渐近正态的，并推导了它们在 Wasserstein 度量下的收敛速率。
引用
@article{arxiv.1912.07917,
title = {Estimation of the drift parameter for the fractional stochastic heat equation via power variation},
author = {Zeina Mahdi Khalil and Ciprian Tudor},
journal= {arXiv preprint arXiv:1912.07917},
year = {2019}
}
备注
Published at https://doi.org/10.15559/19-VMSTA141 in the Modern Stochastics: Theory and Applications (https://vmsta.org/) by VTeX (http://www.vtex.lt/)