Parameter estimation for stochastic wave equation based on observation window
Probability
2018-06-21 v1
Abstract
Statistical inference for a linear stochastic hyperbolic equation with two unknown parameters is studied. Based on observation of coordinates of the solution or their linear combination, minimum contrast estimators are introduced. Strong consistency and asymptotic normality is proved. The results are applied to stochastic wave equation perturbed by Brownian noise and they are illustrated by a numerical simulation.
Cite
@article{arxiv.1806.07743,
title = {Parameter estimation for stochastic wave equation based on observation window},
author = {Josef Janák},
journal= {arXiv preprint arXiv:1806.07743},
year = {2018}
}
Comments
36 pages, 18 figures. arXiv admin note: text overlap with arXiv:1806.04045