Parameter estimation in stochastic heat equation with fractional Brownian motion
Speaker: Associate Professor Kostiantyn Ralchenko
Affiliation: Taras Shevchenko National University of Kyiv, Ukraine
Abstract
We study a one-dimensional stochastic heat equation driven by a space-only fractional Brownian noise. We construct strongly consistent estimators of two unknown parameters, namely, the diffusion parameter and the Hurst parameter, based on the discrete-time observations of a solution. We also prove joint asymptotic normality of the estimators. Similar results are obtained for a more general model driven by a mixed fractional noise.
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