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Stochastic Analysis and ApplicationsVolume 25, Issue 3, 1 June 2007, Pages 593-611

Parameter estimates and exact variations for stochastic heat equations driven by space-time white noise(Article)(Open Access)

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  • aDepartment of Mathematics, University of West Bohemia, Plzen, Czech Republic
  • bMathematics Institute, University of Warwick, Coventry, United Kingdom
  • cDepartment of Mathematics, Faculty of Applied Sciences, University of West Bohemia, Univerzitni Plzeň 22, 306 14, Czech Republic

Abstract

In this article we calculate the exact quadratic variation in space and quartic variation in time for the solutions to a one dimensional stochastic heat equation driven by a multiplicative space-time white noise. We use the knowledge of exact variations to estimate the drift parameter appearing in the equation.

Author keywords

Anderson modelEdwards-Wilkinson modelGaussian processesParameter estimatesPath variationsSpace-time white noiseStochastic partial differential equations

Funding details

Funding sponsor Funding number Acronym
MSM 4977751301
Grantová Agentura České Republiky201/04/0750GA ČR

  • 1

    Received January 10, 2006; Accepted September 1, 2006 This work was partially supported by the GACR Grant 201/04/0750 and by the MSMT Research Plan MSM 4977751301. Address correspondence to Jan Pospíšil, Department of Mathematics, Faculty of Applied Sciences, University of West Bohemia, Univerzitni Plzenˇ 22, 306 14, Czech Republic; E-mail: [email protected]

  • ISSN: 07362994
  • Source Type: Journal
  • Original language: English
  • DOI: 10.1080/07362990701282849
  • Document Type: Article
  • Publisher: Taylor and Francis Inc.

  Pospíšil, J.; Department of Mathematics, Faculty of Applied Sciences, University of West Bohemia, Univerzitni Plzeň 22, 306 14, Czech Republic;
© Copyright 2018 Elsevier B.V., All rights reserved.

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