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Trajectory fitting estimators for SPDEs driven by additive noise

  • Igor CialencoEmail author
  • Ruoting Gong
  • Yicong Huang
Article

Abstract

In this paper we study the problem of estimating the drift/viscosity coefficient for a large class of linear, parabolic stochastic partial differential equations (SPDEs) driven by an additive space-time noise. We propose a new class of estimators, called trajectory fitting estimators (TFEs). The estimators are constructed by fitting the observed trajectory with an artificial one, and can be viewed as an analog to the classical least squares estimators from the time-series analysis. As in the existing literature on statistical inference for SPDEs, we take a spectral approach, and assume that we observe the first N Fourier modes of the solution, and we study the consistency and the asymptotic normality of the TFE, as \(N\rightarrow \infty \).

Keywords

Stochastic partial differential equations Trajectory fitting estimator Parameter estimation Inverse problems Estimation of viscosity coefficient 

Mathematics Subject Classification

60H15 35Q30 65L09 

Notes

Acknowledgements

Part of the research was performed while Igor Cialenco was visiting the Institute for Pure and Applied Mathematics (IPAM), which is supported by the National Science Foundation. The authors would like to thank the anonymous referees, the associate editor and the editor for their helpful comments and suggestions which improved greatly the final manuscript.

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Copyright information

© Springer Science+Business Media Dordrecht 2016

Authors and Affiliations

  1. 1.Department of Applied MathematicsIllinois Institute of TechnologyChicagoUSA

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