Quadratic variation and drift parameter ...
Type de document :
Compte-rendu et recension critique d'ouvrage
Titre :
Quadratic variation and drift parameter estimation for the stochastic wave equation with space-time white noise
Auteur(s) :
Assaad, Obayda [Auteur]
Gamain, Julie [Auteur]
Tudor, Ciprian [Auteur]
Laboratoire Paul Painlevé - UMR 8524 [LPP]
Gamain, Julie [Auteur]
Tudor, Ciprian [Auteur]
Laboratoire Paul Painlevé - UMR 8524 [LPP]
Titre de la revue :
Stochastics and Dynamics
Éditeur :
World Scientific Publishing
Date de publication :
2022-04-29
ISSN :
0219-4937
Discipline(s) HAL :
Mathématiques [math]
Résumé en anglais : [en]
We study the quadratic variations (in time and in space) of the solution to the stochastic wave equation driven by the space-time white noise. We give their limit (almost surely and in [Formula: see text]) and we prove ...
Lire la suite >We study the quadratic variations (in time and in space) of the solution to the stochastic wave equation driven by the space-time white noise. We give their limit (almost surely and in [Formula: see text]) and we prove that these variations satisfy, after a proper renormalization, a Central Limit Theorem. We apply the quadratic variation to define and analyze estimators for the drift parameter of the wave equation.Lire moins >
Lire la suite >We study the quadratic variations (in time and in space) of the solution to the stochastic wave equation driven by the space-time white noise. We give their limit (almost surely and in [Formula: see text]) and we prove that these variations satisfy, after a proper renormalization, a Central Limit Theorem. We apply the quadratic variation to define and analyze estimators for the drift parameter of the wave equation.Lire moins >
Langue :
Anglais
Vulgarisation :
Non
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