Quadratic variation and drift parameter ...
Document type :
Compte-rendu et recension critique d'ouvrage
Title :
Quadratic variation and drift parameter estimation for the stochastic wave equation with space-time white noise
Author(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]
Journal title :
Stochastics and Dynamics
Publisher :
World Scientific Publishing
Publication date :
2022-04-29
ISSN :
0219-4937
HAL domain(s) :
Mathématiques [math]
English abstract : [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 ...
Show more >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.Show less >
Show more >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.Show less >
Language :
Anglais
Popular science :
Non
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