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]

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 >

Language :

Anglais

Popular science :

Non

Collections :

• Laboratoire Paul Painlevé - UMR 8524

Source :

Harvested from HAL