Parameter Estimation for Stochastic Partial Differential Equations of Second Order

被引：2
|
作者：
Janak, Josef [1 ]
机构：
[1] Univ Econ Prague, Dept Math, Ekon 957, Prague 14800 4, Czech Republic
来源：
APPLIED MATHEMATICS AND OPTIMIZATION | 2020年 / 82卷 / 01期
关键词：
Parameter estimation; Strong consistency; Asymptotic normality;
D O I：
10.1007/s00245-018-9506-9
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
Stochastic partial differential equations of second order with two unknown parameters are studied. Based on ergodicity, two suitable families of minimum contrast estimators are introduced. Strong consistency and asymptotic normality of estimators are proved. The results are applied to hyperbolic equations perturbed by Brownian noise.
引用
收藏
页码：353 / 397
页数：45
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