Statistical inference for the stochastic heat equation
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Typ
Examensarbete för masterexamen
Program
Publicerad
2019
Författare
Bökman, Georg
Modellbyggare
Tidskriftstitel
ISSN
Volymtitel
Utgivare
Sammanfattning
This thesis is concerned with two p-variation type estimators for the parameters _ (diffusivity)
and _2 (noise size) of the stochastic heat equation, proposed by Cialenco and
Huang [3]. The theory of the stochastic heat equation is reviewed. The theory of pvariation
type estimators is reviewed and p-variation type estimators relating to the
stochastic heat equation are introduced. These estimators are investigated numerically.
From the simulation results, it is conjectured that the estimators for _ as well as the
estimators for _2 converge in mean and root mean square with convergence rate 1/2
Beskrivning
Ämne/nyckelord
Stochastic heat equation, p-variation type estimators, statistical inference, stochastic PDEs.