54
2

Estimation for the damping factor of the driving process of an SPDE in two space dimensions

Abstract

We study parametric estimation for a second order linear parabolic stochastic partial differential equation (SPDE) in two space dimensions driven by a QQ-Wiener process based on high frequency spatio-temporal data. We give an estimator of the damping parameter of the QQ-Wiener process of the SPDE based on quadratic variations with temporal and spatial increments. We also provide simulation results of the proposed estimator.

View on arXiv
Comments on this paper

We use cookies and other tracking technologies to improve your browsing experience on our website, to show you personalized content and targeted ads, to analyze our website traffic, and to understand where our visitors are coming from. See our policy.