Parameter estimations for SPDEs with multiplicative fractional noise

Abstract

We study parameter estimation problem for diagonalizable stochastic partial differential equations driven by a multiplicative fractional noise with any Hurst parameter $H\in (0,1)$. Two classes of estimators are investigated: traditional maximum likelihood type estimators, and a new class called closed-form exact estimators. Finally the general results are applied to stochastic heat equation driven by a fractional Brownian motion.

References in corpus (2)

• Estimation in models driven by fractional Brownian motion
• Parameter estimation in diagonalizable bilinear stochastic parabolic equations