paper

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

arXiv:2407.00953

Abstract

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

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