59 citations · 199 across the 36 of their papers we have counts for
14 papers · 1 filter
Statistical analysis of discretely sampled semilinear SPDEs: a power variation approach
Igor Cialenco, Hyun-Jung Kim, Gregor Pasemann
Motivated by problems from statistical analysis for discretely sampled SPDEs, first we derive central limit theorems for higher order finite differences applied to stochastic proce…
Parameter estimation for discretely sampled stochastic heat equation driven by space-only noise
Igor Cialenco, Hyun-Jung Kim
We derive consistent and asymptotically normal estimators for the drift and volatility parameters of the stochastic heat equation driven by an additive space-only white noise when…
Drift Estimation for Discretely Sampled SPDEs
Igor Cialenco, Francisco Delgado-Vences, Hyun-Jung Kim
The aim of this paper is to study the asymptotic properties of the maximum likelihood estimator (MLE) of the drift coefficient for fractional stochastic heat equation driven by an…
Wiener-Hopf Factorization for Time-Inhomogeneous Markov Chains
Tomasz R. Bielecki, Ziteng Cheng, Igor Cialenco +1
This work contributes to the theory of Wiener-Hopf type factorization for finite Markov chains. This theory originated in the seminal paper Barlow et al. (1980), which treated the…
Wiener-Hopf factorization for time-inhomogeneous Markov chains and its application
Tomasz R. Bielecki, Igor Cialenco, Ruoting Gong +1
In this paper we derive the Wiener-Hopf factorization for a finite-state time-inhomogeneous Markov chain. To the best of our knowledge, this study is the first attempt to investiga…
Statistical Inference for SPDEs: an overview
Igor Cialenco
The aim of this work is to give an overview of the recent developments in the area of statistical inference for parabolic stochastic partial differential equations. Significant par…