59 citations · 199 across the 36 of their papers we have counts for
6 papers · 1 filter
Parameter estimation for semilinear SPDEs from local measurements
Randolf Altmeyer, Igor Cialenco, Gregor Pasemann
This work contributes to the limited literature on estimating the diffusivity or drift coefficient of nonlinear SPDEs driven by additive noise. Assuming that the solution is measur…
Statistical Analysis of Some Evolution Equations Driven by Space-only Noise
Igor Cialenco, Hyun-Jung Kim, Sergey V. Lototsky
We study the statistical properties of stochastic evolution equations driven by space-only noise, either additive or multiplicative. While forward problems, such as existence, uniq…
Bayesian Estimations for Diagonalizable Bilinear SPDEs
Ziteng Cheng, Igor Cialenco, Ruoting Gong
The main goal of this paper is to study the parameter estimation problem, using the Bayesian methodology, for the drift coefficient of some linear (parabolic) SPDEs driven by a mul…
Trajectory Fitting Estimators for SPDEs Driven by Additive Noise
Igor Cialenco, Ruoting Gong, Yicong Huang
In this paper we study the problem of estimating the drift/viscosity coefficient for a large class of linear, parabolic stochastic partial differential equations (SPDEs) driven by…
Recursive Construction of Confidence Regions
Tomasz R. Bielecki, Tao Chen, Igor Cialenco
Assuming that one-step transition kernel of a discrete time, time-homogenous Markov chain model is parameterized by a parameter , we derive a recursive (in time…
Hypothesis testing for stochastic PDEs driven by additive noise
Igor Cialenco, Liaosha Xu
We study the simple hypothesis testing problem for the drift coefficient for stochastic fractional heat equation driven by additive noise. We introduce the notion of asymptotically…