5 papers · 1 filter
Volatility change point detection for linear parabolic SPDEs
Yozo Tonaki, Yusuke Kaino, Masayuki Uchida
We consider change point detection for the volatility in second order linear parabolic stochastic partial differential equations based on high frequency spatio-temporal data. We gi…
Estimation for linear parabolic SPDEs in two space dimensions with unknown damping parameters
Yozo Tonaki, Yusuke Kaino, Masayuki Uchida
We study parametric estimation for second order linear parabolic stochastic partial differential equations (SPDEs) in two space dimensions driven by two types of -Wiener process…
Small dispersion asymptotics for an SPDE in two space dimensions using triple increments
Yozo Tonaki, Yusuke Kaino, Masayuki Uchida
We consider parametric estimation for a second order linear parabolic stochastic partial differential equation (SPDE) in two space dimensions driven by a -Wiener process with a…
Estimation for the damping factor of the driving process of an SPDE in two space dimensions
Yozo Tonaki, Yusuke Kaino, Masayuki Uchida
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 h…
Small diffusivity asymptotics for a linear parabolic SPDE in two space dimensions
Yozo Tonaki, Yusuke Kaino, Masayuki Uchida
We consider parameter estimation of the reaction term for a second order linear parabolic stochastic partial differential equation in two space dimensions driven by a -Wiener pr…