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arXiv · 2407.00953

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

Yozo Tonaki·Yusuke Kaino·Masayuki Uchida
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Abstract

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

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Yozo Tonaki, Yusuke Kaino, Masayuki Uchida. 2024-07-01. Estimation for the damping factor of the driving process of an SPDE in two space dimensions. https://arxiv.org/abs/2407.00953

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