Igor Cialenco
Published 2010-02-20, updated 2010-05-26Version 2
We study parameter estimation problem for diagonalizable stochastic partial differential equations driven by a multiplicative fractional noise with any Hurst parameter $H\in(0,1)$. Two classes of estimators are investigated: traditional maximum likelihood type estimators, and a new class called closed-form exact estimators. Finally the general results are applied to stochastic heat equation driven by a fractional Brownian motion.
Pathwise Unique Solutions and Stochastic Averaging for Mixed Stochastic Partial Differential Equations Driven by Fractional Brownian Motion and Brownian Motion
Large Deviations for Stochastic Partial Differential Equations Driven by a Poisson Random Measure
Existence of affine realizations for stochastic partial differential equations driven by Lévy processes
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