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Parameter estimations for SPDEs with multiplicative fractional noise (1002.3911v2)
Published 20 Feb 2010 in math.PR, math.ST, and stat.TH
Abstract: 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.
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