Estimation of diffusion parameter for stochastic heat equation with white noise
Тип публікації :
Стаття
Дата випуску :
2018
Автор(и) :
Avetisian, D. A.
Shevchenko, G. M.
Мова основного тексту :
Англійська
eKNUTSHIR URL :
Випуск :
3
ISSN :
1812-5409
Початкова сторінка :
9
Кінцева сторінка :
16
Цитування :
[APA 7] Avetisian, D. A., & Shevchenko, G. M. (2018). Estimation of diffusion parameter for stochastic heat equation with white noise. Bulletin of Taras Shevchenko National University of Kyiv. Physics and Mathematics, (3), 9–16. https://doi.org/10.17721/1812-5409.2018/3.1
[ДСТУ] Avetisian D. A., Shevchenko G. M. Estimation of diffusion parameter for stochastic heat equation with white noise. Bulletin of Taras Shevchenko National University of Kyiv. Physics and Mathematics. 2018. no. 3. P. 9—16. DOI: 10.17721/1812-5409.2018/3.1 (date of access: 25.07.2026).
This paper deals with stochastic differential heat equation which is the typical example of stochastic partial differential equations (SPDE). In particular, paper is devoted to the estimation of diffusion parameter $\sigma$ for the random field which is the solution of stochastic differential heat equation for R^d, d = 1, 2, 3. The estimtion of diffusion parameter was constructed in accordance with observations on the grid. It was shown that the constructed estimate is strictly consistent and asymptotically normal, the asymptotic variance was calculated.Key words: stochastic partial differential equations, stochastic differential heat equation, estimate, asymptotical normality, consistency.Pages of the article in the issue: 9 - 16Language of the article: English
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