Parameter estimates and exact variations for stochastic heat equations driven by space-time white noise. (English) Zbl 1118.60030

Pospíšil, Jan; Tribe, Roger

Stochastic Anal. Appl. 25, No. 3, 593-611 (2007).

Summary: We calculate the exact quadratic variation in space and quartic variation in time for the solutions to a one-dimensional stochastic heat equation driven by a multiplicative space-time white noise. We use the knowledge of exact variations to estimate the drift parameter appearing in the equation.

MSC:

60G15	Gaussian processes
60H10	Stochastic ordinary differential equations (aspects of stochastic analysis)
60H30	Applications of stochastic analysis (to PDEs, etc.)
60H40	White noise theory

Keywords:

Anderson model; Edwards-Wilkinson model; Gaussian processes; parameter estimates; path variations; space-time white noise; stochastic partial differential equations

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