DOAJ Open Access 2023

Parameter estimation in mixed fractional stochastic heat equation

Diana Avetisian Kostiantyn Ralchenko

Abstrak

The paper is devoted to a stochastic heat equation with a mixed fractional Brownian noise. We investigate the covariance structure, stationarity, upper bounds and asymptotic behavior of the solution. Based on its discrete-time observations, we construct a strongly consistent estimator for the Hurst index H and prove the asymptotic normality for $H. Then assuming the parameter H to be known, we deal with joint estimation of the coefficients at the Wiener process and at the fractional Brownian motion. The quality of estimators is illustrated by simulation experiments.

Topik & Kata Kunci

Applied mathematics. Quantitative methods Mathematics

Penulis (2)

Diana Avetisian

Kostiantyn Ralchenko

Format Sitasi

APA MLA BibTeX

Avetisian, D., Ralchenko, K. (2023). Parameter estimation in mixed fractional stochastic heat equation. https://doi.org/10.15559/23-VMSTA221

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Informasi Jurnal

Tahun Terbit: 2023
Sumber Database: DOAJ
DOI: 10.15559/23-VMSTA221
Akses: Open Access ✓