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Parameter Estimates and Exact Variations for Stochastic Heat Equations Driven by Space-Time White Noise |
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| Authors: | Jan Pospíšil Roger Tribe |
| Affiliation: | 1. Department of Mathematics , University of West Bohemia , Plzeň, Czech Republic jan.pospisil@kma.zcu.cz;3. Mathematics Institute , University of Warwick , Coventry, UK |
| Abstract: | Abstract In this article 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. |
| Keywords: | Anderson model Edwards–Wilkinson model Gaussian processes Parameter estimates Path variations Space-time white noise Stochastic partial differential equations |