Statistical inference for SPDEs: an overview

Igor Cialenco ()
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Igor Cialenco: Illinois Institute of Technology

Statistical Inference for Stochastic Processes, 2018, vol. 21, issue 2, No 4, 309-329

Abstract: Abstract The aim of this work is to give an overview of the recent developments in the area of statistical inference for parabolic stochastic partial differential equations. Significant part of the paper is devoted to the spectral approach, which is the most studied sampling scheme under which the observations are done in the Fourier space over some finite time interval. We also discuss the practically important case of discrete sampling of the solution. Other relevant methodologies and some open problems are briefly addressed over the course of the manuscript.

Keywords: Parabolic SPDE; Stochastic evolution equations; Statistical inference for SPDEs; Identification problems for SPDEs; 60H15; 65L09; 62M99 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (9)

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DOI: 10.1007/s11203-018-9177-9

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