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2020 Drift estimation for stochastic reaction-diffusion systems
Gregor Pasemann, Wilhelm Stannat
Electron. J. Statist. 14(1): 547-579 (2020). DOI: 10.1214/19-EJS1665

Abstract

A parameter estimation problem for a class of semilinear stochastic evolution equations is considered. Conditions for consistency and asymptotic normality are given in terms of growth and continuity properties of the nonlinear part. Emphasis is put on the case of stochastic reaction-diffusion systems. Robustness results for statistical inference under model uncertainty are provided.

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Gregor Pasemann. Wilhelm Stannat. "Drift estimation for stochastic reaction-diffusion systems." Electron. J. Statist. 14 (1) 547 - 579, 2020. https://doi.org/10.1214/19-EJS1665

Information

Received: 1 April 2019; Published: 2020
First available in Project Euclid: 28 January 2020

zbMATH: 07163266
MathSciNet: MR4056266
Digital Object Identifier: 10.1214/19-EJS1665

Keywords: Fitzhugh–Nagumo system , maximum likelihood estimation , Parametric drift estimation , robustness , semilinear stochastic partial differential equations

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Vol.14 • No. 1 • 2020
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