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Document type:
Zeitungsartikel 
Author(s):
Carsten Chong 
Title:
High-frequency analysis of parabolic stochastic {PDE}s with multiplicative noiseHigh-frequency analysis of parabolic stochastic PDEs with multiplicative noise: Part I 
Abstract:
We consider the stochastic heat equation driven by a multiplicative Gaussian noise that is white in time and spatially homogeneous in space. Assuming that the spatial correlation function is given by a Riesz kernel of order α € (0, 1), we prove a central limit theorem for power variations and other related functionals of the solution. To our surprise, there is no asymptotic bias despite the low regularity of the noise coefficient in the multiplicative case. We trace this circumstance back to can...    »
 
Keywords:
Central limit theorem; parabolic Anderson model; parameter estimation; power variations; stochastic heat equation; SPDEs; volatility estimation 
Dewey Decimal Classification:
510 Mathematik 
Journal title:
Preprint 
Year:
2019 
Language:
en 
WWW:
Notes:
Submitted on 12 Aug 2019 
Status:
Preprint / submitted 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text