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Titel:

High-frequency analysis of parabolic stochastic {PDE}s with multiplicative noiseHigh-frequency analysis of parabolic stochastic PDEs with multiplicative noise: Part I

Dokumenttyp:
Zeitungsartikel
Autor(en):
Chong, Carsten
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...     »
Stichworte:
Central limit theorem; parabolic Anderson model; parameter estimation; power variations; stochastic heat equation; SPDEs; volatility estimation
Dewey Dezimalklassifikation:
510 Mathematik
Zeitschriftentitel:
Preprint
Jahr:
2019
Sprache:
en
WWW:
Arxiv
Hinweise:
Submitted on 12 Aug 2019
Status:
Preprint / submitted
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik
Format:
Text
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