Statistical Analysis of Some Evolution Equations Driven by Space-only Noise

04/03/2019

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by   Igor Cialenco, et al.

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University of Southern California

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Illinois Institute of Technology

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We study the statistical properties of stochastic evolution equations driven by space-only noise, either additive or multiplicative. While forward problems, such as existence, uniqueness, and regularity of the solution, for such equations have been studied, little is known about inverse problems for these equations. We exploit the somewhat unusual structure of the observations coming from these equations that leads to an interesting interplay between classical and non-traditional statistical models. We derive several types of estimators for the drift and/or diffusion coefficients of these equations, and prove their relevant properties.