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Ergodic properties of the solution to a fractional stochastic heat equation, with an application to diffusion parameter estimation

Diana Avetisian, Kostiantyn Ralchenko
Published: 18 September 2020
 by  VTeX
Modern Stochastics: Theory and Applications , Volume 7, pp 339-356; doi:10.15559/20-vmsta162

Abstract: Publisher: VTeX - Solutions for Science Publishing, Journal: Modern Stochastics - Theory and Applications, Title: Ergodic properties of the solution to a fractional stochastic heat equation, with an application to diffusion parameter estimation, Authors: Diana Avetisian, Kostiantyn Ralchenko , The paper deals with a stochastic heat equation driven by an additive fractional Brownian space-only noise. We prove that a solution to this equation is a stationary and ergodic Gaussian process. These results enable us to construct a strongly consistent estimator of the diffusion parameter.
Keywords: stochastic / equation / Heat / noise / publishing / Journal / Brownian / Ergodic / title / Diana

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