Dear colleagues,
we are happy to announce the following talk
Josef Janák (Università di Pavia) Parameter estimation for the stochastic heat equation with multiplicative noise from local measurements
Abstract: We propose the stochastic heat equation driven by the multiplicative space-time white noise and we introduce several estimators to the diffusivity parameter that are inspired by the maximum likelihood estimator. Since our observation scheme relies on local measurements, the asymptotics of the estimators is pursued with a fixed time horizon and with the spatial resolution of the observations tending to zero. A stable central limit theorem shows that our proposed estimators are strictly consistent and asymptotically mixed normal. The performance of the estimators is demonstrated in numerical simulations. This is a joint work with Professor Markus Reiß.
Date and time: Thursday May 16, 11:15-12:15 (Rome time zone) Place: Aula Beltrami, Dip. Matematica, Univ. Di Pavia.
Zoom meeting link: https://zoom.us/j/95472715600?pwd=bG1lYVNFMXp5ZGxBcTFoNXNxbE1UZz09 https://zoom.us/j/95472715600?pwd=bG1lYVNFMXp5ZGxBcTFoNXNxbE1UZz09
ID riunione: 954 7271 5600 Codice d’accesso: 043885
These talks are part of the (PMS)^2: Pavia-Milano Seminar series on Probability and Mathematical Statistics organized jointly by the universities Milano-Bicocca, Pavia and Milano-Politecnico.
Participation is free and welcome!
Best regards The organizers (Carlo Orrieri, Maurizia Rossi, Margherita Zanella)