Estimation for the damping factor of the driving process of an SPDE in two space dimensions
Abstract
We study parametric estimation for a second order linear parabolic stochastic partial differential equation (SPDE) in two space dimensions driven by a Q-Wiener process based on high frequency spatio-temporal data. We give an estimator of the damping parameter of the Q-Wiener process of the SPDE based on quadratic variations with temporal and spatial increments. We also provide simulation results of the proposed estimator.
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