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Nonparametric estimation for stochastic PDEs via localisation | Prof. Markus Reiss (Humboldt-Universität zu Berlin)
For a broader audience we shall introduce to basic stochastic ordinary and partial differential equations (SODEs/SPDEs) and consider statistical problems for these models. We shall encounter a fundamental difference for drift
estimation for SODEs/SPDEs. Then we consider the specific problem of estimating the space-dependent diffusivity of a stochastic heat equation from
time-continuous observations with space resolution $h$. This will be achieved by a localised MLE approach. The rather counterintuitive convergence result and its efficiency as $h\to 0$ will be discussed in detail.
(joint work with Randolf Altmeyer, Berlin)
Einladung von Prof. Thorsten Dickhaus