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arxiv: 0906.4353 · v1 · submitted 2009-06-23 · 🧮 math.PR · math.ST· stat.TH

Parameter Estimation in Diagonalizable Stochastic Hyperbolic Equations

classification 🧮 math.PR math.STstat.TH
keywords coefficientsestimationestimatorfourierhyperbolicnoisenumberparameter
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A parameter estimation problem is considered for a linear stochastic hyperbolic equation driven by additive space-time Gaussian white noise. The damping/amplification operator is allowed to be unbounded. The estimator is of spectral type and utilizes a finite number of the spatial Fourier coefficients of the solution. The asymptotic properties of the estimator are studied as the number of the Fourier coefficients increases, while the observation time and the noise intensity are fixed.

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