Parameter estimation in mixed fractional stochastic heat equation
Анотація
The paper is devoted to a stochastic heat equation with a mixed fractional Brownian noise. We investigate the covariance structure, stationarity, upper bounds and asymptotic behavior of the solution. Based on its discrete-time observations, we construct a strongly consistent estimator for the Hurst index H and prove the asymptotic normality for $H. Then assuming the parameter H to be known, we deal with joint estimation of the coefficients at the Wiener process and at the fractional Brownian motion. The quality of estimators is illustrated by simulation experiments.
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