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Statistical Analysis of Evolution Equations Driven by Space-Only Noise

When: 

Apr 23, 2019 - 11:25am to 12:45pm

Where: 

Rettaliata Engineering Center, Room 103

Speaker: 

Hyun-Jung Kim
Department of Applied Mathematics, Illinois Institute of Technology

Description: 

In this talk, statistical properties of stochastic evolution equations driven by space-only noise, either additive or multiplicative, are discussed. The structure of the observations coming from these equations leads to an interesting interplay between classical and non-traditional statistical models. With this structure, we construct several types of estimators for the drift and diffusion coefficient of these classes of equations, and their asymptotic properties are established under appropriate assumptions. This is joint work with Igor Cialenco (Illinois Tech) and Sergey V. Lototsky (USC).

Event Type: 

Department of Applied Mathematics - Mathematical Finance and Stochastic Analysis Seminar