Non-parametric estimation for stochastic PDEs based on discrete observations
Conference
65th ISI World Statistics Congress 2025
Format: IPS Abstract - WSC 2025
Keywords: central limit theorem,, non-parametric, parameter-estimation, spdes, stochastic-processes
Session: IPS 763 - Statistics for Stochastic Processes
Tuesday 7 October 2 p.m. - 3:40 p.m. (Europe/Amsterdam)
Abstract
In view of a growing number of stochastic partial differential equation (SPDE) models used in the natural sciences as well as in mathematical finance, their data-based calibration has become an increasingly active field of research during the last years. In this talk we study non-parametric estimation for SPDEs when the solution field is observed discretely in time and space with a focus on SPDEs on bounded multi-dimensional domains. We will derive rates of convergence as well as central limit theorems for the constructed estimators.