Monday, May 27, 2024 - 16:05 in ZiF, plenary hall
Diffusivity Estimation for a Stochastic Heat Equation from Noisy Observations: Nonparametric Theory and Semigroup Approximation
A talk in the SPDEvent series by
Gregor Pasemann from HU Berlin
| Abstract: |
We estimate the inhomogeneous diffusivity of a stochastic heat equation from one observed trajectory perturbed by additional observation noise, based on a maximum-likelihood type estimator. In order to account for the inhomogeneity of the diffusivity, we accumulate various local averages from the observed trajectory. The asymptotic analysis of resulting estimator reveals the need for precise approximation theory of Trotter-Kato type for the heat flow, which we will discuss (joint work with Markus Reiß).
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