Parameter estimate for a linear parabolic fractional SPDE with jumps

  • Wilfried Grecksch (Martin-Luther-Universität Halle)
E1 05 (Leibniz-Saal)


A drift parameter estimation problem is studied for a linear parabolic stochastic partial differential equation driven by a multiplicative cylindrical fractional Brownian motion with Hurst index h ∈]1/2, 1[ and a multiplicative Poisson process with values in a Hilbert space. Equations are introduced for the Galerkin approximations of the mild solution process. A mean square estimation criterion is used for these equations. It is proved that the estimate is unbiased and weakly consistent for the original problem.

Katja Heid

Max Planck Institute for Mathematics in the Sciences Contact via Mail

Benjamin Gess

Max-Planck-Institut für Mathematik in den Naturwissenschaften