Ergodicity and Parameter Estimates for Infinite-Dimensional Fractional Ornstein-Uhlenbeck Process

Ergodicity and Parameter Estimates for Infinite-Dimensional Fractional Ornstein-Uhlenbeck Process Existence and ergodicity of a strictly stationary solution for linear stochastic evolution equations driven by cylindrical fractional Brownian motion are proved. Ergodic behavior of non-stationary infinite-dimensional fractional Ornstein-Uhlenbeck processes is also studied. Based on these results, strong consistency of suitably defined families of parameter estimators is shown. The general results are applied to linear parabolic and hyperbolic equations perturbed by a fractional noise. Applied Mathematics and Optimization Springer Journals

Ergodicity and Parameter Estimates for Infinite-Dimensional Fractional Ornstein-Uhlenbeck Process

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Copyright © 2008 by Springer Science+Business Media, LLC
Mathematics; Numerical and Computational Methods ; Mathematical Methods in Physics; Mathematical and Computational Physics; Systems Theory, Control; Calculus of Variations and Optimal Control; Optimization
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  • Stochastic analysis of the fractional Brownian motion
    Decreusefond, L.; Üstünel, A.S.

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