Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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Parameter Estimation for a Hilbert Space-valued Stochastic Differential Equation ？$\pm$

  • Published : 2002.09.01
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Abstract

We deal with asymptotic properties of Maximum Likelihood Estimator(MLE) for the parameters appearing in a Hilbert space-valued Stochastic Differential Equation(SDE) and a Stochastic Partial Differential Equation(SPDE). In paractice, the available data are only the finite dimensional projections to the solution of the equation. Using these data we obtain MLE and consider the asymptotic properties as the dimension of projections increases. In particular we explore a relationship between the conditions for the solution and asymptotic properties of MLE.

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References

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