Hyun-Jung Kim : Recent advances in statistical inference for SPDEs

Posted by Cheng Ouyang , part of the Statistics and Data Science Seminar.

At

Feb. 26, 2020, 4 p.m.

In

636 SEO

Abstract

In this talk, we discuss recent discoveries in statistical inference for stochastic partial differential equations (SPDEs). We mainly focus on parameter estimation problems in stochastic evolution equations driven by additive noise: 1. space-time and 2. space-only colored (or white) noise. The goal of this talk is to derive "good" estimators in the sense that they are consistent and asymptotically normal to a true parameter in a specific asymptotic regime when continuous or discrete sampling of the solution process is available.