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Original Articles

Parameter Estimates and Exact Variations for Stochastic Heat Equations Driven by Space-Time White Noise

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Pages 593-611
Received 10 Jan 2006
Accepted 01 Sep 2006
Published online: 07 May 2007

Abstract

In this article we calculate the exact quadratic variation in space and quartic variation in time for the solutions to a one dimensional stochastic heat equation driven by a multiplicative space-time white noise. We use the knowledge of exact variations to estimate the drift parameter appearing in the equation.

This work was partially supported by the GACR Grant 201/04/0750 and by the MSMT Research Plan MSM 4977751301

 

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