Work

Exact temporal variations and parameter estimation for space--time fractional stochastic heat equations driven by multiplicative noise

Year: 2026

Type: preprint

Abstract: We establish exact limits for the normalized temporal power variations of every fixed real order \(γ\geq2\) for the mild solution to a one-dimensional space--time fractional stochastic heat equation driven by multiplicative space--time white noise. The results include the exact normalized quadratic variation and the critical power variation of order \(2α/(α-β)\) as special cases. We also obtain the corresponding spatially averaged temporal variations. As applications, we construct consistent estimators for the drift parameter and for the ratio \(β/α\).

Source: arXiv (Cornell University)

DOI: 10.48550/arxiv.2610.04564

Authors: Li, Yongkang, Hu, Yaozhong, Yan, Litan

Institutions: University of Alberta, Donghua University

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funders: Natural Science Foundation of Shanghai, University of Alberta, National Natural Science Foundation of China, Natural Sciences and Engineering Research Council of Canada, Fundamental Research Funds for the Central Universities

Awards: G1387180515, G19782150, G3069566063, G6427922217, G6618812660, G8588034587, G8639756747

OpenAlex ID: W7220726795

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