Recent discoveries in statistical inference for SPDEs
Due to the recent COVID-19 outbreak, this event has been cancelled.
Hyun-Jun Kim, visiting assistant professor of Applied Mathematics, Illinois Tech
In this talk, we discuss recent results 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.
Mathematical Finance, Stochastic Analysis, and Machine Learning