کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1155498 | 958735 | 2015 | 48 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Hypothesis testing for stochastic PDEs driven by additive noise
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Hypothesis testing for stochastic PDEs driven by additive noise Hypothesis testing for stochastic PDEs driven by additive noise](/preview/png/1155498.png)
چکیده انگلیسی
We study the simple hypothesis testing problem for the drift coefficient for stochastic fractional heat equation driven by additive noise. We introduce the notion of asymptotically the most powerful test, and find explicit forms of such tests in two asymptotic regimes: large time asymptotics, and increasing number of Fourier modes. The proposed statistics are derived based on Maximum Likelihood Ratio. Additionally, we obtain a series of important technical results of independent interest: we find the cumulant generating function of the log-likelihood ratio; obtain sharp large deviation type results for T→∞T→∞ and N→∞N→∞.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 125, Issue 3, March 2015, Pages 819–866
Journal: Stochastic Processes and their Applications - Volume 125, Issue 3, March 2015, Pages 819–866
نویسندگان
Igor Cialenco, Liaosha Xu,