Local linearization for estimating the diffusion parameter of nonlinear stochastic wave equations with spatially correlated noise
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arXiv
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| Auteurs principaux: | , |
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| Format: | Preprint |
| Publié: |
2025
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| _version_ | 1866912622909063168 |
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| author | Liu, Guoping Wang, Ran |
| author_facet | Liu, Guoping Wang, Ran |
| contents | We study the bi-parameter local linearization of the one-dimensional nonlinear stochastic wave equation driven by a Gaussian noise, which is white in time and has a spatially homogeneous covariance structure of Riesz-kernel type. We establish that the second-order increments of the solution can be approximated by those of the corresponding linearized wave equation, modulated by the diffusion coefficient. These findings extend the previous results of Huang et al. \cite{HOO2024}, which addressed the case of space-time white noise. As applications, we analyze the quadratic variation of the solution and construct a consistent estimator for the diffusion parameter. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2510_01627 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Local linearization for estimating the diffusion parameter of nonlinear stochastic wave equations with spatially correlated noise Liu, Guoping Wang, Ran Probability 60H15, 60G17, 60G22 We study the bi-parameter local linearization of the one-dimensional nonlinear stochastic wave equation driven by a Gaussian noise, which is white in time and has a spatially homogeneous covariance structure of Riesz-kernel type. We establish that the second-order increments of the solution can be approximated by those of the corresponding linearized wave equation, modulated by the diffusion coefficient. These findings extend the previous results of Huang et al. \cite{HOO2024}, which addressed the case of space-time white noise. As applications, we analyze the quadratic variation of the solution and construct a consistent estimator for the diffusion parameter. |
| title | Local linearization for estimating the diffusion parameter of nonlinear stochastic wave equations with spatially correlated noise |
| topic | Probability 60H15, 60G17, 60G22 |
| url | https://arxiv.org/abs/2510.01627 |