Recent discoveries in statistical inference for SPDEs

Due to the recent COVID-19 outbreak, this event has been cancelled.

Speaker:

Hyun-Jun Kim, visiting assistant professor of Applied Mathematics, Illinois Tech

Description:

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.

Topic:

Mathematical Finance, Stochastic Analysis, and Machine Learning