We solve the one-dimensional stochastic heat equation driven by fractional Brownian motion using the modified Euler-Maruyama finite differences method. We use the numerical solution as our observation and we show how to estimate the drift parameter from a one path only.
@article{702839,
title = {Numerical approaches to parameter estimates in stochastic differential equations driven by fractional Brownian motion},
booktitle = {Programs and Algorithms of Numerical Mathematics},
series = {GDML\_Books},
publisher = {Institute of Mathematics AS CR},
address = {Prague},
year = {2006},
pages = {208-213},
url = {http://dml.mathdoc.fr/item/702839}
}
Pospíšil, Jan. Numerical approaches to parameter estimates in stochastic differential equations driven by fractional Brownian motion, dans Programs and Algorithms of Numerical Mathematics, GDML_Books, (2006), pp. 208-213. http://gdmltest.u-ga.fr/item/702839/