Ciprian Tudor, Université Paris 1

Correlation Structure and Quadratic Variations of the Solution to the Wave Equation

Abstract

We consider the stochastic wave equation with white or fractional noise in time and white noise in space. We analyze the correlation structure of this Gaussian process and to study the asymptotic behavior in distribution of its spatial quadratic variation by using the tools from Malliavin calculus.  As an application, we construct a consistent estimator for the Hurst parameter.