Parameter Estimation for SPDEs Driven by Cylindrical Stable Processes

Abstract

We consider infinite dimensional extension of affine models with heavy tails in finance. We study several estimators of the drift parameter in the stochastic partial differential equation driven by cylindrical stable processes. We consider several sampling schemes. We also consider random sampling scheme, e.g, when the solution process is observed at the arrival times of a Poisson process. We obtain the consistency and the asymptotic normality of the estimators.