We aim to make and maintain a comprehensive list of the relevant literature on Statistics for SPDEs. Any omissions are not intentional and the completeness of this list relies significantly on the inputs from the scientific community.
Updates and corrections can be sent to (cialenco at gmail com) or (randolf.altmeyer at gmail com).
The bibliography is listed, to the best of our knowledge, in chronological order of the preprints appearance or the manuscript submission date. Whenever possible links to the published version and/or preprints are included.
This website is maintained by: Randolf Altmeyer (Imperial College London, UK), Igor Cialenco (Illinois Institute of Technology, USA) and Markus Reiss (Humboldt University Berlin, Germany)
I. Cialenco. Statistical inference for SPDEs: an overview. Statistical Inference for Stochastic Processes, 21(2):309–329, 2018. arXiv:1712.05445
S. V. Lototsky and B. L. Rozovsky. Stochastic partial differential equations. Universitext, Springer, 2017. [Chapter 6, Parameter estimation for diagonal SPDEs]
S. V. Lototsky. Statistical inference for stochastic parabolic equations: a spectral approach. Publ. Mat., 53(1):3-45, 2009.
A collection of plots of some SPDEs appearing in various papers on statistics for SPDEs.
Gallery 1 (70MB. Arranged by Eric Ziebell & Markus Reiß)
Gallery 2 (52MB. Arranged by Sascha Gaudlitz, Eric Ziebell & Markus Reiß )
R. Altmeyer, and S. Gaudlitz, Nonparametric Bayesian Inference for Stochastic Reaction-Diffusion Equations, Preprint arXiv:2507.06857, 2025
G. Pasemann, and M. Reiß, Information bounds for inference in stochastic evolution equations observed under noise, preprint arXiv:2505.14051, 2025
S. Nishino, A central limit theorem for the stochastic cable equation, Preprint arXiv:2506.02755, 2025
C. Olivera, and C. Tudor, Temporal quadratic and higher order variation for the nonlinear stochastic heat equation and applications to parameter estimation, Preprint arXiv:2504.18450, 2025
Y. Tonaki, Y. Kaino, M. Uchida, Estimation for linear parabolic SPDEs in two space dimensions with unknown damping parameters, Preprint arXiv:2504.09872, 2025
J. Bröcker, G. Carigi, T. Kuna, V. R. Martinez, Reconstruction of wide spectrum forcing in transport-diffusion and Navier-Stokes equations, Preprint arXiv:2504.00242, 2025
J. Janák, and E. Priola, Parameter estimation for the stochastic Burgers equation driven by white noise from local measurements, Preprint arXiv:2503.09507, 2025
S. Gaudlitz, Into space: Statistical inference for stochastic partial differential equations using spatial information, PhD Thesis
Humboldt-Universität zu Berlin, 2024
Y. Li, H. Shu, and L. Yan., Exact Temporal Variation for Fractional Stochastic Heat Equation Driven by Space-Time White Noise, Preprint arXiv:2410.20426, 2024
G. Pasemann, and M. Reiß, Nonparametric Diffusivity Estimation for the Stochastic Heat Equation from Noisy Observations, Preprint arXiv:2410.00677, 2024
A. Tiepner, and L. Trottner, Multivariate change estimation for a stochastic heat equation from local measurements, Preprint arXiv:2409.15059, 2024
S. Douissi, and F. Alshahrani, Parameter estimation for fractional stochastic heat equations : Berry-Esséen bounds in CLTs, Preprint arXiv:2409.05416v1, 2024
Y. Tonaki, Y. Kaino, M. Uchida, Small dispersion asymptotics for an SPDE in two space dimensions using triple increments, Preprint arXiv:2408.02224, 2024
A. Tiepner, E. Ziebell, Parameter estimation in hyperbolic linear SPDEs from multiple measurements, Preprint arXiv:2407.13461,2024
A. Alsenafi, F. Alazemi, and K. Es-Sebaiy, Kolmogorov bounds for maximum likelihood drift estimation for discretely sampled SPDEs, Adv Cont Discr Mod 2024, 52, 2024
T. H. Nguyen, and A. Shirikyan, Viscosity estimation for 2D pipe flows I. Construction, consistency, asymptotic normality , Preprint arXiv:2407.07369v1, 2024
Y. Tonaki, Y. Kaino, and M. Uchida, Estimation for the damping factor of the driving process of an SPDE in two space dimensions, Preprint arXiv:2407.00953v1, 2024
E. Ziebell, Non-parametric estimation for the stochastic wave equation, Preprint arXiv:2404.18823, 2024
N. Berglund, A. Blessing, Concentration estimates for SPDEs driven by fractional Brownian motion, Preprint arXiv: 2404.16485v1, 2024
C. Strauch, and A. Tiepner, Nonparametric velocity estimation in stochastic convection-diffusion equations from multiple local measurements, Preprint arXiv:2402.08353, 2024
D. Schroers, Robust Functional Data Analysis for Stochastic Evolution Equations in Infinite Dimensions, Preprint arXiv:2401.16286v1, 2024
F. Baltazar‐Larios, F. Delgado‐Vences, and L. Peralta, Statistical inference for a stochastic partial differential equation related to an ecological niche,
Mathematical Methods in the Applied Sciences, Wiley, 47, 13672-13689, 2024.
P. Bossert, Statistical structure and inference methods for discrete high-frequency observations of SPDEs in one and multiple space dimensions, PhD thesis, Julius-Maximilians-Universit at Wurzburg, 2023
H. Jiang, and J. Zhou, Berry-Esseen bound and Cramér-type moderate deviations of drift estimation in SPDEs driven by additive noise
Research Square, Platform LLC, 2023
A. Clini, B. Fehrman, A central limit theorem for nonlinear conservative SPDEs, Preprint arXiv:2310.19924, 2023
P. Bossert, Parameter estimation for second-order SPDEs in multiple space dimensions, Statistical Inference for Stochastic Processes, Springer Science and Business Media LLC, 2024, 27, 485-583, 2024. arXiv:2310.17828
I. Cialenco, R. Hu, Q. Lin, Estimation of anisotropic viscosities for the stochastic primitive equations, Stoch PDE: Anal Comp (2025). (Preprint arXiv:2309.06952, 2023)
M. Reiß, C. Strauch, and L. Trottner, Change point estimation for a stochastic heat equation, forthcoming in Annals of Statistics, preprint arXiv:2307.10960, 2023
S. Gaudlitz, Non-parametric estimation of the reaction term in semi-linear SPDEs with spatial ergodicity, Preprint arXiv:2307.05457, 2023
Y. Tonaki, Y. Kaino and M. Uchida, Parametric estimation for linear parabolic SPDEs in two space dimensions based on temporal and spatial increments, Preprint arXiv:2304.09441, 2023
J. Janák and M. Reiß, Parameter estimation for the stochastic heat equation with multiplicative noise from local measurements, Stochastic Processes and Their Applications 175, 104385, 2024, (Preprint arXiv:2303.00074, 2023)
Y. Tonaki, Y. Kaino, and M. Uchida, Parameter estimation for a linear parabolic SPDE model in two space dimensions with a small noise, Preprint arXiv:2206.10363, 2022.
J. Gamain and C. A. Tudor, Exact variation and drift parameter estimation for the nonlinear fractional stochastic heat equation. Jpn J Stat Data Sci 6, 381–406, 2023.
S. Gaudlitz, M. Reiß, Estimation for the reaction term in semi-linear SPDEs under small diffusivity, Bernoulli, 29, 3033 - 3058, 2023. arXiv
Y. Tonaki, Y. Kaino and M. Uchida, Parameter estimation for linear parabolic SPDEs in two space dimensions based on high frequency data, Scand J Statist, 1–22, 2023. arXiv
A. Biswas, and J. Hudson, Determining the viscosity of the Navier-Stokes equations from observations of finitely many modes, Preprint arXiv:2211.15772v2, 2022
R. Altmeyer, A. Tiepner, and M. Wahl, Optimal parameter estimation for linear SPDEs from multiple measurements, The Annals of Statistics, 52(4), 1307-1333, 2024 (preprint arXiv:2211.02496, 2022)
M. Bibinger, and P. Bossert, Efficient parameter estimation for parabolic SPDEs based on a log-linear model for realized volatilities. Jpn J Stat Data Sci, 6, 407–429, 2023 (preprint arXiv:2207.00357)
F. E. Benth, D. Schroers, and A. E. D. Veraart, A feasible central limit theorem for realised covariation of SPDEs in the context of functional data, Ann. Appl. Probab. 34(2): 2208-2242, 2022. (Preprint arXiv:2205.03927, 2022)
P. Kříž, and J. Šnupárková, Pathwise least-squares estimator for linear SPDEs with additive fractional noise, Electronic Journal of Statistics, 16, 1561-1594, 2022 (preprint arXiv:2203.05234, 2022)
C. A. Tudor, Stochastic Partial Differential Equations With Additive Gaussian Noise-Analysis And Inference, World Scientific, 2022
O. Lang, P. J. van Leeuwen, D. Crisan and R. Potthast, Bayesian inference for fluid dynamics: A case study for the stochastic rotating shallow water model, Frontiers in Applied Mathematics and Statistics, 8, 2022 arXiv
R. Shevchenko. On quadratic variations of the fractional-white wave equation. Preprint arXiv:2111.13659, 2021.
V. R. Martinez, Convergence analysis of a viscosity parameter recovery algorithm for the 2D Navier–Stokes equations, Nonlinearity, 35, 2241, 2022 arXiv
O. Assaad, J. Gamain and C. A. Tudor, Quadratic variation and drift parameter estimation for the stochastic wave equation with space-time white noise, Stochastics and Dynamics, 22, 2240014, 2022
M. Kovács, Lang A. and A. Petersson. Approximation of SPDE covariance operators by finite elements: A semigroup approach. Preprint arXiv:2107.10109, 2021.
G. Pang and W. Cao. Pseudo-Likelihood Estimation for Parameters of Stochastic Time-Fractional Diffusion Equations. Fractal and Fractional 5, no. 3 ,129, 2021.
R. Dhoyer and C. A. Tudor, Non-central limit theorem for the spatial average of the solution to the wave equation with Rosenblatt noise, Theory of Probability and Mathematical Statistics,106, 105-119, 2022
O. Assaad and C. A. Tudor, Pathwise analysis and parameter estimation for the stochastic Burgers equation, Bulletin des Sciences Mathématiques, 170, 102995, 2021.
F. Delgado-Vences, and J. J. Pavon-Español. Statistical inference for a stochastic wave equation with Malliavin calculus, Stochastic Analysis and Applications, 41, 447-473, 2023. arXiv:2104.04176, 2021.
I. Cialenco, H.-J. Kim, G. Pasemann. Statistical analysis of discretely sampled semilinear SPDEs: a power variation approach. Preprint arXiv:2103.04211, 2021.
F. Hildebrandt, M. Trabs. Nonparametric calibration for stochastic reaction-diffusion equations based on discrete observations. Stochastic Processes and their Applications, 162, 171-217, 2023. arXiv:2102.13415.
O. Assaad, Obayda, and C. A. Tudor. Pathwise analysis and parameter estimation for the stochastic Burgers equation. Bulletin des Sciences Mathématiques 170: 102995, 2021.
F. Espen Benth, D. Schroers, and A. E.D. Veraart, A weak law of large numbers for realised covariation in a Hilbert space setting, Stochastic Processes and their Applications 145, pp. 241–268, 2022. arXiv
R. Altmeyer, T. Bretschneider, J. Janák, M. Reiß. Parameter Estimation in an SPDE Model for Cell Repolarisation. SIAM/ASA Journal of Uncertainty Quantification 10(1), 179-199, 2022 (Preprint arxiv:2010.06340, 2020)
L. Sharrock and N. Kantas. Joint Online Parameter Estimation and Optimal Sensor Placement for the Partially Observed Stochastic Advection-Diffusion Equation. Preprint arXiv:2009.08693, 2020.
Y. Kaino, and M. Uchida. Adaptive estimator for a parabolic linear SPDE with a small noise, Jpn J Stat Data Sci 4, 513–541, 2021. arXiv:2008.05353
C. Chong, R.C. Dalang. Power variations in fractional Sobolev spaces for a class of parabolic stochastic PDEs. Preprint arXiv:2006.15817, 2020.
D. Avetisian and K. Ralchenko. Ergodic properties of the solution to a fractional stochastic heat equation, with an application to diffusion parameter estimation. Modern Stochastics: Theory and Applications 7, no. 3, 339-356, 2020.
R. Altmeyer, I. Cialenco, G. Pasemann. Parameter estimation for semilinear SPDEs from local measurements. Preprint arXiv:2004.14728, 2020.
S. Reich, and P. Rozdeba. Posterior contraction rates for non-parametric state and drift estimation. Preprint arXiv:2003.09219, 2020
I. Cialenco, H.-J. Kim. Parameter estimation for discretely sampled stochastic heat equation driven by space-only noise. Stochastic Processes and their Applications 143, 1-30, 2022. arXiv
G. Pasemann, S. Flemming, S. Alonso, C. Beta, W. Stannat. Diffusivity Estimation for Activator-Inhibitor Models: Theory and Application to Intracellular Dynamics of the Actin Cytoskeleton. Preprint arXiv:2005.09421, 2020.
F. Hildebrandt, M. Trabs. Parameter estimation for SPDEs based on discrete observations in time and space. Electronic Journal of Statistics, 15(1), 2716-2776, 2021. arXiv
Z. M. Khalil and C. Tudor, Estimation of the drift parameter for the fractional stochastic heat equation via power variation, Modern Stochastics: Theory and Applications 6(2019), no. 4, 397-417, DOI 10.15559/19-VMSTA141.
Y. Kaino, and M. Uchida. Parametric estimation for a parabolic linear SPDE model based on discrete observations. Journal of Statistical Planning and Inference, 211, 190-220, 2021. arXiv
C. Chong. High-frequency analysis of parabolic stochastic PDEs with multiplicative noise: Part I. Preprint arXiv:1908.04145, 2019.
I. Cialenco, F. Delgado-Vences, and H.-J. Kim. Drift estimation for discretely sampled SPDEs. Stochastics and Partial Differential Equations: Analysis and Computations 1-26, 2020. arXiv
I. Cialenco, H.-J. Kim, and S. V. Lototsky. Statistical analysis of some evolution equations driven by space-only noise. Stat. Inference Stoch. Process. 23(1):83-103, 2020. arXiv
R. Shevchenko, M. Slaoui, and C. A. Tudor. Generalized k-variations and Hurst parameter estimation for the fractional wave equation via Malliavin calculus. Journal of Statistical Planning and Inference, 207, 155-180, 2020. arXiv.
P. Kříž. A space-consistent version of the minimum-contrast estimator for linear stochastic evolution equations. Stochastics and Dynamics, 20(03), p.2050019, 2019. arXiv.
P. Kříž and B. Maslowski. Central limit theorems and minimum-contrast estimators for linear stochastic evolution equations. Stochastics, 1-32, 2019. arXiv
R. Altmeyer and M. Reiß. Nonparametric estimation for linear SPDEs from local measurements. Ann. Appl. Probab. 31 (1) 1 - 38, 2021. arXiv
G. Pasemann and W. Stannat. Drift estimation for stochastic reaction-diffusion systems. Electronic Journal of Statistics 14(1):547-579, 2020. arXiv
M. Bibinger and M. Trabs. On central limit theorems for power variations of the solution to the stochastic heat equation. In Workshop on Stochastic Models, Statistics and their Application (pp. 69-84). Springer, Cham, 2019. arXiv
C. Chong. High-frequency analysis of parabolic stochastic PDEs. Ann. Statist., 48(2):1143-67, 2020. arXiv
Z. Cheng, I. Cialenco, and R. Gong. Bayesian estimations for diagonalizable bilinear SPDEs. Stochastic Process. Appl., 130(2):845-77, 2020. arXiv
I. Cialenco. Statistical inference for SPDEs: an overview. Stat. Inference Stoch. Process., 21(2):309–329, 2018.
M. Bibinger and M. Trabs. Volatility estimation for stochastic PDEs using high-frequency observations. Stochastic Process. Appl., 130(5):3005-3052, 2020. arXiv
I. Cialenco and Y. Huang. A note on parameter estimation for discretely sampled SPDEs. Stoch. Dyn., 20(3):2050016, 2020. arXiv.
I. Cialenco, R. Gong, and Y. Huang. Trajectory fitting estimators for SPDEs driven by additive noise. Stat. Inference Stoch. Process., 21(1):1–19, 2018. arXiv
J. Janák. Parameter estimation for stochastic wave equation based on observation window. Acta Appl. Math., 172(2), 2021. arXiv
J. Janák. Parameter estimation for stochastic partial differential equations of second order. Appl. Math. Optim., 82:353-397, 2020. arXiv
I. Cialenco and L. Xu. Hypothesis testing for stochastic PDEs driven by additive noise. Stochastic Process. Appl., 125(3):819-866, 2015. arXiv
D. Crisan, Y. Otobe and S. Peszat (2015). Inverse problems for stochastic transport equations. Inv. Probl., 31(1), 015005.
I. Cialenco and L. Xu. A note on error estimation for hypothesis testing problems for some linear SPDEs. Stoch. Partial Differ. Equ. Anal. Comput., 2(3):408-431, 2014. arXiv
B. Maslowski and C. Tudor. Drift parameter estimation for infinite-dimensional fractional Ornstein–Uhlenbeck process. Bulletin Des Sciences Mathématiques, 137(7), 880–901. http://doi.org/10.1016/j.bulsci.2013.04.008, 2013.
A. Gupta and M. Khammash. Unbiased estimation of parameter sensitivities for stochastic chemical reaction networks. SIAM Journal on Scientific Computing 35, no. 6, 2598-2620, 2012. DOI: 10.1137/120898747
I. Cialenco and N. Glatt-Holtz. Parameter estimation for the stochastically perturbed Navier-Stokes equations. Stochastic Process. Appl., 121(4):701-724, 2011.
I. Cialenco. Parameter estimation for SPDEs with multiplicative fractional noise. Stoch. Dyn., 10(4):561-576, 2010.
I. Cialenco and S. V. Lototsky. Parameter estimation in diagonalizable bilinear stochastic parabolic equations. Stat. Inference Stoch. Process., 12(3):203-219, 2009.
S. V. Lototsky. Statistical inference for stochastic parabolic equations: a spectral approach. Publ. Mat., 53(1):3-45, 2009.
I. Cialenco, S. V. Lototsky, and J. Pospíšil. Asymptotic properties of the maximum likelihood estimator for stochastic parabolic equations with additive fractional Brownian motion. Stoch. Dyn., 9(2):169-185, 2009.
B. Maslowski and J. Pospíšil. Ergodicity and parameter estimates for infinite-dimensional fractional Ornstein-Uhlenbeck process. Appl. Math. Optim., 57(3):401-429, 2008.
J. Pospíšil and R. Tribe. Parameter estimates and exact variations for stochastic heat equations driven by space-time white noise. Stoch. Anal. Appl., 25(3):593-611, 2007.
J. Pospíšil. On parameter estimates in stochastic evolution equations driven by fractional Brownian motion. PhD thesis, University of West Bohemia, Plzen, 2005.
B. L. S. Prakasa Rao. Parameter estimation for some stochastic partial differential equations driven by infinite dimensional fractional Brownian motion. Theory Stoch. Process., 10(3-4):116-125, 2004.
S. V. Lototsky. Optimal filtering of stochastic parabolic equations. In S. Albeverio, Z.-M. Ma, M. Rockner edts, Recent developments in stochastic analysis and related topics, pages 330-353. World Sci. Publ., Hackensack, NJ, 2004.
B. L. S. Prakasa Rao. Estimation for some stochastic partial differential equations based on discrete observations. II. Calcutta Statist. Assoc. Bull., 54(215-216):129-141, 2003.
B. Markussen. Likelihood inference for a discretely observed stochastic partial differential equation. Bernoulli, 9(5):745-762, 2003.
S. V. Lototsky. Parameter estimation for stochastic parabolic equations: asymptotic properties of a two-dimensional projection-based estimator. Stat. Inference Stoch. Process., 6(1):65-87, 2003.
B. Goldys and B. Maslowski. Parameter estimation for controlled semilinear stochastic systems: identifiable and consistency. J. Multivariate Anal., 80(2):322-343, 2002.
J. P. N. Bishwal. The Bernstein-von Mises theorem and spectral asymptotics of Bayes estimators for parabolic SPDEs. J. Aust. Math. Soc., 72(2):287-298, 2002.
B. L. S. Prakasa Rao. Nonparametric inference for a class of stochastic partial differential equations based on discrete observations. Sankhy a Ser. A, 64(1):1-15, 2002.
I. A. Ibragimov and R. Z. Khasminskii. Estimation problems for coefficients of stochastic partial differential equations. Part III. Theory Probab. Appl., 45(2), 210-232, 2001.
S. V. Lototsky and B. L Rozovskii. Parameter estimation for stochastic evolution equations with non-commuting operators. In Skorohod's Ideas in Probability Theory, V.Korolyuk, N.Portenko and H.Syta (editors), pages 271-280. Institute of Mathematics of National Academy of Sciences of Ukraine, Kiev, Ukraine, 2000.
M. Huebner and S. V. Lototsky. Asymptotic analysis of a kernel estimator for parabolic SPDE's with time-dependent coe cients. Ann. Appl. Probab., 10(4):1246-1258, 2000.
M. Huebner and S. V. Lototsky. Asymptotic analysis of the sieve estimator for a class of parabolic SPDEs. Scand. J. Statist., 27(2):353-370, 2000.
I. A. Ibragimov and R. Z. Khasminskii. Problems of estimating the coefficients of stochastic partial differential equations Part II. Theory Probab. Appl., 44(3), 469-494, 2000.
J. P. N. Bishwal. Bayes and sequential estimation in Hilbert space valued stochastic differential equations. J. Korean Statist. Soc., 28(1):93-106, 1999.
S. V. Lototsky and B. L. Rozovskii. Spectral asymptotics of some functionals arising in statistical inference for SPDEs. Stochastic Process. Appl., 79(1):69-94, 1999.
M. Huebner. Asymptotic properties of the maximum likelihood estimator for stochastic PDEs disturbed by small noise. Stat. Inference Stoch. Process., 2(1):57-68 (2000), 1999.
I. A. Ibragimov and R. Z. Khasminskii. Problems of estimating the coefficients of stochastic partial differential equations Part I. Theory Probab. Appl., 43(3), 370–387, 1999.
B. L. S. Prakasa Rao. Bayes estimation for some stochastic partial di erential equations. J. Statist. Plann. Inference, 91(2):511-524, 2000. Prague Workshop on Perspectives in Modern Statistical Inference: Parametrics, Semi-parametrics, Non-parametrics (1998).
S. I. Aihara. Consistency property of extended least-squares parameter estimation for stochastic diffusion equation. Systems Control Lett., 34(5):249-256, 1998.
S. I. Aihara. Identification of a discontinuous parameter in stochastic parabolic systems. Appl. Math. Optim., 37(1):43-69, 1998.
M. Huebner. A characterization of asymptotic behaviour of maximum likelihood estimators for stochastic PDE's. Math. Methods Statist., 6(4):395-415, 1998.
L. I. Piterbarg and B. L. Rozovskii. On asymptotic problems of parameter estimation in stochastic PDE's: discrete time sampling. Math. Methods Statist., 6(2):200-223, 1997.
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S. V. Lototsky. Problems in statistics of stochastic di erential equations. PhD thesis, University of Southern California, Los Angeles, USA, 1996.
M. Huebner and B. L. Rozovskii. On asymptotic properties of maximum likelihood estimators for parabolic stochastic PDE's. Probab. Theory Related Fields, 103(2):143-163, 1995.
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M. Huebner. Parameter Estimation for SPDEs. PhD thesis, University of Southern California, Los Angeles, USA, 1993.
S. I. Aihara. Regularized maximum likelihood estimate for an in nite-dimensional parameter in stochastic parabolic systems. SIAM J. Control Optim., 30(4):745-764, 1992.
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