Hurst index estimation for SPDEs

Hurst index determines regularity, self-similarity and autocovariance structure of a fractional Brownian motion (fBm). Although there is a vast literature on Hurst index estimation for fBm, not much has been done on its estimation for SPDEs driven by fBm so far (except for few papers with very special observational schemes). We have recently initiated a research on this topic (Hurst index estimation for semilinear SPDEs driven by cylindrical fBm) and will discuss some preliminary results and ideas with illustration both on synthetic and real data. The presented work is still in progress and is conducted in cooperation with Gregor Pasemann and Markus Reiß.