Parameter estimation of path-dependent McKean-Vlasov stochastic differential equations

DOI10.1007/s10473-022-0304-8OpenAlexW3034033800WikidataQ115384351 ScholiaQ115384351MaRDI QIDQ2157859

Meiqi Liu, Huijie Qiao

Publication date: 22 July 2022

Published in: Acta Mathematica Scientia. Series B. (English Edition) (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2004.09580

zbMATH Keywords

maximum likelihood estimationnumerical simulationstrong consistencypath-dependent McKean-Vlasov stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (4)

Eigenfunction Martingale Estimators for Interacting Particle Systems and Their Mean Field Limit ⋮ Asymptotic behaviors of small perturbation for multivalued Mckean-Vlasov stochastic differential equations ⋮ Parameter estimation of discretely observed interacting particle systems ⋮ The LAN property for McKean-Vlasov models in a mean-field regime

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