Semiparametric estimation of McKean-Vlasov SDEs

DOI10.1214/22-AIHP1261MaRDI QIDQ2686604

Mark Podolskij, Vytautė Pilipauskaitė, Denis Belomestny

Publication date: 28 February 2023

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2107.00539

zbMATH Keywords

mean field modelssemiparametric estimationdeconvolutionminimax boundsmulti-agent learningMcKean-Vlasov SDEs

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) General theory of stochastic processes (60G07)

Related Items (3)

Nonparametric drift estimation from diffusions with correlated Brownian motions ⋮ Parameter estimation of discretely observed interacting particle systems ⋮ Nonparametric adaptive estimation for interacting particle systems

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