Maximum likelihood estimation of McKean-Vlasov stochastic differential equation and its application

DOI10.1016/j.amc.2015.11.019zbMath1410.62160OpenAlexW2185916662WikidataQ115361324 ScholiaQ115361324MaRDI QIDQ668822

Jianghui Wen, Xin-ping Xiao, Shu-hua Mao, Xiang Jun Wang

Publication date: 19 March 2019

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2015.11.019

zbMATH Keywords

maximum likelihood estimationnumerical simulationion diffusionMcKean-Vlasov stochastic differential equation

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) PDEs with randomness, stochastic partial differential equations (35R60)

Related Items (12)

Eigenfunction Martingale Estimators for Interacting Particle Systems and Their Mean Field Limit ⋮ Parameter estimation of path-dependent McKean-Vlasov stochastic differential equations ⋮ Parameter estimation for stochastic Lotka-Volterra model driven by small Lévy noises from discrete observations ⋮ Least squares estimation for discretely observed Ornstein–Uhlenbeck process driven by small stable noises ⋮ Online parameter estimation for the McKean-Vlasov stochastic differential equation ⋮ Parameter estimation of discretely observed interacting particle systems ⋮ Estimation for incomplete information stochastic systems from discrete observations ⋮ Convergence rate in \(\mathcal{L}^p\) sense of tamed EM scheme for highly nonlinear neutral multiple-delay stochastic McKean-Vlasov equations ⋮ Estimation of intrinsic growth factors in a class of stochastic population model ⋮ Least squares estimation for path-distribution dependent stochastic differential equations ⋮ Maximum likelihood estimation of potential energy in interacting particle systems from single-trajectory data ⋮ The LAN property for McKean-Vlasov models in a mean-field regime

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