Online parameter estimation for the McKean-Vlasov stochastic differential equation (Q6115259): Difference between revisions

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scientific article; zbMATH DE number 7711494

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English	Online parameter estimation for the McKean-Vlasov stochastic differential equation	scientific article; zbMATH DE number 7711494

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scholarly article

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Online parameter estimation for the McKean-Vlasov stochastic differential equation (English)

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Grigorios A. Pavliotis

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Stochastic Processes and their Applications

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publication date

12 July 2023

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full work available at URL

https://arxiv.org/abs/2106.13751

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zbMATH Keywords

McKean-Vlasov equation

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maximum likelihood

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parameter estimation

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stochastic gradient descent

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MaRDI profile type

MaRDI publication profile

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Uniform convergence to equilibrium for granular media

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Logarithmic Sobolev inequalities for some nonlinear PDE's.

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Stochastic Processes and Applications

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Eigenfunction Martingale Estimators for Interacting Particle Systems and Their Mean Field Limit

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A Stochastic Approximation Method

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Joint Online Parameter Estimation and Optimal Sensor Placement for the Partially Observed Stochastic Advection-Diffusion Equation

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Two-timescale stochastic gradient descent in continuous time with applications to joint online parameter estimation and optimal sensor placement

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Stochastic Gradient Descent in Continuous Time

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Stochastic Gradient Descent in Continuous Time: A Central Limit Theorem

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Online Maximum-Likelihood Estimation of the Parameters of Partially Observed Diffusion Processes

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Convergence to the equilibria for self-stabilizing processes in double-well landscape

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Phase transitions of McKean–Vlasov processes in double-wells landscape

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Distribution dependent SDEs for Landau type equations

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

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On a comparison theorem for solutions of stochastic differential equations and its applications

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1016/J.SPA.2023.05.002

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Sitelinks

Mathematics(1 entry)

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