Semiparametric estimation of McKean-Vlasov SDEs

DOI10.1214/22-AIHP1261MaRDI QIDQ2686604zbMATH OpenFDO

Authors D. Belomestny, Vytautė Pilipauskaitė, Mark Podolskij

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

semiparametric estimationdeconvolutionmean field modelsmulti-agent learningminimax boundsMcKean-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)

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Cited in

(7)

• Parameter estimation of discretely observed interacting particle systems
• Semiparametric estimation of McKean-Vlasov SDEs
• Nonparametric adaptive estimation for interacting particle systems
• Parametric inference for ergodic McKean-Vlasov stochastic differential equations
• A method of moments estimator for interacting particle systems and their mean field limit
• McKean--Vlasov SDEs in Nonlinear Filtering
• Nonparametric drift estimation from diffusions with correlated Brownian motions

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