D. Belomestny, Vytaut.e Pilipauskait.e, M. Podolskij
{"title":"Semiparametric estimation of McKean–Vlasov SDEs","authors":"D. Belomestny, Vytaut.e Pilipauskait.e, M. Podolskij","doi":"10.1214/22-aihp1261","DOIUrl":null,"url":null,"abstract":"In this paper we study the problem of semiparametric estimation for a class of McKean-Vlasov stochastic differential equations. Our aim is to estimate the drift coefficient of a MV-SDE based on observations of the corresponding particle system. We propose a semiparametric estimation procedure and derive the rates of convergence for the resulting estimator. We further prove that the obtained rates are essentially optimal in the minimax sense.","PeriodicalId":42884,"journal":{"name":"Annales de l Institut Henri Poincare D","volume":"120 1","pages":""},"PeriodicalIF":1.5000,"publicationDate":"2021-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"9","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Annales de l Institut Henri Poincare D","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1214/22-aihp1261","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"PHYSICS, MATHEMATICAL","Score":null,"Total":0}
引用次数: 9
Abstract
In this paper we study the problem of semiparametric estimation for a class of McKean-Vlasov stochastic differential equations. Our aim is to estimate the drift coefficient of a MV-SDE based on observations of the corresponding particle system. We propose a semiparametric estimation procedure and derive the rates of convergence for the resulting estimator. We further prove that the obtained rates are essentially optimal in the minimax sense.