McKean-Vlasov SDEs的半参数估计

IF 1.5 Q2 PHYSICS, MATHEMATICAL
D. Belomestny, Vytaut.e Pilipauskait.e, M. Podolskij
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引用次数: 9

摘要

本文研究了一类McKean-Vlasov随机微分方程的半参数估计问题。我们的目的是在观测相应粒子系统的基础上估计MV-SDE的漂移系数。我们提出了一种半参数估计方法,并推导了估计量的收敛速率。进一步证明了所得速率在极大极小意义上是最优的。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Semiparametric estimation of McKean–Vlasov SDEs
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.
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来源期刊
CiteScore
2.30
自引率
0.00%
发文量
16
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