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arXiv · 2107.00539

Semiparametric estimation of McKean-Vlasov SDEs

Denis Belomestny·Vytautė Pilipauskaitė·Mark Podolskij
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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.

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Denis Belomestny, Vytautė Pilipauskaitė, Mark Podolskij. 2021-07-01. Semiparametric estimation of McKean-Vlasov SDEs. https://arxiv.org/abs/2107.00539

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