Aarhus University Seal

Semiparamteric estimation of McKean-Vlasov SDEs

Mark Podolskij (University of Luxembourg)
Tuesday 25 October 2022 13:15–14:00 Koll. G3 (1532-218)
Stochastics Seminar

In this talk 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.

Organised by: Stochastics Group
Contact: Andreas Basse-O'Connor Revised: 12.10.2022