PARAMETER ESTIMATION OF PATH-DEPENDENT MCKEAN-VLASOV STOCHASTIC DIFFERENTIAL EQUATIONS

被引：0
|
作者：
刘美琪 [1 ]
乔会杰 [1 ,2 ]
机构：
[1] Department of Mathematics, Southeast University
[2] Department of Mathematics, University of Illinois at
来源：
Acta Mathematica Scientia | 2022年 / 42卷 / 03期
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D O I：
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中图分类号：
O211.63 [随机微分方程];
学科分类号：
摘要：
This work concerns a class of path-dependent Mc Kean-Vlasov stochastic differential equations with unknown parameters. First, we prove the existence and uniqueness of these equations under non-Lipschitz conditions. Second, we construct maximum likelihood estimators of these parameters and then discuss their strong consistency. Third, a numerical simulation method for the class of path-dependent Mc Kean-Vlasov stochastic differential equations is offered. Finally, we estimate the errors between solutions of these equations and that of their numerical equations.
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页码：876 / 886
页数：11
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