• Corpus ID: 235652164

Parameter Estimation for the McKean-Vlasov Stochastic Differential Equation

@inproceedings{Sharrock2021ParameterEF,
  title={Parameter Estimation for the McKean-Vlasov Stochastic Differential Equation},
  author={Louis Sharrock and Nikolas Kantas and Panos Parpas and Grigorios A. Pavliotis},
  year={2021}
}
We consider the problem of parameter estimation for a stochastic McKean-Vlasov equation, and the associated system of weakly interacting particles. We first establish consistency and asymptotic normality of the offline maximum likelihood estimator for the interacting particle system in the limit as the number of particles $N\rightarrow\infty$. We then propose an online estimator for the parameters of the McKean-Vlasov SDE, which evolves according to a continuous-time stochastic gradient descent… 
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