Parameter Estimation of Path-Dependent McKean-Vlasov Stochastic Differential Equations

This work concerns a class of path-dependent McKean-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 discus...

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Bibliographic Details
Main Authors: Liu, M. (Author), Qiao, H. (Author)
Format: Article
Language:English
Published: Springer 2022
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Online Access:View Fulltext in Publisher