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...
Main Authors: | , |
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Format: | Article |
Language: | English |
Published: |
Springer
2022
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Subjects: | |
Online Access: | View Fulltext in Publisher |