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Belomestny D, Pilipauskaitė V, Podolskij M. Semiparametric estimation of McKean–Vlasov SDEs. ANNALES DE L'INSTITUT HENRI POINCARÉ, PROBABILITÉS ET STATISTIQUES 2023. [DOI: 10.1214/22-aihp1261] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Track Full Text] [Subscribe] [Scholar Register] [Indexed: 01/18/2023]
Affiliation(s)
- Denis Belomestny
- Faculty of Mathematics, University of Duisburg-Essen, Duisburg, Germany
| | | | - Mark Podolskij
- Department of Mathematics, University of Luxembourg, Esch-sur-Alzette, Luxembourg
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Della Maestra L, Hoffmann M. The LAN property for McKean–Vlasov models in a mean-field regime. Stoch Process Their Appl 2023. [DOI: 10.1016/j.spa.2022.10.002] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Submit a Manuscript] [Subscribe] [Scholar Register] [Indexed: 12/04/2022]
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Marie N, Rosier A. Nadaraya‐Watson
Estimator for I.I.D. Paths of Diffusion Processes. Scand Stat Theory Appl 2022. [DOI: 10.1111/sjos.12593] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/28/2022]
Affiliation(s)
- Nicolas Marie
- Laboratoire Modal'X Université Paris Nanterre Nanterre France
| | - Amélie Rosier
- Laboratoire Modal'X Université Paris Nanterre Nanterre France
- ESME Sudria Paris France
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Genon-Catalot V, Larédo C. Probabilistic properties and parametric inference of small variance nonlinear self-stabilizing stochastic differential equations. Stoch Process Their Appl 2021. [DOI: 10.1016/j.spa.2021.09.002] [Citation(s) in RCA: 1] [Impact Index Per Article: 0.3] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Submit a Manuscript] [Subscribe] [Scholar Register] [Indexed: 11/29/2022]
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Genon-Catalot V, Larédo C. Parametric inference for small variance and long time horizon McKean-Vlasov diffusion models. Electron J Stat 2021. [DOI: 10.1214/21-ejs1922] [Citation(s) in RCA: 1] [Impact Index Per Article: 0.3] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/19/2022]
Affiliation(s)
| | - Catherine Larédo
- MaIAGE, INRAE, Université Paris-Saclay, 78350, Jouy-en-Josas, FRANCE
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