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

作　　者：Meiqi LIU Huijie QIAO 刘美琪;乔会杰(Department of Mathematics,Southeast University,Nanjing 211189,China;Department of Mathematics,University of Illinois at Urbana-Champaign,Urbana,IL 61801,USA)

机构地区：[1]Department of Mathematics,Southeast University,Nanjing 211189,China [2]Department of Mathematics,University of Illinois at Urbana-Champaign,Urbana,IL 61801,USA

出　　处：《Acta Mathematica Scientia》2022年第3期876-886,共11页数学物理学报（B辑英文版）

基　　金：supported by NSF of China(11001051,11371352,12071071);China Scholarship Council(201906095034).

摘　　要：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 discuss their strong consistency.Third,a numerical simulation method for the class of path-dependent McKean-Vlasov stochastic differential equations is offered.Finally,we estimate the errors between solutions of these equations and that of their numerical equations.

关 键 词：Path-dependent McKean-Vlasov stochastic differential equations maximum likelihood estimation the strong consistency numerical simulation 

分 类 号：O211.63[理学—概率论与数理统计]