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Semiparametric estimation of McKean-Vlasov SDEs

1 July 2021
Denis Belomestny
Vytaut.e Pilipauskait.e
M. Podolskij
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Abstract

In this paper we study the problem of semiparametric estimation for a class of McKean-Vlasov stochastic differential equations. Our aim is to estimate the drift coefficient of a MV-SDE based on observations of the corresponding particle system. We propose a semiparametric estimation procedure and derive the rates of convergence for the resulting estimator. We further prove that the obtained rates are essentially optimal in the minimax sense.

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