典型文献
PARAMETER ESTIMATION OF PATH-DEPENDENT MCKEAN-VLASOV STOCHASTIC DIFFERENTIAL EQUATIONS
文献摘要：
This work concerns a class of path-dependent McKean-Vlasov stochastic differ-ential 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 numeri-cal 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.
文献关键词：
中图分类号：
作者姓名：
Meiqi LIU;Huijie QIAO
作者机构：
Department of Mathematics,Southeast University,Nanjing 211189,China;Department of Mathematics,University of Illinois at Urbana-Champaign,Urbana,IL 61801,USA
文献出处：
引用格式：
[1]Meiqi LIU;Huijie QIAO-.PARAMETER ESTIMATION OF PATH-DEPENDENT MCKEAN-VLASOV STOCHASTIC DIFFERENTIAL EQUATIONS)[J].数学物理学报（英文版）,2022(03):876-886
A类：
PARAMETER,ESTIMATION,MCKEAN,VLASOV,STOCHASTIC,DIFFERENTIAL,EQUATIONS,McKean
B类：
OF,PATH,DEPENDENT,This,work,concerns,class,path,dependent,Vlasov,stochastic,equations,unknown,parameters,First,prove,existence,uniqueness,these,under,Lipschitz,conditions,Second,construct,maximum,likelihood,estimators,then,discuss,their,strong,consistency,Third,simulation,method,differential,offered,Finally,estimate,errors,between,solutions,that,numerical
AB值：
0.494895
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