随机泛函微分方程参数估计的渐近行为

Abstract

Abstract:

This paper studies the minimum distance estimate for stochastic functional differential equations (McKean-Vlasov SDE). Under some assumptions for the drift coefficient, it obtains the consistency and the limit distribution on the estimators as the diffusion coefficient goes to zero. Further, it also discusses the asymptotic behavior of the coefficient estimators under the condition of the $ L^\gamma $ penalty function. A typical case is provided.

Key words: Wasserstein metric, Minimum distance estimation, Gronwall's inequality, Distribution measure

CLC Number:

O211.4

Wang Jiaxi, Mao Mingzhi. The Asymptotic Behaviors for Parameter Estimation of Stochastic Functional Differential Equations[J].Acta mathematica scientia,Series A, 2024, 44(3): 746-760.

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The Asymptotic Behaviors for Parameter Estimation of Stochastic Functional Differential Equations

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