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.
Meiqi LIU
,
Huijie QIAO
. PARAMETER ESTIMATION OF PATH-DEPENDENT MCKEAN-VLASOV STOCHASTIC DIFFERENTIAL EQUATIONS[J]. Acta mathematica scientia, Series B, 2022
, 42(3)
: 876
-886
.
DOI: 10.1007/s10473-022-0304-8
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