Speaker
Mark Podolskij, Univ. of Luxembourg
Abstract
In this talk we present some recent advancement on non-parametric estimation of McKean-Vlasov stochastic differential equations. The main focus is on statistical inference for the convolution-type drift component. We will discuss solution to the underlying inverse problem under different observation schemes. We establish convergence rates for the proposed estimators and discuss their rate optimality.
Mark Podolskij: Non-parametric Inference for McKean–Vlasov diffusions
Date: 2025-06-02
Time: 17:30 - 18:00