Statistical inference for McKean-Vlasov-SDEs

Speaker(s): 
Denis Belomestny (Universität Duisburg-Essen)
Date: 
Wednesday, November 1, 2017 - 10:00am
Location: 
WIAS, Erhard-Schmidt-Saal, Mohrenstraße 39, 10117 Berlin

McKean-Vlasov-SDEs provide a very rich modelling framework for large complex systems. They naturally appear in modelling and simulation of turbulent flows by fluid-particle method. In biomathematics, a McKean-Vlasov-SDE model for neuronal networks has been proposed. Although potentially very powerful, the lack of efficient statistical procedures prevents further expansion of these results into application areas. When proposing a McKean-Vlasov-SDE model, one of the main challenges is the appropriate choice of the coefficients. In this talk, we study the problem of the nonparametric estimation of the McKean-Vlasov diffusion coefficients from low-frequency observations.