Montag, 21. November 2022, 16:45 - 17:45 iCal

ISOR Colloquium

"Semiparamteric estimation of McKean-Vlasov SDEs"

Speaker: Mark Podolskij (Université du Luxembourg, Luxembourg)

HS 7 OMP1 (#1.303)
Oskar-Morgenstern-Platz 1, 1090 Wien

Vortrag

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In this talk we study the problem of semiparametric estimation for a class of McKean-Vlasov stochastic differential equations. Our aim is to estimate the drift coefficient of a MV-SDE based on observations of the corresponding particle system. We propose a semiparametric estimation procedure and derive the rates of convergence for the resulting estimator. We further prove that the obtained rates are essentially optimal in the minimax sense.

 

The talk also can be joined online via ZOOM: univienna.zoom.us/j/61354530395

Meeting room opens at: November 21, 2022, 4.30 pm Vienna

Meeting ID: 613 5453 0395

Password: 601338

Zur Webseite der Veranstaltung

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Veranstalter

Institut für Statistik und Operations Research

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Kontakt

Sabine Sobotka-Tompits, BA
Fakultät für Wirtschaftswissenschaften
Institut für Statistik und Operations Research
+43 1 4277 38631
sabine.sobotka-tompits@univie.ac.at

Erstellt am Mittwoch, 19. Oktober 2022, 09:14
Letzte Änderung am Montag, 24. Oktober 2022, 10:29