JOURNAL OF SHANDONG UNIVERSITY(NATURAL SCIENCE) ›› 2025, Vol. 60 ›› Issue (5): 107-115.doi: 10.6040/j.issn.1671-9352.0.2024.126

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Parameter estimation for a class of McKean-Vlasov stochastic differential equation with Lévy noise

FENG Chunyu, LYU Yan*   

  1. School of Mathematics and Statistics, Nanjing University of Science and Technology, Nanjing 210094, Jiangsu, China
  • Published:2025-05-19

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Abstract: A relationship between parameter estimators of a class of stochastic McKean-Vlasov equations with Lévy noise and their corresponding interacting particle systems is established. The simple mean field limit result is given, that is, the convergence of the solution of the interacting particle system in the sense of L2(Ω). The maximum likelihood estimators of unknown parameters (＾overθ)N and (-overθ) in the two systems are constructed. We show that when N tends to infinity, (＾overθ)N converges to (-overθ)in probability.

Key words: McKean-Vlasov equations, interacting particle system, maximum likelihood estmation, It(＾overo)formula

CLC Number: 

  • O211.63
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