3 papers
math.OC2024
Optimal Filtering for Interacting Particle Systems
Andrey Dorogovtsev, Yuecai Han, Kateryna Hlyniana +1
In this paper, we study the optimal filtering problem for a interacting particle system generated by stochastic differential equations with interaction. By using Malliavin calculus…
math.ST2022
Nonparametric Estimation for Stochastic Differential Equations Driven by Fractional Brownian Motion
Han Yuecai, Zhang Dingwen
We study the nonparametric Nadaraya-Watson estimator of the drift function for ergodic stochastic processes driven by fractional Brownian motion of Hurst parameter H > 1/2. The est…
math.ST2022
Nonlinear Least Squares Estimator for Discretely Observed Reflected Stochastic Processes
Han Yuecai, Zhang Dingwen
We study the problem of parameter estimation for reflected stochastic processes driven by a standard Brownian motion. The estimator is obtained using nonlinear least squares method…