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math.PR2024
Ergodicity of some stochastic Fokker-Planck equations with additive common noise
François Delarue, Etienne Tanré, Raphaël Maillet
In this paper we consider stochastic Fokker-Planck Partial Differential Equations (PDEs), obtained as the mean-field limit of weakly interacting particle systems subjected to both…
math.ST2024
Estimation of the invariant measure of a multidimensional diffusion from noisy observations
Raphaël Maillet, Grégoire Szymanski
We introduce a new approach for estimating the invariant density of a multidimensional diffusion when dealing with high-frequency observations blurred by independent noise. We cons…