1 citations · 1 across the 5 of their papers we have counts for
5 papers
Nonparametric inference for density-dependent McKean--Vlasov diffusions
Denis Belomestny, Ekaterina Morozova
The present research is devoted to the nonparametric estimation of a density-dependent drift coefficient in a multivariate McKean--Vlasov diffusion from independent observations at…
Density-Dependent McKean--Vlasov Diffusions: Subgaussian Occupancy Bounds and Polynomial Propagation of Chaos
Denis Belomestny, Ekaterina Morozova
We study the local density-dependent diffusion and a clipped, randomly shifted histogram particle approximation on .…
Ergodic Properties of Non-Linear Density-Dependent Perturbations of the Ornstein-Uhlenbeck Process
Denis Belomestny, Ekaterina Morozova
The present paper considers McKean-Vlasov SDEs with density-dependent spatially unbounded drift, which may be viewed as a non-linear density-dependent perturbation of the Ornstein-…
On nonparametric estimation of the interaction function in particle system models
Denis Belomestny, Mark Podolskij, Shi-Yuan Zhou
This paper delves into a nonparametric estimation approach for the interaction function within diffusion-type particle system models. We introduce two estimation methods based upon…
Polynomial rates via deconvolution for nonparametric estimation in McKean-Vlasov SDEs
Chiara Amorino, Denis Belomestny, Vytautė Pilipauskaitė +2
This paper investigates the estimation of the interaction function for a class of McKean-Vlasov stochastic differential equations. The estimation is based on observations of the as…