4 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-…
Decompounding Under General Mixing Distributions
Denis Belomestny, Ekaterina Morozova, Vladimir Panov
This study focuses on statistical inference for compound models of the form , where is a random variable denoting the count of summands, which are independent…