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Online parameter estimation for the McKean–Vlasov stochastic differential equation

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Online parameter estimation for the McKean–Vlasov stochastic differential equation. / Sharrock, L.; Kantas, N.; Parpas, P. et al.
In: Stochastic Processes and their Applications, Vol. 162, 31.08.2023, p. 481-546.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Sharrock, L, Kantas, N, Parpas, P & Pavliotis, GA 2023, 'Online parameter estimation for the McKean–Vlasov stochastic differential equation', Stochastic Processes and their Applications, vol. 162, pp. 481-546. https://doi.org/10.1016/j.spa.2023.05.002

APA

Sharrock, L., Kantas, N., Parpas, P., & Pavliotis, G. A. (2023). Online parameter estimation for the McKean–Vlasov stochastic differential equation. Stochastic Processes and their Applications, 162, 481-546. https://doi.org/10.1016/j.spa.2023.05.002

Vancouver

Sharrock L, Kantas N, Parpas P, Pavliotis GA. Online parameter estimation for the McKean–Vlasov stochastic differential equation. Stochastic Processes and their Applications. 2023 Aug 31;162:481-546. Epub 2023 May 29. doi: 10.1016/j.spa.2023.05.002

Author

Sharrock, L. ; Kantas, N. ; Parpas, P. et al. / Online parameter estimation for the McKean–Vlasov stochastic differential equation. In: Stochastic Processes and their Applications. 2023 ; Vol. 162. pp. 481-546.

Bibtex

@article{2a8003ea764a4fc7992c05ec91ec3883,
title = "Online parameter estimation for the McKean–Vlasov stochastic differential equation",
keywords = "McKean–Vlasov equation, Maximum likelihood, Parameter estimation, Stochastic gradient descent",
author = "L. Sharrock and N. Kantas and P. Parpas and G.A. Pavliotis",
year = "2023",
month = aug,
day = "31",
doi = "10.1016/j.spa.2023.05.002",
language = "English",
volume = "162",
pages = "481--546",
journal = "Stochastic Processes and their Applications",
issn = "0304-4149",
publisher = "Elsevier",

}

RIS

TY - JOUR

T1 - Online parameter estimation for the McKean–Vlasov stochastic differential equation

AU - Sharrock, L.

AU - Kantas, N.

AU - Parpas, P.

AU - Pavliotis, G.A.

PY - 2023/8/31

Y1 - 2023/8/31

KW - McKean–Vlasov equation

KW - Maximum likelihood

KW - Parameter estimation

KW - Stochastic gradient descent

U2 - 10.1016/j.spa.2023.05.002

DO - 10.1016/j.spa.2023.05.002

M3 - Journal article

VL - 162

SP - 481

EP - 546

JO - Stochastic Processes and their Applications

JF - Stochastic Processes and their Applications

SN - 0304-4149

ER -