• Séminaire / Formations,

Séminaire MODAL'X : Marc Hoffmann (CEREMADE, Université Paris-Dauphine)

Publié le 6 janvier 2022 Mis à jour le 21 mars 2022

Some statistical inference results for interacting particle models in a mean-field limit.


le 24 mars 2022

Bâtiment Allais (G), salle 614 B
Plan d'accès
Résumé : We propose a theoretical statistical analysis for systems of interacting diffusions, possibly with common noise and/or degenerate diffusion components, in a mean-field regime. These models are more or less widely used in finance, MFG, systemic risk analysis, behaviourial sociology or ecology. We consider several inference issues such as: i) nonparametric estimation of the solution of the underlying Fokker-Planck type equation or the drift of the system ii) testing for the interaction between components iii) estimation of the interaction range between particles. This talk is based on joint results with C. Fonte and L. Della Maestra.

Mis à jour le 21 mars 2022