Drift parameter estimation for a fractional interacting particle system.

Resumen:  We consider a system of interacting particles with Lipschitz continuous drift functions, driven by additive fractional Brownian motions with H in [1/2, 1). For this system, we address the drift parameter estimation problem from continuous observations over a fixed time interval, assuming that the drift depends linearly on an unknown parameter vector. We propose estimators inspired by the least squares approach, demonstrate their consistency and asymptotic normality as the number of particles tends to infinity, and present a numerical study illustrating our findings. The proofs rely on establishing a quantitative propagation of chaos result for the Malliavin derivatives of the system. This talk is based on joint work with Chiara Amorino and Ivan Nourdin.

Posted on Nov 25, 2025 in Seminario de Probabilidades de Chile, Seminars