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

Marc Hoffmann, Université Paris-Dauphine, France hybrid event, in person at WIAS (please register) and online; please contact Andrea Fiebig (fiebig[at] for details10:00 - 12:00

We propose a systematic | 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, L. Della Maestra and R. Maillet.

invited by Markus Reiß