Buongiorno a tutti,

Vorremmo segnalarvi che martedì prossimo (18 Novembre) alle 11:30 in aula 2BC30 (Torre Archimede, Università di Padova) ci sarà un seminario per il ciclo di seminari in Probabilità e Finanza di:

Chiara Amorino (Universitat Pompeu Fabra in Barcelona)
https://chiaraamorino.github.io
Title: Fractional interacting particle system: drift parameter estimation via Malliavin calculus
Date: November 18, 2025, at 11:30, 2BC30
Abstract: We address the problem of estimating the drift parameter in a system of N interacting particles driven by additive fractional Brownian motion of Hurst index H >= 1/2. Considering continuous observation of the interacting particles over a fixed interval [0, T], we examine the asymptotic regime as N goes to infinity. Our main tool is a random variable reminiscent of the least squares estimator but unobservable due to its reliance on the Skorohod integral. We demonstrate that this object is consistent and asymptotically normal by establishing a quantitative propagation of chaos for Malliavin derivatives, which holds for any  H  in (0,1) . Leveraging a connection between the divergence integral and the Young integral, we construct computable estimators of the drift parameter. These estimators are shown to be consistent and asymptotically Gaussian. Finally, a numerical study highlights the strong performance of the proposed estimators.

Based on a joint work with I. Nourdin and R. Shevchenko

Vi aspettiamo numerosi!

Alberto Chiarini e Alekos Cecchin

Sito web del seminario: https://www.math.unipd.it/~chiarini/seminars/