- Research Article
- 10.1016/j.spa.2025.104857
Fractional interacting particle system: Drift parameter estimation via Malliavin calculus
- May 01, 2026
- Stochastic Processes and their Applications
- Chiara Amorino + 2 more +2
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 → ∞. 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 ∈ (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.
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