Expectation-Maximization algorithm to estimate the forcing parameter of a nonlinear McKean-Vlasov diffusion

In this article, we address the problem of estimating a forcing parameter in a stochastic differential equation inspired by a model that describes instantaneous turbulent kinetic energy.

The stochastic differential equation we analyze is of the nonlinear McKean-Vlasov type, where the drift term depends on a power of the expected value of the solution, which also introduces nonlinearity in an algebraic sense.

We propose an estimation algorithm based on the Expectation-Maximization framework and show the consistency of our method.

We illustrate our findings through numerical experiments.