2019
AReS and MaRS Adversarial and MMD-Minimizing Regression for SDEs
Gabriele Abbati, Philippe Wenk, Michael A. Osborne, Andreas Krause, Bernhard Schölkopf, Stefan Bauer
ICML 2019oral
Stochastic differential equations are an important modeling class in many disciplines. Consequently, there exist many methods relying on various discretization and numerical integration schemes. In this paper, we propose a novel, probabilistic model for estimating the drift and diffusion given noisy…