Paul J. Birrell

Differentiable Bayesian inference of SDE parameters using a pathwise series expansion of Brownian motion

By invoking a pathwise series expansion of Brownian motion, we propose to approximate a stochastic differential equation (SDE) with an ordinary differential equation (ODE). This allows us to reformulate Bayesian inference for a SDE as the parameter estimation task for an ODE. Unlike a nonlinear SDE,…