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math.ST2025
Path-Dependent SDEs: Solutions and Parameter Estimation
Pardis Semnani, Vincent Guan, Elina Robeva +1
We develop a consistent method for estimating the parameters of a rich class of path-dependent SDEs, called signature SDEs, which can model general path-dependent phenomena. Path s…
math.PR2025
Gradient-flow SDEs have unique transient population dynamics
Vincent Guan, Joseph Janssen, Nicolas Lanzetti +3
Identifying the drift and diffusion of an SDE from its population dynamics is a notoriously challenging task. Researchers in machine learning and single-cell biology have only been…