4 papers
Path-dependent Affine Processes
Boris Günther, Thomas Kruse, Ludger Overbeck +1
We extend the classical theory of affine processes to a path-dependent setting by introducing path-dependent coefficients and provide analytic formulas for their Fourier--Laplace t…
Nonlinear filtering with stochastic discontinuities
Thorsten Schmidt, Félix B. Tambe-Ndonfack
Filtering problems with jumps in both the signal and the observation have been extensively studied, typically under the assumption that jump times are totally inaccessible. In many…
Using latent representations to link disjoint longitudinal data for mixed-effects regression
Clemens Schächter, Maren Hackenberg, Michelle Pfaffenlehner +6
Many rare diseases offer limited established treatment options, leading patients to switch therapies when new medications emerge. To analyze the impact of such treatment switches w…
Nonparametric Filtering, Estimation and Classification using Neural Jump ODEs
Jakob Heiss, Florian Krach, Thorsten Schmidt +1
Neural Jump ODEs model the conditional expectation between observations by neural ODEs and jump at arrival of new observations. They have demonstrated effectiveness for fully data-…