Transformers Can Solve Non-Linear and Non-Markovian Filtering Problems in Continuous Time For Conditionally Gaussian Signals

Blanka Horvath, Anastasis Kratsios, Yannick Limmer +1

The use of attention-based deep learning models in stochastic filtering, e.g. transformers and deep Kalman filters, has recently come into focus; however, the potential for these m…