2 papers
stat.ML2026
Drift Estimation for Stochastic Differential Equations with Denoising Diffusion Models
Marcos Tapia Costa, Nikolas Kantas, George Deligiannidis
We study the estimation of time-homogeneous drift functions in multivariate stochastic differential equations with known diffusion coefficient, from multiple trajectories observed…
math.PR2023
Generalised shot noise representations of stochastic systems driven by non-Gaussian Lévy processes
Marcos Tapia Costa, Ioannis Kontoyiannis, Simon Godsill
We consider the problem of obtaining effective representations for the solutions of linear, vector-valued stochastic differential equations (SDEs) driven by non-Gaussian pure-jump…