43 citations · 92 across the 11 of their papers we have counts for
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cs.IT2013
Support Recovery for the Drift Coefficient of High-Dimensional Diffusions
Jose Bento, Morteza Ibrahimi
Consider the problem of learning the drift coefficient of a -dimensional stochastic differential equation from a sample path of length . We assume that the drift is parametri…
cs.IT2011
Information Theoretic Limits on Learning Stochastic Differential Equations
José Bento, Morteza Ibrahimi, Andrea Montanari
Consider the problem of learning the drift coefficient of a stochastic differential equation from a sample path. In this paper, we assume that the drift is parametrized by a high d…