most citedOptimal Estimation of Generic Dynamics by Path-Dependent Neural Jump ODEs

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stat.ML2022★ 1 cited

Optimal Estimation of Generic Dynamics by Path-Dependent Neural Jump ODEs

Florian Krach, Marc Nübel, Josef Teichmann

This paper studies the problem of forecasting general stochastic processes using a path-dependent extension of the Neural Jump ODE (NJ-ODE) framework \citep{herrera2021neural}. Whi…