4 papers
Neural Jump ODEs as Generative Models
Robert A. Crowell, Florian Krach, Josef Teichmann
In this work, we explore how Neural Jump ODEs (NJODEs) can be used as generative models for Itô processes. Given (discrete observations of) samples of a fixed underlying Itô proc…
Existence for low-regularity McKean-Vlasov dynamics via emergence of regularity
Robert Alexander Crowell
We establish the existence of solutions to common noise McKean-Vlasov martingale problems for coefficients with low regularity. Our approach is able to handle the key challenge pos…
A new approach to stochastic McKean-Vlasov limits with low-regularity coefficients
Robert Alexander Crowell
The empirical measure flow of a McKean-Vlasov -particle system with common noise is a measure-valued process whose law solves an associated martingale problem. We obtain a stabi…
Emergence of regularity for limit points of McKean-Vlasov particle systems
Robert Alexander Crowell
The empirical measure of an interacting particle system is a purely atomic random probability measure. In the limit as the number of particles grows to infinity, we show for McKean…