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4. State-Space Gaussian Process For Drift Estimation In Stochastic Differential Equations

State-Space Gaussian Process For Drift Estimation In Stochastic Differential Equations

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IEEE ICASSP 2020 Virtual Conference May 2020

This paper is concerned with the estimation of unknown drift functions of stochastic differential equations (SDEs) from observations of their sample paths. We propose to formulate this as a non-parametric Gaussian process regression problem and use an It?

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State-Space Gaussian Process For Drift Estimation In Stochastic Differential Equations

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This paper is concerned with the estimation of unknown drift functions of stochastic differential equations (SDEs) from observations of their sample paths. We propose to formulate this as a non-parametric Gaussian process regression problem and use an It?