Optimal estimation of generic dynamics by path-dependent neural jump ODEs

DOI10.1016/J.SPA.2026.105058MaRDI QIDQ7324701zbMATH OpenFDO

Authors Florian Krach, Marc Nübel, Josef Teichmann

Publication date 4 September 2026

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.SPA.2026.105058

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Prediction theory (aspects of stochastic processes) (60G25) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Artificial neural networks and deep learning (68T07)

Cites work

• A note on upper estimates for Pickands constants
• Algorithm 1004: the iisignature library: efficient calculation of iterated-integral signatures and log signatures
• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• Classification-based financial markets prediction using deep neural networks
• Embedding and learning with signatures
• Foundations of modern probability. In 2 volumes
• Fundamentals of stochastic filtering
• scientific article; zbMATH DE number 439951 (Why is no real title available?)
• scientific article; zbMATH DE number 5546942 (Why is no real title available?)
• scientific article; zbMATH DE number 49190 (Why is no real title available?)
• scientific article; zbMATH DE number 1849966 (Why is no real title available?)
• scientific article; zbMATH DE number 765034 (Why is no real title available?)
• scientific article; zbMATH DE number 854962 (Why is no real title available?)
• Introduction to stochastic calculus
• Kernels for sequentially ordered data
• Moment explosions and long-term behavior of affine stochastic volatility models
• Moment explosions in stochastic volatility models
• Neural network regression for Bermudan option pricing
• On the characterization of compactness in the space of functions of bounded variation in the sense of Jordan
• Prediction law of fractional Brownian motion
• Probability. Theory and examples.
• Stochastic calculus and applications

This page was built for publication: Optimal estimation of generic dynamics by path-dependent neural jump ODEs

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q7324701)