AReS and MaRS Adversarial and MMD-Minimizing Regression for SDEs

Gabriele Abbati, Philippe Wenk, Michael A. Osborne, Andreas Krause, Bernhard Schölkopf, Stefan Bauer

Abstract: Stochastic differential equations are an important modeling class in many disciplines. Consequently, there exist many methods relying on various discretization and numerical integration schemes. In...