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

1 code implementation • 28 Jun 2022 • 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}.

Time Series Time Series Analysis