Stationary Density Estimation of Itô Diffusions Using Deep Learning

no code implementations • 9 Sep 2021 • Yiqi Gu, John Harlim, Senwei Liang, Haizhao Yang

In this paper, we consider the density estimation problem associated with the stationary measure of ergodic It\^o diffusions from a discrete-time series that approximate the solutions of the stochastic differential equations.

Density Estimation regression +2

The Discovery of Dynamics via Linear Multistep Methods and Deep Learning: Error Estimation

1 code implementation • 21 Mar 2021 • Qiang Du, Yiqi Gu, Haizhao Yang, Chao Zhou

We put forward error estimates for these methods using the approximation property of deep networks.