Neural McKean-Vlasov Processes: Distributional Dependence in Diffusion Processes

arXiv:2404.09402v1 Announce Type: new
Abstract: McKean-Vlasov stochastic differential equations (MV-SDEs) provide a mathematical description of the behavior of an infinite number of interacting particles by imposing a dependence on the particle density. As such, we study the influence of explicitly including distributional information in the parameterization of the SDE. We propose a series of semi-parametric methods for representing MV-SDEs, and corresponding estimators for inferring parameters from data based on the properties of the MV-SDE. We analyze the characteristics of the …

abstract arxiv behavior cs.ai cs.lg differential diffusion influence information particle processes stat.ml stochastic study type