Web: http://arxiv.org/abs/2204.00611

Sept. 16, 2022, 1:12 a.m. | Fabian Germ, Marc Sabate-Vidales

cs.LG updates on arXiv.org arxiv.org

We consider the filtering and prediction problem for a diffusion process. The
signal and observation are modeled by stochastic differential equations (SDEs)
driven by correlated Wiener processes. In classical estimation theory,
measure-valued stochastic partial differential equations (SPDEs) are derived
for the filtering and prediction measures. These equations can be hard to solve
numerically. We provide an approximation algorithm using conditional generative
adversarial networks (GANs) in combination with signatures, an object from
rough path theory. The signature of a sufficiently smooth …

arxiv diffusion filtering gans law prediction processes

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