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Neural McKean-Vlasov Processes: Distributional Dependence in Diffusion Processes
April 16, 2024, 4:42 a.m. | Haoming Yang, Ali Hasan, Yuting Ng, Vahid Tarokh
cs.LG updates on arXiv.org arxiv.org
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
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