An efficient Wasserstein-distance approach for reconstructing jump-diffusion processes using parameterized neural networks Article Swipe
Mingtao Xia
,
Xiangting Li
,
Qijing Shen
,
Tom Chou
·
YOU?
·
· 2024
· Open Access
·
· DOI: https://doi.org/10.48550/arxiv.2406.01653
YOU?
·
· 2024
· Open Access
·
· DOI: https://doi.org/10.48550/arxiv.2406.01653
We analyze the Wasserstein distance ($W$-distance) between two probability distributions associated with two multidimensional jump-diffusion processes. Specifically, we analyze a temporally decoupled squared $W_2$-distance, which provides both upper and lower bounds associated with the discrepancies in the drift, diffusion, and jump amplitude functions between the two jump-diffusion processes. Then, we propose a temporally decoupled squared $W_2$-distance method for efficiently reconstructing unknown jump-diffusion processes from data using parameterized neural networks. We further show its performance can be enhanced by utilizing prior information on the drift function of the jump-diffusion process. The effectiveness of our proposed reconstruction method is demonstrated across several examples and applications.
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- Type
- preprint
- Language
- en
- Landing Page
- http://arxiv.org/abs/2406.01653
- https://arxiv.org/pdf/2406.01653
- OA Status
- green
- Related Works
- 10
- OpenAlex ID
- https://openalex.org/W4401102981
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- OpenAlex ID
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https://openalex.org/W4401102981Canonical identifier for this work in OpenAlex
- DOI
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https://doi.org/10.48550/arxiv.2406.01653Digital Object Identifier
- Title
-
An efficient Wasserstein-distance approach for reconstructing jump-diffusion processes using parameterized neural networksWork title
- Type
-
preprintOpenAlex work type
- Language
-
enPrimary language
- Publication year
-
2024Year of publication
- Publication date
-
2024-06-03Full publication date if available
- Authors
-
Mingtao Xia, Xiangting Li, Qijing Shen, Tom ChouList of authors in order
- Landing page
-
https://arxiv.org/abs/2406.01653Publisher landing page
- PDF URL
-
https://arxiv.org/pdf/2406.01653Direct link to full text PDF
- Open access
-
YesWhether a free full text is available
- OA status
-
greenOpen access status per OpenAlex
- OA URL
-
https://arxiv.org/pdf/2406.01653Direct OA link when available
- Concepts
-
Parameterized complexity, Jump, Artificial neural network, Diffusion, Jump diffusion, Computer science, Algorithm, Mathematics, Artificial intelligence, Physics, Quantum mechanics, ThermodynamicsTop concepts (fields/topics) attached by OpenAlex
- Cited by
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0Total citation count in OpenAlex
- Related works (count)
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10Other works algorithmically related by OpenAlex
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