Related papers: Black-box Variational Inference for Stochastic Dif…

Although the governing equations of many systems, when derived from first principles, may be viewed as known, it is often too expensive to numerically simulate all the interactions they describe. Therefore researchers often seek simpler…

We study a family of numerical schemes applied to a class of multiscale systems of stochastic differential equations. When the time scale separation parameter vanishes, a well-known homogenization or Wong--Zakai diffusion approximation…

We introduce a methodology for performing parameter inference in high-dimensional, non-linear diffusion processes. We illustrate its applicability for obtaining insights into the evolution of and relationships between species, including…

Estimation and prediction in high dimensional multivariate factor stochastic volatility models is an important and active research area because such models allow a parsimonious representation of multivariate stochastic volatility. Bayesian…

Diffusion models are state-of-the-art generative models, yet their samples often fail to satisfy application objectives such as safety constraints or domain-specific validity. Existing techniques for alignment require gradients, internal…

We extend flow matching to ensembles of linear systems in both deterministic and stochastic settings. Averaging over system parameters induces memory leading to a non-Markovian interpolation problem for the stochastic case. In this setting,…

Many approaches to modelling reaction-diffusion systems with anomalous transport rely on deterministic equations and ignore fluctuations arising due to finite particle numbers. Starting from an individual-based model we use a…

We present a novel approach to Bayesian inference and general Bayesian computation that is defined through a sequential decision loop. Our method defines a recursive partitioning of the sample space. It neither relies on gradients nor…

The proposed BSDE-based diffusion model represents a novel approach to diffusion modeling, which extends the application of stochastic differential equations (SDEs) in machine learning. Unlike traditional SDE-based diffusion models, our…

In stochastic variational inference, the variational Bayes objective function is optimized using stochastic gradient approximation, where gradients computed on small random subsets of data are used to approximate the true gradient over the…

We propose a scalable variational Bayes method for statistical inference for a single or low-dimensional subset of the coordinates of a high-dimensional parameter in sparse linear regression. Our approach relies on assigning a mean-field…

We consider the numerical approximation of general semilinear parabolic stochastic partial differential equations (SPDEs) driven by additive space-time noise. In contrast to the standard time stepping methods which uses basic increments of…

We propose a variational autoencoder (VAE) approach for parameter estimation in nonlinear mixed-effects models based on ordinary differential equations (NLME-ODEs) using longitudinal data from multiple subjects. In moderate dimensions,…

We consider continuous-time diffusion models driven by fractional Brownian motion. Observations are assumed to possess a non-trivial likelihood given the latent path. Due to the non-Markovianity and high-dimensionality of the latent paths,…

Stochastic processes have found numerous applications in science, as they are broadly used to model a variety of natural phenomena. Due to their intrinsic randomness and uncertainty, they are, however, difficult to characterize. Here, we…

Joint utilization of multiple discrete frequency bands can enhance the accuracy of delay estimation. Although some unique challenges of multiband fusion, such as phase distortion, oscillation phenomena, and high-dimensional search, have…

Discovering the underlying relationships among variables from temporal observations has been a longstanding challenge in numerous scientific disciplines, including biology, finance, and climate science. The dynamics of such systems are…

This paper considers estimating the parameters in a regime-switching stochastic differential equation(SDE) driven by Normal Inverse Gaussian(NIG) noise. The model under consideration incorporates a continuous-time finite state Markov chain…

In this article we consider Bayesian parameter inference for a type of partially observed stochastic Volterra equation (SVE). SVEs are found in many areas such as physics and mathematical finance. In the latter field they can be used to…

We explore the connections between the theories of stochastic analysis and discrete quantum mechanical systems. Naturally these connections include the Feynman-Kac formula, and the Cameron-Martin-Girsanov theorem. More precisely, the notion…