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The long term aim is to use modern dynamical systems theory to derive discretisations of noisy, dissipative partial differential equations. As a first step we here consider a small domain and apply stochastic centre manifold techniques to…

Timeseries generated from a dynamical source can often be modeled as sample paths of a stochastic differential equation (SDE). The timeseries thus reflects the motion of a particle which flows along the direction provided by a drift /…

We present a framework and algorithms to learn controlled dynamics models using neural stochastic differential equations (SDEs) -- SDEs whose drift and diffusion terms are both parametrized by neural networks. We construct the drift term to…

The Sparse Identification of Nonlinear Dynamics (SINDy) algorithm can be applied to stochastic differential equations to estimate the drift and the diffusion function using data from a realization of the SDE. The SINDy algorithm requires…

We propose a novel framework for adaptively learning the time-evolving solutions of stochastic partial differential equations (SPDEs) using score-based diffusion models within a recursive Bayesian inference setting. SPDEs play a central…

We develop a novel approach towards causal inference. Rather than structural equations over a causal graph, we learn stochastic differential equations (SDEs) whose stationary densities model a system's behavior under interventions. These…

In this paper, we consider the problem of joint parameter estimation for drift and diffusion coefficients of a stochastic McKean-Vlasov equation and for the associated system of interacting particles. The analysis is provided in a general…

We consider a hidden Markov model, where the signal process, given by a diffusion, is only indirectly observed through some noisy measurements. The article develops a variational method for approximating the hidden states of the signal…

Dynamical systems theory provides powerful methods to extract effective macroscopic dynamics from complex systems with slow modes and fast modes. Here we derive and theoretically support a macroscopic, spatially discrete, model for a class…

In various practical situations, we encounter data from stochastic processes which can be efficiently modelled by an appropriate parametric model for subsequent statistical analyses. Unfortunately, the most common estimation and inference…

Stochastic differential equations (SDEs) or diffusions are continuous-valued continuous-time stochastic processes widely used in the applied and mathematical sciences. Simulating paths from these processes is usually an intractable problem,…

In this article, we introduce a system of stochastic differential equations (SDEs) consisting of time-dependent covariates and consider both fixed and random effects set-ups. We also allow the functional part associated with the drift…

Diffusion models (DMs) are a class of generative machine learning methods that sample a target distribution by transforming samples of a trivial (often Gaussian) distribution using a learned stochastic differential equation. In standard…

Existing deterministic variational inference approaches for diffusion processes use simple proposals and target the marginal density of the posterior. We construct the variational process as a controlled version of the prior process and…

This study introduces a training-free conditional diffusion model for learning unknown stochastic differential equations (SDEs) using data. The proposed approach addresses key challenges in computational efficiency and accuracy for modeling…

Stochastic differential equations (SDEs) using jump-diffusion processes describe many natural phenomena at the microscopic level. Since they are commonly used to model economic and financial evolutions, the calibration and optimal control…

Denoising diffusion probabilistic models and score-matching models have proven to be very powerful for generative tasks. While these approaches have also been applied to the generation of discrete graphs, they have, so far, relied on…

In this paper, we study the estimation of drift and diffusion coefficients in a two dimensional system of N interacting particles modeled by a degenerate stochastic differential equation. We consider both complete and partial observation…

We investigate the problem of joint statistical estimation of several parameters for a stochastic differential equation driven by an additive fractional Brownian motion. Based on discrete-time observations of the model, we construct an…

Diffusion and flow matching models generate high-fidelity data by simulating paths defined by Ordinary or Stochastic Differential Equations (ODEs/SDEs), starting from a tractable prior distribution. The probability flow ODE formulation…