Modelling pathwise uncertainty of Stochastic Differential Equations samplers via Probabilistic Numerics.

Yvann Le Fay Simo Särkkä Adrien Corenflos

Published in: CoRR (2024)

Keyphrases

stochastic differential equations
conditional probabilities
probabilistic model
bayesian networks
bayesian inference
brownian motion
maximum a posteriori estimation
generative model
random sampling
special case
graphical models
additive gaussian noise
fractional brownian motion