Learning jump-diffusion dynamics from irregularly sampled data
Tim Jahn (TU Berlin)
| Quand ? |
Le 30/06/2026, de 13:00 à 14:00 |
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| Où ? | M7 101 |
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Tim Jahn
Title: Learning jump-diffusion dynamics from irregularly sampled data
Abstract: Modeling continuous-time systems from irregular observations is central to applications ranging from clinical monitoring to high-frequency finance. While neural SDEs offer a flexible tool, they struggle with path dependence and the computational costs of solver-based training. We introduce a trajectory generator matching framework for jump-diffusion processes with memory, extending flow-matching beyond purely continuous dynamics. Our approach combines a neural drift with stochastic delay terms for path dependence and a learned rate kernel for state- and time-dependent jump intensities. By deriving closed-form generators for conditional jump-diffusion bridges, we obtain a simulation-free loss function that bypasses unstable backpropagation through solvers.
Website: https://www.tu.berlin/en/math/data-science/jahn
In Room M7 101, 1st floor, Monod campus, ENSL