arXiv stat.ML
· Papers
Learning Controlled Stochastic Differential Equations
arXiv:2411.01982v2 Announce Type: replace Abstract: We study the problem of learning controlled stochastic differential equations (SDEs) [ dX_t = b(t,X_t,u_t),dt + sigma(t,X_t,u_t),dW_t, ] whose drift and diffusion depend nonlinearly on time, state, and control values. From trajectory data, we aim to estimate coef