Drift Estimation for Stochastic Differential Equations with Denoising Diffusion Models
Fuente:
arXiv
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Preprint |
| Published: |
2026
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1866908842657316864 |
|---|---|
| author | Costa, Marcos Tapia Kantas, Nikolas Deligiannidis, George |
| author_facet | Costa, Marcos Tapia Kantas, Nikolas Deligiannidis, George |
| contents | We study the estimation of time-homogeneous drift functions in multivariate stochastic differential equations with known diffusion coefficient, from multiple trajectories observed at high frequency over a fixed time horizon. We formulate drift estimation as a denoising problem conditional on previous observations, and propose an estimator of the drift function which is a by-product of training a conditional diffusion model capable of simulating new trajectories dynamically. Across different drift classes, the proposed estimator was found to match classical methods in low dimensions and remained consistently competitive in higher dimensions, with gains that cannot be attributed to architectural design choices alone. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2602_17830 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Drift Estimation for Stochastic Differential Equations with Denoising Diffusion Models Costa, Marcos Tapia Kantas, Nikolas Deligiannidis, George Machine Learning We study the estimation of time-homogeneous drift functions in multivariate stochastic differential equations with known diffusion coefficient, from multiple trajectories observed at high frequency over a fixed time horizon. We formulate drift estimation as a denoising problem conditional on previous observations, and propose an estimator of the drift function which is a by-product of training a conditional diffusion model capable of simulating new trajectories dynamically. Across different drift classes, the proposed estimator was found to match classical methods in low dimensions and remained consistently competitive in higher dimensions, with gains that cannot be attributed to architectural design choices alone. |
| title | Drift Estimation for Stochastic Differential Equations with Denoising Diffusion Models |
| topic | Machine Learning |
| url | https://arxiv.org/abs/2602.17830 |