• Corpus ID: 245502366

Drift estimation for a multi-dimensional diffusion process using deep neural networks

  title={Drift estimation for a multi-dimensional diffusion process using deep neural networks},
  author={Akihiro Oga and Yuta Koike},
Recently, many studies have shed light on the high adaptivity of deep neural network methods in nonparametric regression models, and their superior performance has been established for various function classes. Motivated by this development, we study a deep neural network method to estimate the drift coefficient of a multi-dimensional diffusion process from discrete observations. We derive generalization error bounds for least squares estimates based on deep neural networks and show that they… 

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