Séminaire FDD-FiME // H. Pham

Huyên Pham (LPSM, Université Paris Cité) Title : Nonparametric generative modeling for time series Abstract : We propose a novel generative model for time series based on Schrödinger bridge (SB) approach. This consists in the entropic interpolation via optimal transport between a reference probability measure on path space and a target measure consistent with the joint data distribution of the time series. The solution is characterized by a stochastic differential equation on finite Read more [...]