Oliver Löthgren

Operator Neural Jump ODEs: L2-optimal prediction in function spaces

In this paper, we study the extension of Neural Jump ODEs to infinite-dimensional function spaces. In particular, the underlying process $X$ now takes values in $L^2(\Xi, \mathbb{R}^{d_X})$ instead of $\mathbb{R}^{d_X}$ and the Operator NJ-ODE approximates the optimal predictor of this process by producing a representa...