Drift Estimation for Diffusion Processes Using Neural Networks Based on Discretely Observed Independent Paths

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Authors: Yuzhen Zhao, Yating Liu, Marc Hoffmann
Cited by: 0

Abstract

This paper addresses the nonparametric estimation of the drift function over a compact domain for a time-homogeneous diffusion process, based on high-frequency discrete observations from N independent trajectories. We propose a neural network-based estimator and derive a non-asymptotic convergence rate, decomposed into a training error, an approximation error, and a diffusion-related term scaling as log N/N. For compositional drift functions, we establish an explicit rate. In the numerical experiments, we consider a drift function with local fluctuations generated by a double-layer compositional structure featuring local oscillations, and show that the empirical convergence rate becomes independent of the input dimension d. Compared to the B-spline method, the neural network estimator achieves better convergence rates and more effectively captures local features, particularly in higher-dimensional settings.

Fields of Study & Subjects

Stochastic processes and financial applications Extremum Seeking Control Systems Control Systems and Identification

Publication details

Journal / source
Proceedings of the AAAI Conference on Artificial Intelligence
Volume
40
Issue
34
Pages
28778–28785
Publication date
14 March 2026
Language
EN