AI RESEARCH
Neural Galerkin Normalizing Flows for Bayesian Inference of Diffusions with Inaccessible Boundaries
arXiv CS.LG
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ArXi:2606.04324v1 Announce Type: new One of the primary challenges in Bayesian inference on the parameters of a diffusion model from discrete observations is the unavailability of an analytical expression for the transition density function between consecutive observation times, which is needed to derive the likelihood function. Extending previous studies that solve Fokker-Planck (FP) type partial differential equations with Normalizing Flows, we propose a new Normalizing Flow architecture to learn the transition density function of the diffusion process between two observation times.