Neural Drift Estimation for Ergodic Diffusions: Non-parametric Analysis and Numerical Exploration

Abstract: We take into consideration generalization bounds for the problem of the estimation of the drift component for ergodic stochastic differential equations, when the estimator is a ReLU neural network and the estimation is non-parametric with respect to the statistical model. We show a practical way to enforce the theoretical estimation procedure, enabling inference on noisy and rough functional data. Results are shown for a simulated It^o-Taylor approximation of the sample paths.