A neural model that approximates Zakai filtering via Strang splitting to infer latent states and produce calibrated distributional forecasts for partially observed jump-diffusion processes.
Neural MJD: Neural non-stationary Merton jump diffusion for time series prediction.arXiv preprint arXiv:2506.04542, 2025
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Deep ZakaiJ: Structured Filtering for Jump-Diffusion Time Series Forecasting
A neural model that approximates Zakai filtering via Strang splitting to infer latent states and produce calibrated distributional forecasts for partially observed jump-diffusion processes.