An efficient Wasserstein-distance approach for reconstructing jump-diffusion processes using parameterized neural networks

We analyze the Wasserstein distance (W-distance) between two probability distributions associated with two multidimensional jump-diffusion processes. Specifically, we analyze a temporally decoupled squared W2-distance, which provides both upper and lower bounds associated with the discrepancies in the drift, diffusion, and jump amplitude functions between the two jump-diffusion processes. Then, we propose a temporally decoupled squared W2-distance method for efficiently reconstructing unknown jump-diffusion processes from data using parameterized neural networks. We further show its performance can be enhanced by utilizing prior information on the drift function of the jump-diffusion process. The effectiveness of our proposed reconstruction method is demonstrated across several examples and applications.