Deep ZakaiJ: Structured Filtering for Jump-Diffusion Time Series Forecasting

arXiv:2605.24548v1 Announce Type: new Abstract: Time series driven by unobserved latent states frequently exhibit abrupt jump discontinuities whose timing and magnitude cannot be predicted from observed history alone. Classical jump-diffusion models offer a principled mathematical framework but assume rigid parametric forms, while recent neural jump models operate on fully observed trajectories without inferring the hidden states that govern the dynamics. We propose \textit{Deep ZakaiJ}, a latent-state model for partially observed jump-diffusion systems that embeds the Zakai nonlinear filterin

Source: arXiv cs.LG — read the full report at the original publisher.

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