Neural SDEs as Infinite-Dimensional GANs

       Patrick Kidger 1 2 James Foster 1 2 Xuechen Li 3 Harald Oberhauser 1 2 Terry Lyons 1 2

             Abstract                 stochastic differential equations (neural SDEs), such as
   Stochastic differential equations (SDEs) are a         Tzen & Raginsky (2019a); Li et al. (2020); Hodgkinson
   staple of mathematical modelling of temporal dy-        et al. (2020), among others. This is our focus here.
   namics. However, a fundamental limitation ...