Thomas Jahn

T. Jahn, J. Chemseddine, P. Hagemann et al.

Accurately modeling time-continuous stochastic processes from irregular observations remains a significant challenge. In this paper, we leverage ideas from generative modeling of image data to push the boundary of time series generation. For this, we find new generators of SDEs and jump processes, inspired by trajectory flow matching, that have the marginal distributions of the time series of interest. Specifically, we can handle discontinuities of the underlying processes by parameterizing the jump kernel densities by scaled Gaussians that allow for closed form formulas of the corresponding Kullback-Leibler divergence in the loss. Unlike most other approaches, we are able to handle irregularly sampled time series.

Paul Geuchen, Thomas Jahn, Hannes Matt

We study the universality of complex-valued neural networks with bounded widths and arbitrary depths. Under mild assumptions, we give a full description of those activation functions $\varrho:\mathbb{C}\to \mathbb{C}$ that have the property that their associated networks are universal, i.e., are capable of approximating continuous functions to arbitrary accuracy on compact domains. Precisely, we show that deep narrow complex-valued networks are universal if and only if their activation function is neither holomorphic, nor antiholomorphic, nor $\mathbb{R}$-affine. This is a much larger class of functions than in the dual setting of arbitrary width and fixed depth. Unlike in the real case, the sufficient width differs significantly depending on the considered activation function. We show that a width of $2n+2m+5$ is always sufficient and that in general a width of $max\{2n,2m\}$ is necessary. We prove, however, that a width of $n+m+3$ suffices for a rich subclass of the admissible activation functions. Here, $n$ and $m$ denote the input and output dimensions of the considered networks. Moreover, for the case of smooth and non-polyharmonic activation functions, we provide a quantitative approximation bound in terms of the depth of the considered networks.