LÉVY SCORE FUNCTION AND SCORE-BASED PARTICLE ALGORITHM FOR NONLINEAR LÉVY-FOKKER-PLANCK EQUATIONS

The score function for the diffusion process, also known as the gradient of the log-density, is a basic concept to characterize the probability flow with important applications in the score-based diffusion generative modeling and the simulation of Itô stochastic differential equations. However, neither the probability flow nor the corresponding score function for the diffusion-jump process is known. This paper delivers mathematical derivation, a numerical algorithm, and error analysis focusing on the corresponding score function in non-Gaussian systems with jumps and discontinuities represented by the nonlinear Lévy–Fokker–Planck equations. We propose the Lévy score function for such stochastic equations, which features a nonlocal double-integral term, and we develop its training algorithm by minimizing the proposed loss function from samples. Based on the equivalence of the probability flow with deterministic dynamics, we develop a self-consistent score-based transport particle algorithm to sample the interactive Lévy stochastic process at discrete-time grid points. We provide an error bound for the Kullback–Leibler divergence between the numerical and true probability density functions by overcoming the nonlocal challenges in the Lévy score. The full error analysis with the Monte Carlo error and the time discretization error is furthermore established. To show the usefulness and efficiency of our approach, numerical examples from applications in biology and finance are tested. © SIAM. Unauthorized reproduction of this article is prohibited.