VariationalInferenceforContinuous-Time SwitchingDynamicalSystems

Since many areas, such as biology or discrete-event systems, are naturally described in continuous time, we present a model based on a Markov jumpprocessmodulating asubordinated diffusionprocess. Weprovidetheexact evolution equations fortheprior andposterior marginal densities, thedirect solutions of which are however computationally intractable.