Scalable Inference in SDEs by Direct Matching of the Fokker-Planck-Kolmogorov Equation

This supplementary document is organized as follows. We provide details in terms of the concept of'solution' to an SDE, how we use a finite-differences As illustrated in Figure 1 in the main paper, the concept of a'solution' to an SDE is broader than that of This is what is done in this paper. We can now interpret Eq. (7) through these finite difference The model which we call a'GP-SDE' model in the main paper has appeared in various forms in literature before. It directly resembles a'random' ODE model, where the random field Figure 1 in the main paper, just providing further examples from the test set. For the timing experiments in Sec. 3, we constructed a setup that allowed us to control the approximation error.