Estimation for diffusion processes constrained by a polytope

Diffusion processes are widely used to model the evolution of random values over time. In many applications, the diffusion process is constrained to a finite domain. We consider the estimation problem of a diffusion process constrained by a polytope, i.e. intersection of finitely many (hyper-)planes, given a discretely observed time series data. Since the boundary behaviours of a diffusion process are characterised by its drift and diffusion functions, we derive sufficient conditions on the drift and diffusion functions for the nonattainablity of a polytope. We use deep learning to estimate the drift and diffusion, and ensure that their constraints are satisfied throughout the training.