Nonparametric plug-in classifier for multiclass classification of S.D.E. paths

We study the multiclass classification problem where the features come from a mixture of time-homogeneous diffusion.Specifically, the classes are discriminated by their drift functions while the diffusion coefficient is common to all classes and unknown.In this framework, we build a plug-in classifier which relies on nonparamateric estimators of the drift and diffusion functions.We first establish the consistency of our classification procedure under mild assumptions and then provide rates of convergence under different setof assumptions. Finally, a numerical study supports our theoretical findings.