Weak approximation of Schrödinger-Föllmer diffusion

DOI10.1016/J.SPL.2024.110171zbMATH Open1543.60082MaRDI QIDQ6589420

Koya Endo, Yumiharu Nakano

Publication date: 19 August 2024

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

Markov chain Monte Carloweak approximationSchrödinger bridgesEuler-Maruyama methodsSchrödinger-Föllmer diffusion

Mathematics Subject Classification ID

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Cites Work

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• A discretized version of Krylov's estimate and its applications
• Stochastic Control Liaisons: Richard Sinkhorn Meets Gaspard Monge on a Schrödinger Bridge
• Global Optimization via Schrödinger–Föllmer Diffusion

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