Unbiased estimation using a class of diffusion processes

DOI10.1016/j.jcp.2022.111643OpenAlexW4296817202MaRDI QIDQ2099713

Nikolas Kantas, Ajay Jasra, Alexandros Beskos, Dan Crisan, Hamza M. Ruzayqat

Publication date: 18 November 2022

Published in: Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2203.03013

zbMATH Keywords

diffusionsMarkov chain simulationSchrödinger bridgeunbiased approximation

Mathematics Subject Classification ID

Stochastic analysis (60Hxx) Numerical methods for ordinary differential equations (65Lxx) Probabilistic methods, stochastic differential equations (65Cxx)

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Global Optimization via Schrödinger–Föllmer Diffusion ⋮ Unbiased Estimation Using Underdamped Langevin Dynamics

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