Weak approximation of Schrödinger-Föllmer diffusion

DOI10.1016/J.SPL.2024.110171MaRDI QIDQ6589420zbMATH OpenFDO

Authors Koya Endo, Yumiharu Nakano

Publication date 19 August 2024

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

Full work available at URL https://doi.org/10.1016/J.SPL.2024.110171

zbMATH Keywords

Euler-Maruyama methodsMarkov chain Monte CarloSchrödinger bridgesSchrödinger-Föllmer diffusionweak approximation

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical analysis or methods applied to Markov chains (65C40)

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Cites work

• A discretized version of Krylov's estimate and its applications
• A stochastic control approach to reciprocal diffusion processes
• A survey of the Schrödinger problem and some of its connections with optimal transport
• Global Optimization via Schrödinger–Föllmer Diffusion
• scientific article; zbMATH DE number 4080537 (Why is no real title available?)
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 1181255 (Why is no real title available?)
• Stochastic control liaisons. Richard Sinkhorn meets Gaspard Monge on a Schrödinger bridge
• Sur la théorie relativiste de l'électron et l'interprétationde la mécanique quantique.
• Über die Umkehrung der Naturgesetze.

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