Weak approximation of Schrödinger–Föllmer diffusion

IF 0.9 4区数学 Q3 STATISTICS & PROBABILITY

Statistics & Probability Letters Pub Date : 2024-06-07 DOI:10.1016/j.spl.2024.110171

Koya Endo, Yumiharu Nakano

引用次数: 0

Abstract

We consider the weak convergence of the Euler–Maruyama approximation for Schrödinger–Föllmer diffusions, which are solutions of Schrödinger bridge problems and can be used for sampling from given distributions. We show that the distribution of the terminal random variable of the time-discretized process weakly converges to the target one under mild regularity conditions.

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薛定谔-福尔摩扩散的弱近似值

我们考虑了薛定谔-福尔摩扩散的欧拉-丸山近似的弱收敛性，它是薛定谔桥问题的解，可用于从给定分布中采样。我们证明，在温和的正则性条件下，时间离散化过程的末端随机变量的分布会弱收敛于目标分布。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Statistics & Probability Letters 数学-统计学与概率论

CiteScore

1.60

自引率

0.00%

发文量

173

审稿时长

6 months

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