Weak approximation of Schrödinger-Föllmer diffusion

2024/03/06 by Endo, Koya, Yumiharu Nakano, Nakano, Yumiharu
Computer Science · Mathematics · #Advanced Mathematical Modeling in Engineering #FOS: Mathematics #Numerical methods in inverse problems #Probability (math.PR) #Spectral Theory in Mathematical Physics #Statistics Theory (math.ST)

paper · pdf · doi:10.48550/arxiv.2403.03446

openalex publication_date 2024/03/06 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

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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