Weak approximation of Schr\"odinger-F\"ollmer diffusion
Probability
2024-06-04 v2 Statistics Theory
Statistics Theory
Abstract
We consider the weak convergence of the Euler-Maruyama approximation for Schr\"odinger-F\"ollmer diffusions, which are solutions of Schr\"odinger 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.
Keywords
Cite
@article{arxiv.2403.03446,
title = {Weak approximation of Schr\"odinger-F\"ollmer diffusion},
author = {Koya Endo and Yumiharu Nakano},
journal= {arXiv preprint arXiv:2403.03446},
year = {2024}
}