Related papers: Langevin Diffusion Approximation to Same Marginal …
Ordinary differential equations obtained as limits of Markov processes appear in many settings. They may arise by scaling large systems, or by averaging rapidly fluctuating systems, or in systems involving multiple time-scales, by a…
An ongoing challenge in animal ecology is developing movement models that account for the autocorrelation, and often temporal irregularity, in telemetry data. Continuous-time Langevin diffusion models have been proposed to model temporally…
We study the Schr\"odinger bridge problem when the endpoint distributions are available only through samples. Classical computational approaches estimate Schr\"odinger potentials via Sinkhorn iterations on empirical measures and then…
We present schemes for simulating Brownian bridges on complete and connected Lie groups and homogeneous spaces. We use this to construct an estimation scheme for recovering an unknown left- or right-invariant Riemannian metric on the Lie…
A formula for the transition density of a Markov process defined by an infinite-dimensional stochastic equation is given in terms of the Ornstein--Uhlenbeck bridge and a useful lower estimate on the density is provided. As a consequence,…
In order to solve tasks like uncertainty quantification or hypothesis tests in Bayesian imaging inverse problems, we often have to draw samples from the arising posterior distribution. For the usually log-concave but high-dimensional…
In this paper, we investigate the multi-marginal Schrodinger bridge (MSB) problem whose marginal constraints are marginal distributions of a stochastic differential equation (SDE) with a constant diffusion coefficient, and with time…
In this paper we establish a diffusion limit for a multivariate continuous time Markov chain whose components are indexed by vertices of a finite graph. The components take values in a common finite set of non-negative integers and evolve…
We propose simple methods for multivariate diffusion bridge simulation, which plays a fundamental role in simulation-based likelihood and Bayesian inference for stochastic differential equations. By a novel application of classical coupling…
A Schr\"{o}dinger bridge establishes a dynamic transport map between two target distributions via a reference process, simultaneously solving an associated entropic optimal transport problem. We consider the setting where samples from the…
We propose a novel generative model for time series based on Schr{\"o}dinger bridge (SB) approach. This consists in the entropic interpolation via optimal transport between a reference probability measure on path space and a target measure…
In the context of non-convex optimization, we let the temperature of a Langevin diffusion to depend on the diffusion's own density function. The rationale is that the induced density captures to some extent the landscape imposed by the…
We study a semimartingale optimal transport problem interpolating between the Schr\"odinger bridge and the stretched Brownian motion associated with the Bass solution of the Skorokhod embedding problem. The cost combines an entropy term on…
The long time behavior of an absorbed Markov process is well described by the limiting distribution of the process conditioned to not be killed when it is observed. Our aim is to give an approximation's method of this limit, when the…
The problem of reconciling a prior probability law on paths with data was introduced by E. Schr\"odinger in 1931/32. It represents an early formulation of a maximum likelihood problem. This specific formulation can also be seen as the…
Offline planning often struggles with poor sampling efficiency as it tries to learn policies from scratch. Especially with diffusion models, such cold start practices mean that both training and sampling become very expensive. We…
We consider contractivity for diffusion semigroups w.r.t. Kantorovich ($L^1$ Wasserstein) distances based on appropriately chosen concave functions. These distances are inbetween total variation and usual Wasserstein distances. It is shown…
In this article we consider the estimation of static parameters for partially observed diffusion processes with discrete-time observations over a fixed time interval. In particular, when one only has access to time-discretized solutions of…
We consider graph diffusion processes constructed from finite i.i.d. samples drawn from an unknown manifold embedded in ambient Euclidean space, where the graph affinity is defined by an ambient Gaussian kernel matrix. We show that the…
We study the problem of unbiased estimation of expectations with respect to (w.r.t.) $\pi$ a given, general probability measure on $(\mathbb{R}^d,\mathcal{B}(\mathbb{R}^d))$ that is absolutely continuous with respect to a standard Gaussian…