Related papers: Langevin Diffusion Approximation to Same Marginal …
For an arbitrary Hilbert space-valued Ornstein-Uhlenbeck process we construct the Ornstein-Uhlenbeck Bridge connecting a starting point $x$ and an endpoint $y$ that belongs to a certain linear subspace of full measure. We derive also a…
The behavior of the self diffusion constant of Langevin particles interacting via a pairwise interaction is considered. The diffusion constant is calculated approximately within a perturbation theory in the potential strength about the bare…
Using techniques of the theory of semigroups of linear operators we study the question of approximating solutions to equations governing diffusion in thin layers separated by a semi-permeable membrane. We show that as thickness of the…
One of the key ingredients to successfully apply Stein's method for distributional approximation are solutions to the Stein equations and their derivatives. Using Barbour's generator approach, one can solve for the solutions to the Stein…
Sampling from log-concave distributions is a well researched problem that has many applications in statistics and machine learning. We study the distributions of the form $p^{*}\propto\exp(-f(x))$, where…
Recently, a series of papers proposed deep learning-based approaches to sample from target distributions using controlled diffusion processes, being trained only on the unnormalized target densities without access to samples. Building on…
We address the problem of Schr\"odinger potential estimation, which plays a crucial role in modern generative modelling approaches based on Schr\"odinger bridges and stochastic optimal control for SDEs. Given a simple prior diffusion…
Let X and Y be time-homogeneous Markov processes with common state space E, and assume that the transition kernels of X and Y admit densities with respect to suitable reference measures. We show that if there is a time t>0 such that, for…
In this paper we consider a new probability sampling methods based on Langevin diffusion dynamics to resolve the problem of existing Monte Carlo algorithms when draw samples from high dimensional target densities. We extent…
We propose a new simple and explicit numerical scheme for time-homogeneous stochastic differential equations. The scheme is based on sampling increments at each time step from a skew-symmetric probability distribution, with the level of…
We examine the Langevin diffusion confined to a closed, convex domain $D\subset\mathbb{R}^d$, represented as a reflected stochastic differential equation. We introduce a sequence of penalized stochastic differential equations and prove that…
We show that the spectral flow of a one-parameter family of Schr\"odinger operators on a metric graph is equal to the Maslov index of a path of Lagrangian subspaces describing the vertex conditions. In addition, we derive an Hadamard-type…
Predicting the intermediate trajectories between an initial and target distribution is a central problem in generative modeling. Existing approaches, such as flow matching and Schr\"odinger bridge matching, effectively learn mappings…
We study the problem of sampling from a distribution $\target$ using the Langevin Monte Carlo algorithm and provide rate of convergences for this algorithm in terms of Wasserstein distance of order $2$. Our result holds as long as the…
Diffusion models have quickly become some of the most popular and powerful generative models for high-dimensional data. The key insight that enabled their development was the realization that access to the score -- the gradient of the…
In this paper, we introduce an extension of a Brownian bridge with a random length by including uncertainty also in the pinning level of the bridge. The main result of this work is that unlike for deterministic pinning point, the bridge…
In previous work, we introduced a method for determining convergence rates for integration methods for the kinetic Langevin equation for $M$-$\nabla$Lipschitz $m$-log-concave densities [arXiv:2302.10684, 2023]. In this article, we exploit…
We consider the problem of approximating the Langevin dynamics of inertial particles being transported by a background flow. In particular, we study an acceleration corrected advection-diffusion approximation to the Langevin dynamics, a…
This paper develops a novel operator theoretic framework to study the contraction properties of Markov semigroups with respect to a general class of Kantorovich semi-distances, which notably includes Wasserstein distances. The rather simple…
We investigate the kinetic Schr\"odinger problem, obtained considering Langevin dynamics instead of Brownian motion in Schr\"odinger's thought experiment. Under a quasilinearity assumption we establish exponential entropic turnpike…