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Weak approximation of Schrödinger-Föllmer diffusion (2403.03446v2)
Published 6 Mar 2024 in math.PR, math.ST, and stat.TH
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.
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