3 papers
math.PR2025
A Regime-Switching Approach to the Unbalanced Schrödinger Bridge Problem
Andrei Zlotchevski, Linan Chen
The unbalanced Schrödinger bridge problem (uSBP) seeks to interpolate between a probability measure and a sub-probability measure while minimizing KL divergence to a re…
math.PR2025
The Schrödinger Bridge Problem for Jump Diffusions with Regime Switching
Andrei Zlotchevski, Linan Chen
The Schrödinger bridge problem (SBP) aims at finding the measure on a certain path space which possesses the desired state-space distributions at time …
math.PR2024
Schrödinger Bridge Problem for Jump Diffusions
Andrei Zlotchevski, Linan Chen
The Schrödinger bridge problem (SBP) seeks to find the measure on a certain path space which interpolates between state-space distributions at time and…