Direct Estimation of Schrödinger Bridge Time-Series Drifts: Finite-Sample, Asymptotic, and Adaptive Guarantees

Othmane Mazhar, Huyên Pham

We study nonparametric estimation of Schrödinger bridge (SB) drifts from i.i.d.\ data observed on a single time interval. Starting from the conditional-ratio form of the Schrödin…