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math.PR2024
Independent projections of diffusions: Gradient flows for variational inference and optimal mean field approximations
Daniel Lacker
What is the optimal way to approximate a high-dimensional diffusion process by one in which the coordinates are independent? This paper presents a construction, called the \emph{in…
math.PR2024
Mimicking and Conditional Control with Hard Killing
Rene Carmona, Daniel Lacker
We first prove a mimicking theorem (also known as a Markovian projection theorem) for the marginal distributions of an Ito process conditioned to not have exited a given domain. We…