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…
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 $0…
math.PR2025
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 a…