Wasserstein distance estimates for the distributions of numerical approximations to ergodic stochastic differential equations.
Jesús María Sanz-SernaKonstantinos C. ZygalakisPublished in: J. Mach. Learn. Res. (2021)
Keyphrases
- stochastic differential equations
- maximum a posteriori estimation
- brownian motion
- probability distribution
- fractional brownian motion
- kullback leibler divergence
- stochastic processes
- random variables
- additive gaussian noise
- differential equations
- stochastic process
- distance measure
- gaussian distribution
- markov chain
- optimal control
- heavy tailed
- closed form