A self-consistency property of optimal control yields an iterative online algorithm for learning conditioned diffusion dynamics without trajectory differentiation.
Pedersen (1995) use the unconditional dynamics, and Clark (1990) and Delyon and Hu (2006) utilise the Brownian bridge to ensure termination at the correct state
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Control Consistency Losses for Diffusion Bridges
A self-consistency property of optimal control yields an iterative online algorithm for learning conditioned diffusion dynamics without trajectory differentiation.