The Schrödinger bridge for a jump diffusion is represented and approximated by harmonic h-transforms, with a PIDE formulation for smooth jump-diffusion flows.
Periodic homogeniza- tion of nonsymmetric Lévy-type processes
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
math.PR 1years
2024 1verdicts
CONDITIONAL 1representative citing papers
citing papers explorer
-
Schr\"odinger Bridge Problem for Jump Diffusions
The Schrödinger bridge for a jump diffusion is represented and approximated by harmonic h-transforms, with a PIDE formulation for smooth jump-diffusion flows.