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UID:20251030T001831EDT-2821du5V4G@132.216.98.100
DTSTAMP:20251030T041831Z
DESCRIPTION:Title: The Schrodinger bridge problem for regime-switching jump
  diffusions and its applications to the unbalanced problem.\n\nAbstract: T
 he Schrodinger bridge problem (SBP) seeks to find the measure on a certain
  path space which interpolates between state-space distributions at time 0
  and at time T while minimizing the KL divergence (relative entropy) to a 
 reference measure. With nearly a century of research and lying in the inte
 rsection of stochastic analysis\, optimal transport\, and stochastic contr
 ol\, the SBP provides a mathematical framework for incorporating new obser
 vational data into an existing model of a dynamical system or for 'steerin
 g' the system towards a desired outcome. In this work\, we extend the know
 n theory about the SBP for diffusions to the setting of regime-switching j
 ump diffusions\, and we apply it to study the unbalanced SBP\, where the d
 istribution at time T is a sub-probability measure.\n
DTSTART:20251030T153000Z
DTEND:20251030T163000Z
LOCATION:Room 920\, Burnside Hall\, CA\, QC\, Montreal\, H3A 0B9\, 805 rue 
 Sherbrooke Ouest
SUMMARY:Andrei Zlotchevski (ºÚÁÏÍø)
URL:/mathstat/channels/event/andrei-zlotchevski-mcgill
 -university-368604
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