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Optimal control of diffusion processes is intimately connected to the problem of solving certain Hamilton-Jacobi-Bellman equations.
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Importance sampling in path space for diffusion processes with slow-fast variables
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Variational approach to rare event simulation using least-squares regression
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Some machine learning schemes for high-dimensional nonlinear PDEs
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Simulating bridges using confluent diffusions
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Approximating the stationary Hamilton-Jacobi-Bellman equation by hierarchical tensor products
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From reinforcement learning to optimal control: A unified framework for sequential decisions
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Theoretical guarantees for sampling and inference in generative models with latent diffusions
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