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julbern OP t1_ivyy0g1 wrote

Reply to comment by Benlus in [R] An optimal control perspective on diffusion-based generative modeling by julbern

The result from stochastic optimal control that we use in the paper ("verification theorem") originates mainly from the work of M. Pavon (1989) and P. Dai Pra (1991).

Perhaps it is best to start with the lecture notes of R. Van Handel (2007).

For books on the topic, I can further suggest:

  1. W. H. Fleming and R. W. Rishel (1975)
  2. W. H. Fleming and H. M. Soner (2006)
  3. H. Pham (2009)

Some more recent works in this direction are the following:

  1. B. Tzen and M. Raginsky (2019)
  2. N. Nüsken and L. Richter (2021)
  3. M. Pavon (2022)
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