Concept
Girsanov's Theorem
A theorem in probability theory used for changing probability measures; in filtering theory it is used to transform the observation process into a diffusion process.
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Oct 8
The key tools for propagating score estimation error into a KL divergence bound on the path distribution are Girsanov's theorem and the Fokker-Planck equation, with compensated Poisson random measures additionally required for processes with jumps
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