A probabilistic score estimation using the Bismut--Elworthy--Li formula

Abstract

Score-learning methods generally lack pointwise supervision, which affects the training accuracy, particularly in regions where SDE trajectories are rare. To address this challenge, we introduce a novel method called \emph{BEL anchors}, which uses Monte Carlo score estimates at user-selected space-time query points. By combining a Feynman--Kac representation of the Fokker--Planck equation with the Bismut--Elworthy--Li formula, our estimator requires neither closed-form transition densities, spatial discretization, nor derivatives of the initial density. We derive its asymptotic variance and use the anchors as sparse supervised targets for existing score-learning objectives. Experiments show that BEL anchors improve implicit score matching in poorly sampled regions, prevent score-PINN collapse, and enable accurate sample regeneration in several numerical examples.