Related papers: Residual-Bridge Constructs for Conditioned Diffusi…
Recently Whitaker et al. (2017) considered Bayesian estimation of diffusion driven mixed effects models using data-augmentation. The missing data, diffusion bridges connecting discrete time observations, are drawn using a "residual bridge…
We consider the task of generating discrete-time realisations of a nonlinear multivariate diffusion process satisfying an It\^o stochastic differential equation conditional on an observation taken at a fixed future time-point. Such…
With a view to statistical inference for discretely observed diffusion models, we propose simple methods of simulating diffusion bridges, approximately and exactly. Diffusion bridge simulation plays a fundamental role in likelihood and…
We propose simple methods for multivariate diffusion bridge simulation, which plays a fundamental role in simulation-based likelihood and Bayesian inference for stochastic differential equations. By a novel application of classical coupling…
We consider the problem of simulating diffusion bridges, which are diffusion processes that are conditioned to initialize and terminate at two given states. The simulation of diffusion bridges has applications in diverse scientific fields…
Diffusion bridge models establish probabilistic paths between arbitrary paired distributions and exhibit great potential for universal image restoration. Most existing methods merely treat them as simple variants of stochastic interpolants,…
We present Fractional Diffusion Bridge Models (FDBM), a novel generative diffusion bridge framework driven by an approximation of the rich and non-Markovian fractional Brownian motion (fBM). Real stochastic processes exhibit a degree of…
Simulating the conditioned dynamics of diffusion processes, given their initial and terminal states, is an important but challenging problem in the sciences. The difficulty is particularly pronounced for rare events, for which the…
Consider ``stochastic differential equations" driven by fractional Brownian motion with Hurst parameter H (1/4 <H< 1). Their solutions are sometimes called fractional diffusion processes. The main purpose of this paper is conditioning these…
Diffusion models have risen to prominence in time series forecasting, showcasing their robust capability to model complex data distributions. However, their effectiveness in deterministic predictions is often constrained by instability…
We propose a discrete time discrete space Markov chain approximation with a Brownian bridge correction for computing curvilinear boundary crossing probabilities of a general diffusion process on a finite time interval. For broad classes of…
This work describes three diffuse-interface methods for the simulation of immiscible, compressible multiphase fluid flows and elastic-plastic deformation in solids. The first method is the localized-artificial-diffusivity approach of Cook…
We present a general framework for Bayesian estimation of incompletely observed multivariate diffusion processes. Observations are assumed to be discrete in time, noisy and incomplete. We assume the drift and diffusion coefficient depend on…
We propose a novel method for simulating conditioned diffusion processes (diffusion bridges) in Euclidean spaces. By training a neural network to approximate bridge dynamics, our approach eliminates the need for computationally intensive…
Conditions on the generator of a Markov process to control the fluctuations of its bridges are found. In particular, continuous time random walks on graphs and gradient diffusions are considered. Under these conditions, a concentration of…
Denoising diffusion models have recently emerged as a powerful class of generative models. They provide state-of-the-art results, not only for unconditional simulation, but also when used to solve conditional simulation problems arising in…
Diffusion models have become the go-to method for large-scale generative models in real-world applications. These applications often involve data distributions confined within bounded domains, typically requiring ad-hoc thresholding…
In a recent article, Krapivsky and Redner (J. Stat. Mech. 093208 (2018)) established that the distribution of the first hitting times for a diffusing particle subject to hitting an absorber is independent of the direction of the external…
In this paper, we introduce an extension of a Brownian bridge with a random length by including uncertainty also in the pinning level of the bridge. The main result of this work is that unlike for deterministic pinning point, the bridge…
We present a scheme for simulating conditioned semimartingales taking values in Riemannian manifolds. Extending the guided bridge proposal approach used for simulating Euclidean bridges, the scheme replaces the drift of the conditioned…