Related papers: Simulating bridges using confluent diffusions

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…

We introduce the use of the Zig-Zag sampler to the problem of sampling conditional diffusion processes (diffusion bridges). The Zig-Zag sampler is a rejection-free sampling scheme based on a non-reversible continuous piecewise deterministic…

Markov chain Monte Carlo samplers based on discretizations of (overdamped) Langevin dynamics are commonly used in the Bayesian inference and computational statistical physics literature to estimate high-dimensional integrals. One can…

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…

In this paper we describe a novel framework for diffusion-based generative modeling on constrained spaces. In particular, we introduce manual bridges, a framework that expands the kinds of constraints that can be practically used to form…

Stochastic differential equations (SDEs) or diffusions are continuous-valued continuous-time stochastic processes widely used in the applied and mathematical sciences. Simulating paths from these processes is usually an intractable problem,…

Markov chain Monte Carlo methods explicitly defined on the manifold of probability distributions have recently been established. These methods are constructed from diffusions across the manifold and the solution of the equations describing…

We develop a Bayesian inference method for diffusions observed discretely and with noise, which is free of discretisation bias. Unlike existing unbiased inference methods, our method does not rely on exact simulation techniques. Instead,…

Generative diffusions are a powerful class of Monte Carlo samplers that leverage bridging Markov processes to approximate complex, high-dimensional distributions, such as those found in image processing and language models. Despite their…

Diffusion models are powerful generative models that map noise to data using stochastic processes. However, for many applications such as image editing, the model input comes from a distribution that is not random noise. As such, diffusion…

This study explores a Gaussian quasi-likelihood approach for estimating parameters of diffusion processes with Markovian regime switching. Assuming the ergodicity under high-frequency sampling, we will show the asymptotic normality of the…

We propose a hybrid generative model for efficient sampling of high-dimensional, multimodal probability distributions for Bayesian inference. Traditional Monte Carlo methods, such as the Metropolis-Hastings and Langevin Monte Carlo sampling…

We provide a general framework for learning diffusion bridges that transport prior to target distributions. It includes existing diffusion models for generative modeling, but also underdamped versions with degenerate diffusion matrices,…

For rare events described in terms of Markov processes, truly unbiased estimation of the rare event probability generally requires the avoidance of numerical approximations of the Markov process. Recent work in the exact and…

Mathematically modelling diffusive and advective transport of particles in heterogeneous layered media is important to many applications in computational, biological and medical physics. While deterministic continuum models of such…

Recent years witnessed the development of powerful generative models based on flows, diffusion or autoregressive neural networks, achieving remarkable success in generating data from examples with applications in a broad range of areas. A…

Diffusion-based generative models have achieved promising results recently, but raise an array of open questions in terms of conceptual understanding, theoretical analysis, algorithm improvement and extensions to discrete, structured,…

A key task in Bayesian machine learning is sampling from distributions that are only specified up to a partition function (i.e., constant of proportionality). One prevalent example of this is sampling posteriors in parametric distributions,…

A key task in Bayesian statistics is sampling from distributions that are only specified up to a partition function (i.e., constant of proportionality). However, without any assumptions, sampling (even approximately) can be #P-hard, and few…

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…