Related papers: Malliavin Calculus for Score-based Diffusion Model…

This paper is concerned with a class of stochastic differential equations with Markovian switching. The Malliavin calculus is used to study the smoothness of the density of the solution under a H\"{o}rmander type condition. Furthermore, we…

We prove that a denoising diffusion sampler equipped with a sequential bias across the batch dimension is exactly an Euler-Maruyama integrator for overdamped Langevin dynamics. Each reverse denoising step, with its associated spring…

We propose a novel numerical approach for nonlocal diffusion equations [8] with integrable kernels, based on the relationship between the backward Kolmogorov equation and backward stochastic differential equations (BSDEs) driven by L\`{e}vy…

Score-based diffusion models provide a powerful way to model images using the gradient of the data distribution. Leveraging the learned score function as a prior, here we introduce a way to sample data from a conditional distribution given…

Score-based diffusion models have recently emerged as state-of-the-art generative models for a variety of data modalities. Nonetheless, it remains unclear how to adapt these models to generate long multivariate time series. Viewing a time…

We give an introduction to discrete functional analysis techniques for stationary and transient diffusion equations. We show how these techniques are used to establish the convergence of various numerical schemes without assuming…

Recent advances in generative models have made exploring design spaces easier for de novo molecule generation. However, popular generative models like GANs and normalizing flows face challenges such as training instabilities due to…

In this paper we derive tractable formulae for price sensitivities of two-dimensional spread options using Malliavin calculus. In particular, we consider spread options with asset dynamics driven by geometric Brownian motion and stochastic…

Reflected diffusions in polyhedral domains are commonly used as approximate models for stochastic processing networks in heavy traffic. Stationary distributions of such models give useful information on the steady state performance of the…

We investigate the estimates of the density for the traditional Euler-Maruyama discretization of stochastic differential equations (SDEs) with multiplicative noise. Our estimates focus on two key aspects: (1) the $L^p$-upper bounds for…

We propose a framework to perform Bayesian inference using conditional score-based diffusion models to solve a class of inverse problems in mechanics involving the inference of a specimen's spatially varying material properties from noisy…

We consider an infinite-dimensional dynamical system with polynomial nonlinearity and additive noise given by a finite number of Wiener processes. By studying how randomness is spread by the system we develop a counterpart of Hormander's…

Score estimation is the backbone of score-based generative models (SGMs), especially denoising diffusion probabilistic models (DDPMs). A key result in this area shows that with accurate score estimates, SGMs can efficiently generate samples…

To sample from a general target distribution $p_*\propto e^{-f_*}$ beyond the isoperimetric condition, Huang et al. (2023) proposed to perform sampling through reverse diffusion, giving rise to Diffusion-based Monte Carlo (DMC).…

We consider the problem of statistical inference for a class of partially-observed diffusion processes, with discretely-observed data and finite-dimensional parameters. We construct unbiased estimators of the score function, i.e. the…

Recent score-based diffusion models (SBDMs) show promising results in unpaired image-to-image translation (I2I). However, existing methods, either energy-based or statistically-based, provide no explicit form of the interfered intermediate…

Diffusion models (DMs) have made significant progress in the fields of image, audio, and video generation. One downside of DMs is their slow iterative process. Recent algorithms for fast sampling are designed from the perspective of…

Diffusion models are often introduced from multiple perspectives, such as VAEs, score matching, or flow matching, accompanied by dense and technically demanding mathematics that can be difficult for beginners to grasp. One classic question…

Diffusion Models (DMs), also referred to as score-based diffusion models, utilize neural networks to specify score functions. Unlike most other probabilistic models, DMs directly model the score functions, which makes them more flexible to…

In the context of non-convex optimization, we let the temperature of a Langevin diffusion to depend on the diffusion's own density function. The rationale is that the induced density captures to some extent the landscape imposed by the…