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

Diffusion models have recently achieved remarkable success in generative modeling, yet they are commonly formulated as black-box stochastic systems with limited interpretability and few structural guarantees. In this paper, we establish a…

We extend the Bismut-Elworthy-Li formula to non-degenerate jump diffusions and "payoff" functions depending on the process at multiple future times. In the spirit of Fournie et al [13] and Davis and Johansson [9] this can improve Monte…

Diffusion models are state-of-the-art methods in generative modeling when samples from a target probability distribution are available, and can be efficiently sampled, using score matching to estimate score vectors guiding a Langevin…

This paper proposes a novel diffusion-based posterior sampling method within a plug-and-play (PnP) framework. Our approach constructs a probability transport from an easy-to-sample terminal distribution to the target posterior, using a…

By means of the Malliavin calculus, integral representation for the second derivative of the loglikelihood function are given for a model based on discrete time observations of the solution to SDE driven by a Levy process.

We establish a connection between stochastic optimal control and generative models based on stochastic differential equations (SDEs), such as recently developed diffusion probabilistic models. In particular, we derive a…

A novel discretization is presented for forward-backward stochastic differential equations (FBSDE) with differentiable coefficients, simultaneously solving the BSDE and its Malliavin sensitivity problem. The control process is estimated by…

Score-based (denoising diffusion) generative models have recently gained a lot of success in generating realistic and diverse data. These approaches define a forward diffusion process for transforming data to noise and generate data by…

By using the Malliavin calculus, the Driver-type integration by parts formula is established for the semigroup associated to to SPDEs with Multiplicative Noise. Moreover, estimates on the density of heat kernel w.r.t. Lebesgue measure are…

In this paper we study backward stochastic differential equations with general terminal value and general random generator. In particular, we do not require the terminal value be given by a forward diffusion equation. The randomness of the…

In this paper, we establish a Quantitative Central Limit Theorem ({\sc qclt}) for the Stochastic Gradient Descent in Continuous Time ({\sc sgdct}) algorithm, whose parameter updates are governed by a stochastic differential equation. We…

In this paper, we study the problem of computing the effective diffusivity for particles moving in chaotic flows. Instead of solving a convection-diffusion type cell problem in the Eulerian formulation (arising from homogenization theory…

Diffusion models generate samples by denoising along the score of a perturbed target distribution. In practice, one trains a neural diffusion model, which is computationally expensive. Recent work suggests that score matching implicitly…

We introduce an approach for analyzing the responses of dynamical systems to external perturbations that combines score-based generative modeling with the Generalized Fluctuation-Dissipation Theorem (GFDT). The methodology enables accurate…

In recent years, diffusion models trained on equilibrium molecular distributions have proven effective for sampling biomolecules. Beyond direct sampling, the score of such a model can also be used to derive the forces that act on molecular…

Diffusion models over discrete spaces have recently shown striking empirical success, yet their theoretical foundations remain incomplete. In this paper, we study the sampling efficiency of score-based discrete diffusion models under a…

Denoising diffusions are state-of-the-art generative models exhibiting remarkable empirical performance. They work by diffusing the data distribution into a Gaussian distribution and then learning to reverse this noising process to obtain…

Score-based diffusion models demonstrate superior performance in generative tasks but encounter fundamental bottlenecks in inverse problems due to the analytical intractability of the time-dependent likelihood score. To bridge this gap, we…

In this paper, we establish an Alekseev--Gr\"obner formula for stochastic differential equations (SDEs) driven by a Poisson random measure, which express the global error between a functional of two processes solution of SDEs started at the…

We describe a new, microscopic model for diffusion that captures diffusion induced fluctuations at scales where the concept of concentration gives way to discrete particles. We show that in the limit as the number of particles $N \to…