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math.PR2025
Simulation of infinite-dimensional diffusion bridges
Thorben Pieper-Sethmacher, Frank van der Meulen, Aad van der Vaart
Let X be the mild solution to a semilinear stochastic partial differential equation. In this article, we develop methodology to sample from the infinite-dimensional diffusion bridg…
math.PR2025
On a class of exponential changes of measure for stochastic PDEs
Thorben Pieper-Sethmacher, Frank van der Meulen, Aad van der Vaart
Given a mild solution to a semilinear stochastic partial differential equation (SPDE), we consider an exponential change of measure based on its infinitesimal generator , de…