4 papers
Semi-parametric Bernstein-von Mises Theorem in a Parabolic PDE Problem
Adel Magra, Frank van der Meulen, Aad van der Vaart
We consider the heat equation with absorption in a bounded domain of , where both the scalar diffusivity and the absorption function are unknown. We investigate a Bay…
Guided filtering and smoothing for infinite-dimensional diffusions
Thorben Pieper-Sethmacher, Daniele Avitabile, Frank van der Meulen
We consider the filtering and smoothing problems for an infinite-dimensional diffusion process X, observed through a finite-dimensional representation at discrete points in time. A…
Backward Filtering Forward Guiding
Frank van der Meulen, Moritz Schauer, Stefan Sommer
We develop a general methodological framework for probabilistic inference in discrete- and continuous-time stochastic processes evolving on directed acyclic graphs (DAGs). The proc…
Neural Guided Diffusion Bridges
Gefan Yang, Frank van der Meulen, Stefan Sommer
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 a…