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math.PR2025
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…
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…