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Parameter Inference via Differentiable Diffusion Bridge Importance Sampling
Nicklas Boserup, Gefan Yang, Michael Lind Severinsen +2
We introduce a methodology for performing parameter inference in high-dimensional, non-linear diffusion processes. We illustrate its applicability for obtaining insights into the e…
Infinite-dimensional Diffusion Bridge Simulation via Operator Learning
Gefan Yang, Elizabeth Louise Baker, Michael L. Severinsen +2
The diffusion bridge, which is a diffusion process conditioned on hitting a specific state within a finite period, has found broad applications in various scientific and engineerin…
Conditioning non-linear and infinite-dimensional diffusion processes
Elizabeth Louise Baker, Gefan Yang, Michael L. Severinsen +2
Generative diffusion models and many stochastic models in science and engineering naturally live in infinite dimensions before discretisation. To incorporate observed data for stat…