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DOI: 10.4121/d12c7073-0d02-454d-abfc-ff05151017e3

Pieper, Thorben (2025): Code underlying the publication: Simulation of infinite-dimensional diffusion bridges. Version 1. 4TU.ResearchData. dataset. https://doi.org/10.4121/d12c7073-0d02-454d-abfc-ff05151017e3.v1

Categories

• Statistics
• Applied Mathematics
• Mathematical Sciences

Keywords

Doob’s h-transform Exponential change of measure Guided process Infinite-dimensional diffusion bridge Monte Carlo methods Semilinear SPDE SPDE bridge Stochastic Allen-Cahn equation Stochastic Amari equation

Licence

CC BY 4.0

Interoperability

• RO-Crate Metadata

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by Thorben Pieper

Code to run the experiments presented in Pieper-Sethmacher et al. (2025) Simulation of infinite-dimensional diffusion bridges, arXiv preprint, arXiv:2503.13177.

The source code implements the Metropolis Hastings sampler in Algorithm 1 of the paper, drawing samples of an infinite dimensional diffusion bridge conditioned on a partial observation. Code is written in Julia. Source code is under src. Executing the driver files returns the simulations and figures of Examples 5.5 and 5.6.

History

• 2025-07-11 first online, published, posted

Publisher

4TU.ResearchData

Format

.jl

Associated peer-reviewed publication

Simulation of infinite-dimensional diffusion bridges

Organizations

TU Delft, Faculty of Electrical Engineering, Mathematics and Computer Science, Delft Institute for Applied Mathematics