TY - DATA
T1 - Code underlying the publication: Simulation of infinite-dimensional diffusion bridges
PY - 2025/07/11
AU - Thorben Pieper
UR - 
DO - 10.4121/d12c7073-0d02-454d-abfc-ff05151017e3.v1
KW - Doob’s h-transform
KW - Exponential change of measure
KW - Guided process
KW - Infinite-dimensional diffusion bridge
KW - Monte Carlo methods
KW - Semilinear SPDE
KW - SPDE bridge
KW - Stochastic Amari equation
KW - Stochastic Allen-Cahn equation
N2 - <p>Code to run the experiments presented in Pieper-Sethmacher et al. (2025) Simulation of infinite-dimensional diffusion bridges, arXiv preprint, arXiv:2503.13177.</p><p>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.</p>
ER -