Awesome
Simulating Diffusion Bridges with Score Matching
This is a PyTorch implementation of the methodology described in the article arXiv:2111.07243.
Run the following Python notebooks to repeat experiments for each model:
repeat_ou.ipynb
for Ornstein-Uhlenbeck process;repeat_radial.ipynb
for a specific case of an interest rates model proposed by Aït-Sahalia and Lo (Journal of Finance, 1998);repeat_cell.ipynb
for cell differentiation and development model of Wang et al. (PNAS, 2011).
The neural network architectures for all our numerical examples is illustrated in neuralnet.pdf
.