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:

1. repeat_ou.ipynb for Ornstein-Uhlenbeck process;
2. repeat_radial.ipynb for a specific case of an interest rates model proposed by Aït-Sahalia and Lo (Journal of Finance, 1998);
3. 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.