Stochastic Differential Equations

Stochastic Gradient Descent (SGD) is commonly modeled as a Langevin process, assuming that minibatch noise acts as Brownian motion. However, this approximation relies on a continuous-time limit and a sqrt(eta) noise scaling that does not match the discrete SGD update at finite learning rate. In this work, we propose an alternative formulation of SGD as deterministic dynamics in a fluctuating loss landscape induced by minibatch sampling. Starting directly from the discrete update, we derive a master equation for the parameter distribution and obtain a discrete Fokker--Planck equation that differs from the standard Langevin form at order eta^2. Using this framework, we analyze SGD dynamics near critical points of the loss. We show that the behavior decomposes along the eigenbasis of the mean Hessian into qualitatively distinct regimes. In particular, nearly-flat directions do not admit a stationary distribution: the variance grows over time, corresponding to effective diffusion along valleys with a coefficient proportional to the learning rate. We provide empirical evidence supporting these predictions on neural network models in computer vision and natural language processing, observing a clear qualitative separation between confined and diffusive modes.

Diffusion models have emerged as a dominant framework for generative modeling, but their mathematical foundations are often presented separately through diffusion probabilistic models, score-based modeling, stochastic differential equations, and numerical sampling methods. We write this tutorial to provide a unified and self-contained account of these viewpoints from the perspective of differential equations. Starting from a conditional Gaussian noising process, we derive ordinary differential equation (ODE) and stochastic differential equation (SDE) representations, pass to the corresponding marginal forward dynamics, and then obtain the reverse-time SDE and probability-flow ODE that make generation possible. We show that the central unknown quantity in reverse sampling is the marginal score, explain how score matching becomes the standard denoising objective under a noise-prediction parameterization, and discuss practical reverse-time sampling and guidance. We further place DDPM, DDIM, flow matching, and score-based SDEs in a common framework, and conclude with diffusion language models in continuous embedding space together with a brief discussion of discrete masked-token diffusion. The tutorial is intended as a bridge between the analytical foundations of diffusion processes and the modern generative algorithms built upon them.

Diffusion models have achieved remarkable success in generating samples from unknown data distributions. Most popular stochastic differential equation-based diffusion models perturb the target distribution by adding Gaussian noise, transforming it into a simple prior, and then use denoising score matching, a consequence of Tweedie's formula, to learn the score function and generate clean samples from noise. However, non-Gaussian diffusion models with state-dependent diffusion coefficient have been largely underexplored, as have the corresponding Tweedie's formulae. In this work, we extend Tweedie's formula to important non-Gaussian processes, including geometric Brownian motion (GBM), squared Bessel (BESQ) processes, and Cox-Ingersoll-Ross (CIR) processes, thereby yielding the corresponding denoising score-matching objectives. We then apply the derived formulae to image and financial time series generation using GBM- and CIR-based diffusion models, and to empirical Bayes estimation under the BESQ setting. The reported experimental results demonstrate the potential of non-Gaussian models.

The Föllmer process is a Brownian motion conditioned to have a pre-specified distribution at time 1. This process can be interpreted as an ``augmented'' time-compressed version of the reverse stochastic differential equation (SDE) corresponding to the denoising diffusion probabilistic model (DDPM). While this fact has been indirectly used to analyze DDPM sampling errors via discretization of the reverse SDE, the connection between direct discretization of the Föllmer process and the DDPM sampler has not yet been fully explored. This paper clarifies this point while surveying relevant results from the literature. We show that discretized Föllmer processes give natural hyper-parameter settings of the DDPM sampler while accommodating a broader class of variance schedules than discretized reverse SDEs. Moreover, this allows us to systematically recover state-of-the-art results on DDPM sampling error bounds, along with slight improvements.

Understanding the behavior of stochastic gradient methods is a central problem in modern machine learning. Recent work has highlighted diagonal linear networks as a simplified yet expressive setting for analyzing the optimization and generalization properties of neural models. In this work, we show that in the high-dimensional regime, stochastic gradient descent on diagonal linear networks is well-approximated by continuous dynamics governed by a stochastic differential equation (SDE), which explicitly decouples the drift from the gradient noise. We further derive a deterministic partial differential equation whose solution propagates the relevant state of the iterates and characterizes the time evolution of a broad class of observable statistics, including the risk, curvature, and other metrics for optimality. Finally, we show that, under a suitable parametrization, the stochastic dynamics are globally well posed and converge exponentially fast to zero risk with high probability, yielding a fully explicit non-asymptotic description of their long-time behavior. Numerical simulations corroborate our theoretical findings.

We introduce a novel framework for uncertainty quantification of solution operators associated with stochastic partial differential equations (SPDEs). Although SPDEs play a central role in modeling complex physical systems under uncertainty, their practical use typically requires specifying the magnitude and structure of model uncertainties that are often unknown and difficult to infer from noisy measurements. To address this challenge, we develop a stochastic operator-learning framework that learns directly from noisy data and outputs both a mean solution field and a quantification of uncertainty. The proposed method, namely the Stochastic Operator Network (SON), is constructed by combining the structure of the Deep Operator Network (DeepONet) with Stochastic Neural Networks (SNNs) to model stochasticity and enable probabilistic prediction. The training procedure is carried out by minimizing a Hamiltonian-type loss and optimizing the resulting objective using the Stochastic Maximum Principle. Numerical experiments on benchmark SPDEs under multiple uncertainty sources demonstrate the accuracy and robustness of the proposed method in capturing solution structure and quantifying predictive uncertainty.

Video generative models have made remarkable progress, yet they often yield visual artifacts that violate grounding in physical dynamics. Recent works such as PhysGen3D tackle single image-to-3D physics through mesh reconstruction and Physically-Based Rendering, but challenges remain in modeling fluid dynamics, multi-object interactions and photorealism. This work introduces 3DPhysVideo, a novel training-free pipeline that generates physically realistic videos from a single image. We repurpose an off-the-shelf video model for two stages. First, we use it as a novel view synthesizer to reconstruct complete 360-degree 3D scene geometry by guiding the image-to-video (I2V) flow model with rendered point clouds. Second, after applying physics solvers to this geometry, the physically simulated point cloud is used to guide the same I2V flow model to synthesize final, high-quality videos. Consistency-Guided Flow SDE, which decomposes the predicted velocity of the I2V flow model into denoising and consistency bias, enforces consistency to the conditional inputs, allowing us to effectively repurpose the model for both 3D reconstruction and simulation-guided video generation. In the diverse experiments including multi-objects, and fluid interaction scenes, our method successfully bridges the gap from single-images to physically plausible videos, while remaining efficient to run on a single consumer GPU. It outperforms state-of-the-art baselines on GPT-based scores, VideoPhy benchmark and human evaluation.

Neural operators excel as deterministic surrogates, but inevitably collapse to the conditional mean when applied to stochastic PDEs, discarding the variance and tail structure upon which uncertainty quantification depends. Recovering this structure typically requires Monte Carlo rollouts or grafted generative models, both of which surrender the one-shot efficiency and resolution invariance that define the operator paradigm. To resolve this, we draw on the Doob-Meyer theorem, which establishes that any semimartingale fundamentally decomposes into a predictable drift and an unpredictable, zero-mean martingale. Translating this theorem into an architectural prior, we introduce the Martingale Neural Operator (MNO). MNO maps an initial condition directly to the conditional mean and covariance of the terminal law, parameterized by a drift-like mean and a low-rank factor $B_φ$ with $B_φ^\top B_φ$ positive semi-definite by construction. For our experiments, we use a Gaussian residual instantiation. Across 1D SPDEs, rough volatility, and 2D operator tasks, MNO reduces Wasserstein distance by up to $120\times$ on $φ^4$ field theory and $68\times$ on stochastic Burgers, evaluating $\sim 3\times$ faster than a conditional diffusion baseline at matched wall-clock training budgets. On 2D tasks, MNO is comparable to FNO on zero-shot resolution transfer and turbulent flow, while quasi-deterministic systems such as Gray-Scott remain a failure mode.

Deep learning methods based on backward stochastic differential equations (BSDEs) have emerged as competitive alternatives to physics-informed neural networks (PINNs) for solving high-dimensional partial differential equations (PDEs). By leveraging probabilistic representations, BSDE approaches can avoid the curse of dimensionality and often admit second-order-free training objectives that do not require explicit Hessian evaluations. It has recently been established that the commonly used Euler-Maruyama (EM) time discretization induces an intrinsic bias in BSDE training losses. While high-order schemes such as Heun can fully eliminate this bias, such schemes re-introduce second-order spatial derivatives and incur substantial computational overhead. In this work, we provide a principled analysis of EM-induced loss bias and propose an unbiased, second-order-free training framework that preserves the computational advantages of BSDE methods. Our code is available at https://github.com/seojaemin22/Un-EM-BSDE.

This paper introduces a physics-informed generative framework that resolves the fundamental conflict between the statistical flexibility of deep learning and the rigorous theoretical constraints of fixed-income modeling. We demonstrate that standard generative models and unconstrained statistical extrapolations suffer from "manifold collapse" and severe arbitrage violations when forecasting term structures across diverse macroeconomic regimes. To overcome this, we propose a two-stage architecture. First, a Student-t Conditional Variational Autoencoder with Dynamic Level Injection (CVAEsT+LS) extracts a robust, heavy-tailed term structure manifold, effectively decoupling macroeconomic shape dynamics from absolute base rates. Second, the latent dynamic evolution is governed by a continuous-time Neural Stochastic Differential Equation (SDE) strictly penalized by a No-Arbitrage Partial Differential Equation (PDE). Empirical results across multiple sovereign currencies (USD, GBP, JPY) confirm that our synergistic approach drastically reduces out-of-sample forecasting errors -- achieving an exceptional 6.58 bps Mean Tenor RMSE -- and successfully overcomes the massive parallel drift and zero-lower-bound violations exhibited by the classical HJM model in extreme environments. Furthermore, through phase space vector field analysis, we demonstrate the model's superior capability in unsupervised macroeconomic regime detection and high-quality continuous-time scenario generation. Ultimately, this research provides a highly scalable, mathematically sound evolutionary engine for term structure modeling.

Modelling extreme events and heavy-tailed phenomena is central to building reliable predictive systems in domains such as finance, climate science, and safety-critical AI. While Lévy processes provide a natural mathematical framework for capturing jumps and heavy tails, Bayesian inference for Lévy-driven stochastic differential equations (SDEs) remains intractable with existing methods: Monte Carlo approaches are rigorous but lack scalability, whereas neural variational inference methods are efficient but rely on Gaussian assumptions that fail to capture discontinuities. We address this tension by introducing a neural exponential tilting framework for variational inference in Lévy-driven SDEs. Our approach constructs a flexible variational family by exponentially reweighting the Lévy measure using neural networks. This parametrization preserves the jump structure of the underlying process while remaining computationally tractable. To enable efficient inference, we develop a quadratic neural parametrization that yields closed-form normalization of the tilted measure, a conditional Gaussian representation for stable processes that facilitates simulation, and symmetry-aware Monte Carlo estimators for scalable optimization. Empirically, we demonstrate that the method accurately captures jump dynamics and yields reliable posterior inference in regimes where Gaussian-based variational approaches fail, on both synthetic and real-world datasets.

Multi-agent trajectory modeling traditionally focuses on forecasting, often neglecting more general tasks like trajectory completion, which is essential for real-world applications such as correcting tracking data. Existing methods also generally predict agents' states without offering any state-wise measure of heteroscedastic uncertainty. Moreover, popular multi-modal sampling methods lack error probability estimates for each generated scene under the same prior observations, which makes it difficult to rank the predictions at inference time. We introduce U2Diffine, a unified diffusion model built to perform trajectory completion while simultaneously offering state-wise heteroscedastic uncertainty estimates. This is achieved by augmenting the standard denoising loss with the negative log-likelihood of the predicted noise, and then propagating the latent space uncertainty to the real state space using a first-order Taylor approximation. We also propose U2Diff, a faster baseline that avoids gradient computation during sampling. This approach significantly increases inference speed, making it as efficient as a standard generative-only diffusion model. For post-processing, we integrate a Rank Neural Network (RankNN) that enables error probability estimation for each generated mode, demonstrating strong correlation with ground truth errors. Our method outperforms state-of-the-art solutions in both trajectory completion and forecasting across four challenging sports datasets (NBA, Basketball-U, Football-U, Soccer-U), underscoring the effectiveness of our uncertainty and error probability estimation.

Practical diffusion sampling is a numerical approximation problem: under a fixed inference budget, one must simulate a reverse-time ODE or SDE using only a limited number of denoising steps, so discretization error is often the dominant source of error. Existing non-asymptotic analyses provide convergence guarantees, but are typically too loose and too insensitive to diffusion parameters to guide practical design: broad families of schedules receive the same rates, which depend on coarse worst-case quantities such as the dimension or the drift Lipschitz constant. We take a less ambitious but more informative route. In the exact-score setting, we derive first-order asymptotic expansions of the Euler-Maruyama weak and Fréchet discretization errors. These formulas hold for general smooth reverse diffusions and become fully explicit under Gaussian data. They show how discretization error adapts to the geometry of the data through the covariance spectrum, and how this geometry interacts with key diffusion parameters, including the diffusion schedules and the diffusion-term coefficient. This yields tractable objectives for geometry-aware parameter optimization. Finally, we show that the qualitative predictions of the Gaussian formulas remain robust across diffusion sampling problems with different geometries, including image generation on different datasets and image posterior sampling.

Diffusion models achieve strong generation quality, diversity, and distribution coverage, but their performance often comes with expensive inference. In this work, we propose Stochastic Transition-Map Distillation (STMD), a teacher-free framework for accelerating diffusion model inference while preserving probabilistic sample generation. In contrast to score-based diffusion models, whose denoising parametrization models the mean of the posterior distribution, STMD distills the full transition map associated with the sampling stochastic differential equation (SDE). We parameterize these SDE transitions with a conditional Mean Flow model, yielding a one- or few-step stochastic sampler that retains the transition structure of the underlying diffusion process. This perspective is especially useful for downstream tasks that require stochastic inference, such as diffusion posterior sampling, inverse problems, and energy-based fine-tuning. Compared to recent distillation methods, STMD requires no pretrained teacher, bi-level optimization, or trajectory simulation and caching, enabling efficient and scalable training. We derive convergence bounds for our method in the Wasserstein distance, providing a strong theoretical foundation for our approach, and validate STMD on various image generation examples on the MNIST, CIFAR-10, and CelebA datasets.

Stochastic differential equations (SDEs) provide a flexible framework for modeling temporal dynamics in partially observed systems. A central task is to calibrate such models from data, which requires inferring latent trajectories and parameters from sparse, noisy observations. Classical smoothing methods for this problem are often limited by path degeneracy and poor scalability. In this work, we developed a novel method based on characterization of the posterior SDE in terms of conditional backward-in-time score defined as the gradient of a function solving a Kolmogorov backward equation with multiplicative updates at observation times. We learn this conditional score using neural networks trained to satisfy both the governing PDE and the observation-induced jump conditions, thereby integrating continuous-time dynamics with discrete Bayesian updates. The resulting score induces a posterior SDE with the same diffusion coefficient but a modified drift, enabling efficient posterior trajectory sampling. We further derive a likelihood-based objective for learning the SDE parameters, yielding an evidence lower bound (ELBO) for joint state smoothing and parameter estimation. This leads to a variational EM-style procedure, where the neural conditional score is optimized to approximate the smoothing distribution, followed by a maximization step over the SDE parameters using samples from the induced posterior. Experiments on nonlinear systems demonstrate accurate and stable inference with a very few observations demonstrating significant improved scalability compared to classical MCMC methods.

Quantum machine learning increasingly relies on pure-state representations, motivating generative models that sample directly in quantum representation space rather than perturbing classical inputs and re-encoding. We introduce Stochastic Schrödinger Diffusion Models (SSDMs), a score-based generative framework that defines diffusion, scores, and reverse-time sampling intrinsically on the complex projective manifold $\mathbb{CP}^{d-1}$ under the Fubini--Study metric. SSDMs combine a Riemannian Ornstein--Uhlenbeck forward diffusion with a stochastic Schrödinger realization, and learn reverse-time dynamics driven by the Riemannian score. Our central technical contribution is a local-time learning objective that exploits the local Euclidean OU limit of intrinsic manifold diffusions in Fubini-Study normal coordinates to obtain an analytic teacher score, bypassing the intractable transition densities that limit existing Riemannian score-based models. Across synthetic, physics-inspired (TFIM, XXZ), and quantum feature-state benchmarks up to $14$ qubits, SSDMs match target pure-state ensembles by orders of magnitude on MMD and observable statistics over both ambient Euclidean and matched Riemannian score-based baselines, and improve representation-level diagnostics for downstream quantum kernel methods.

Most modern bridge-diffusion methods achieve finite-time transport by specifying an interpolation, Schrödinger-bridge, or stochastic-control objective and then learning the associated score or drift field with a neural network. In contrast, we identify a restricted but sufficiently broad and analytically solvable class in which the score, intermediate marginals, and protocol gradients are available in closed form without inner stochastic simulation loops and without neural networks in the optimization loop. We recast the classical linear--quadratic--Gaussian (LQG) stochastic-control structure as a transport problem of the Path Integral Diffusion (PID) type. In classical LQG control, linear dynamics, Gaussian noise, and quadratic costs lead to Riccati equations and closed-form optimal feedback. In LQ-GM-PID, we retain the linear--quadratic stochastic-control backbone, but replace terminal state regulation by a prescribed terminal probability density and allow both the initial and terminal laws to be Gaussian Mixtures (GM). Moreover, LQ-GM-PID turns bridge diffusion from a tool for terminal target matching alone into a tool for path shaping. We demonstrate this on a 2D corridor task, a 2D multi-entrance transport task, and a high-dimensional scaling study with $d=32$ and $M=16$ Gaussian-mixture terminal modes, all with sub-50,ms analytic precompute on a laptop. We position LQ-GM-PID as an analytically solvable reference model for the state-of-the-art neural bridge-diffusion and generative-transport methods: a controlled setting in which neural approximations, score estimates, path-shaping objectives, and protocol-learning procedures can be tested against exact quantities.

Deep stochastic processes have recently become a central paradigm for image enhancement, with many methods explicitly conditioning the stochastic trajectory on the degraded input. However, the relationship between these conditional processes and standard diffusion models remains unclear. In this work, we introduce a unified perspective on stochastic image enhancement by classifying recent methods into three families of continuous-time processes: unconditional diffusion models, Ornstein-Uhlenbeck (OU) processes, and diffusion bridges. We show that all of these approaches arise from a common stochastic differential equation (SDE) formulation. This framework makes explicit that seemingly disparate methods differ primarily in their drift and diffusion terms, terminal distributions, and boundary conditions, while schedulers and samplers constitute orthogonal design choices. Leveraging this unification, we conduct a controlled empirical study across multiple image enhancement tasks using identical architectures and training protocols. Our results reveal no consistently dominant method; instead, we identify and disentangle the specific design choices that most strongly influence performance. Finally, we release ItoVision, a modular PyTorch library that implements the unified framework and enables rapid prototyping and fair comparison of stochastic image enhancement methods.

Generating continuous-time, continuous-space stochastic processes (e.g., videos, weather forecasts) conditioned on partial observations (e.g., first and last frames) is a fundamental challenge. Existing approaches, (e.g., diffusion models), suffer from key limitations: (1) noise-to-data evolution fails to capture structural similarity between states close in physical time and has unstable integration in low-step regimes; (2) random noise injected is insensitive to the physical process's time elapsed, resulting in incorrect dynamics; (3) they overlook conditioning on arbitrary subsets of states (e.g., irregularly sampled timesteps, future observations). We propose ABC: Any-Subset Autoregressive Models via Non-Markovian Diffusion Bridges in Continuous Time and Space. Crucially, we model the process with one continual SDE whose time variable and intermediate states track the real time and process states. This has provable advantages: (1) the starting point for generating future states is the already-close previous state, rather than uninformative noise; (2) random noise injection scales with physical time elapsed, encouraging physically plausible dynamics with similar time-adjacent states. We derive SDE dynamics via changes-of-measure on path space, yielding another advantage: (3) path-dependent conditioning on arbitrary subsets of the state history and/or future. To learn these dynamics, we derive a path- and time-dependent extension of denoising score matching. Our experiments show ABC's superiority to competing methods on multiple domains, including video generation and weather forecasting.

We prove pathwise convergence of the layerwise evolution of tokens in a finite-depth, finite-width transformer model with MultiLayer Perceptron (MLP) blocks to a continuous-time stochastic interacting particle system. We also identify the stochastic partial differential equation describing the evolution of the tokens' distribution in this limit and prove propagation of chaos when the number of such tokens is large. The bounds we establish are quantitative and the limits we consider commute. We further prove that the limiting stochastic model displays synchronization by noise and establish exponential dissipation of the interaction energy on average, provided that the common noise is sufficiently coercive relative to the deterministic self-attention drift. We finally characterize the activation functions satisfying the former condition.

Learning the underlying potential energy of stochastic gradient systems from partial and noisy observations is a fundamental problem arising in physics, chemistry, and data-driven modeling. Classical approaches often rely on direct regression of governing equations or velocity fields, which can be sensitive to noise and external perturbations and may fail when observations are incomplete. In this work, we propose a structure-aware, energy-based learning framework for inferring unknown potential functions in generalized diffusion processes, grounded in the energetic variational approach. Starting from the energy-dissipation law associated with the Fokker-Planck equation, we construct loss functions based on the De Giorgi dissipation functional, which consistently couple the free energy and the dissipation mechanism of the system. This formulation avoids explicit enforcement of the governing partial differential equation and preserves the underlying variational structure of the dynamics. Through numerical experiments in one, two, and three dimensions, we demonstrate that the proposed energy-based loss exhibits enhanced robustness with respect to observation time, noise level, and the diversity and amount of available training data. These results highlight the effectiveness of energy-dissipation principles as a reliable foundation for learning stochastic diffusion dynamics from data.

In this paper, we consider the problem of extraction of most informative features from time series that are regarded as observed values of stochastic processes satisfying the It{ô} stochastic differential equations with unknown random drift and diffusion coefficients. We do not attract any additional information and use only the information contained in the time series as it is. Therefore, as additional features, we use the parameters of statistically adjusted mixture-type models of the observed regularities of the behavior of the time series. Several algorithms of construction of these parameters are discussed. These algorithms are based on statistical reconstruction of the coefficients which, in turn, is based on statistical separation of normal mixtures. We obtain two types of parameters by the techniques of the uniform and non-uniform statistical reconstruction of the coefficients of the underlying It{ô} process. The reconstructed coefficients obtained by uniform techniques do not depend on the current value of the process, while the non-uniform techniques reconstruct the coefficients with the account of their dependence on the value of the process. Actually, the non-uniform techniques used in this paper represent a stochastic analog of the Taylor expansion for the time series. The efficiency of the obtained additional features is compared by using them in the autoregressive algorithms of prediction of time series. In order to obtain pure conclusion that is not affected by unwanted factors, say, related to a special choice of the architecture of the neural network prediction methods, we used only simple autoregressive algorithms. We show that the use of additional statistical features improves the prediction.

Reward fine-tuning of diffusion and flow models and sampling from tilted or Boltzmann distributions can both be formulated as stochastic optimal control (SOC) problems, where learning an optimal generative dynamics corresponds to optimizing a control under SDE constraints. In this work, we revisit and generalize Adjoint Matching, a recently proposed SOC-based method for learning optimal controls, and place it on a rigorous footing by deriving it from the Stochastic Maximum Principle (SMP). We formulate a general Hamiltonian adjoint matching objective for SOC problems with control-dependent drift and diffusion and convex running costs, and show that its expected value has the same first variation as the original SOC objective. As a consequence, critical points satisfy the Hamilton--Jacobi--Bellman (HJB) stationarity conditions. In the important practical case of state- and control-independent diffusion, we recover the lean adjoint matching loss previously introduced, which avoids second-order terms and whose critical points coincide with the optimal control under mild uniqueness assumptions. Numerical experiments confirm that the extra terms it discards become necessary once the diffusion is state-dependent. Finally, we show that adjoint matching can be precisely interpreted as a continuous-time method of successive approximations induced by the SMP, yielding a practical and implementable alternative to classical SMP-based algorithms, which are obstructed by intractable martingale terms in the stochastic setting. These results are also of independent interest to the stochastic control community, providing new implementable objectives and a viable pathway for SMP-based iterations in stochastic problems.

Stochastic differential equations (SDEs), which serve as the governing equations for dynamical systems in a broad range of applications, can become cost-prohibitive for numerical simulation at scales necessary for quantifying key properties. Surrogate models of the drift function of an SDE, learned from data of the high-fidelity system, are routinely used to increase the efficiency of simulation and prediction of properties. However, standard choices of loss function for learning the surrogate model fail to provide error guarantees in certain path-dependent observables, such as transition times. This paper introduces an error bound for path-space observables and employs it as a novel variational loss for the goal-oriented learning of the drift function of a SDE. We show the error bound holds for a broad class of observables, including mean first hitting times on unbounded time domains. We derive an analytical gradient of the goal-oriented loss by leveraging the formula for Fréchet derivatives of expected path functionals, which remains tractable for implementation in stochastic gradient descent schemes. We demonstrate that surrogate models of overdamped Langevin systems developed via goal-oriented learning achieve improved accuracy in predicting the statistics of a first hitting time observable and robustness to distributional shift in the data.

Streaming autoregressive (AR) video generators combined with few-step distillation achieve low-latency, high-quality synthesis, yet remain difficult to align via reinforcement learning from human feedback (RLHF). Existing SDE-based GRPO methods face challenges in this setting: few-step ODEs and consistency model samplers deviate from standard flow-matching ODEs, and their short, low-stochasticity trajectories are highly sensitive to initialization noise, rendering intermediate SDE exploration ineffective. We propose AR-CoPO (AutoRegressive Contrastive Policy Optimization), a framework that adapts the Neighbor GRPO contrastive perspective to streaming AR generation. AR-CoPO introduces chunk-level alignment via a forking mechanism that constructs neighborhood candidates at a randomly selected chunk, assigns sequence-level rewards, and performs localized GRPO updates. We further propose a semi-on-policy training strategy that complements on-policy exploration with exploitation over a replay buffer of reference rollouts, improving generation quality across domains. Experiments on Self-Forcing demonstrate that AR-CoPO improves both out-of-domain generalization and in-domain human preference alignment over the baseline, providing evidence of genuine alignment rather than reward hacking.

We study identifiability in continuous-time linear stationary stochastic differential equations with a known causal structure. Unlike existing approaches, we relax the assumption of a known diffusion matrix, thereby respecting the model's intrinsic scale invariance. Therefore, rather than recovering drift coefficients themselves, we introduce edge-sign identifiability: for a given causal structure, we ask whether the sign of a given drift entry is uniquely determined across all observational covariance matrices induced by parametrisations compatible with that structure. This leads to a trichotomy of edge-sign identifiability: identifiable, non-identifiable, and partially identifiable. This trichotomy introduces the new notion of partial identifiability to the literature, which we show is a genuine category in our setting. Under a notion of faithfulness, we derive criteria to identify membership of each category for general graphs. Applying our criteria to specific causal structures, both analogous to classical causal settings (e.g., instrumental variables) and novel cyclic settings, we determine their edge-sign identifiability and, in some cases, obtain explicit expressions for the sign of a target edge in terms of the observational covariance matrix.

We develop a kernel method for generative modeling within the stochastic interpolant framework, replacing neural network training with linear systems. The drift of the generative SDE is $\hat b_t(x) = \nablaφ(x)^\topη_t$, where $η_t \in \mathbb{R}^P$ solves a $P\times P$ system computable from data, with $P$ independent of the data dimension $d$. Since estimates are inexact, the diffusion coefficient $D_t$ affects sample quality; the optimal $D_t^*$ from Girsanov diverges at $t=0$, but this poses no difficulty and we develop an integrator that handles it seamlessly. The framework accommodates diverse feature maps: scattering transforms, pretrained generative models, etc, enabling generation and model combination without neural network training. We demonstrate the approach on financial time series, turbulence, and image generation.

Existing video object removal methods predominantly rely on diffusion models following a noise-to-data paradigm, where generation starts from uninformative Gaussian noise. This approach discards the rich structural and contextual priors present in the original input video. Consequently, such methods often lack sufficient guidance, leading to incomplete object erasure or the synthesis of implausible content that conflicts with the scene's physical logic. In this paper, we reformulate video object removal as a video-to-video translation task via a stochastic bridge model. Unlike noise-initialized methods, our framework establishes a direct stochastic path from the source video (with objects) to the target video (objects removed). This bridge formulation effectively leverages the input video as a strong structural prior, guiding the model to perform precise removal while ensuring that the filled regions are logically consistent with the surrounding environment. To address the trade-off where strong bridge priors hinder the removal of large objects, we propose a novel adaptive mask modulation strategy. This mechanism dynamically modulates input embeddings based on mask characteristics, balancing background fidelity with generative flexibility. Extensive experiments demonstrate that our approach significantly outperforms existing methods in both visual quality and temporal consistency. The project page is https://bridgeremoval.github.io/.

Sampling based on score diffusions has led to striking empirical results, and has attracted considerable attention from various research communities. It depends on availability of (approximate) Stein score functions for various levels of additive noise. We show how in some generality, the availability of scores allows the general problem to be ``reduced'' to sampling from an adaptively constructed sequence of $K$ strongly log-concave (SLC) sub-problems. The reduction is simple, constructive and algorithm-independent, so that any SLC sampler can be used as a subroutine. Various bounds on score-based sampling complexity follow directly: for instance, high-accuracy SLC samplers yield $\tilde{\mathcal{O}}(K \sqrt{d} \operatorname{polylog}(1/\varepsilon))$ guarantees for accuracy $\varepsilon$ in dimension $d$, where randomized midpoint SLC schemes yield $\tilde{\mathcal{O}}(K d^{1/3} \operatorname{poly}(1/\varepsilon))$ guarantees. When the original distribution itself is SLC, we prove that $K \leq 1 + \log_2(κ)$, thereby obtaining the first efficient procedure with logarithmic dependence on condition number $κ$; for general distributions, the quantity $K$ depends on the geometry of score Hessian across the trajectory. Our analysis is direct and simple, involving techniques and insights complementary to those in standard analyses of discretized diffusions.

Solving high-dimensional Fokker-Planck (FP) equations remains a challenging problem in computational physics and stochastic dynamics, due to the curse of dimensionality, unbounded domains, and complex probability landscapes. In this work, we propose an adaptive probability flow residual minimization (A-PFRM) method for this problem. The second-order FP equation is reformulated as an equivalent first-order continuity equation associated with the probability flow ordinary differential equation, based on which a loss function is constructed to train neural network approximations without Hessian computation. To further improve the computational efficiency, the Hutchinson trace estimator is applied to compute the divergence in the corresponding score function, such that the training time can be dimension-independent on GPUs. Adaptive sampling strategies are employed to generate the collocation points, and our analysis shows that the Kullback-Leibler divergence between our A-PFRM approximation and the exact solution is bounded by the residual loss weighted by the estimated density function. Numerical experiments are presented to demonstrate the performance of A-PFRM, which include Ornstein-Uhlenbeck (OU) processes problems, Brownian motions with time-varying diffusion, and Geometric OU processes featuring non-Gaussian solutions up to one hundred dimensions.

We establish $L^p$-universal approximation theorems for general path-dependent and non-anticipative functionals on suitable rough path spaces, showing that linear functionals acting on signatures of time-extended rough paths are dense with respect to the $L^p$-distance. To that end, we derive global universal approximation theorems for weighted rough path spaces. We demonstrate that these $L^p$-universal approximation theorems apply to Gaussian processes, in particular, to fractional Brownian motion. As a consequence, linear functionals on the signature of the time-extended Brownian motion can approximate any $p$-integrable stochastic process adapted to the Brownian filtration, including solutions to stochastic differential equations.

We study reinforcement learning for controlled diffusion processes with unbounded continuous state spaces, bounded continuous actions, and polynomially growing rewards: settings that arise naturally in finance, economics, and operations research. To overcome the challenges of continuous and high-dimensional domains, we introduce a model-based algorithm that adaptively partitions the joint state-action space. The algorithm maintains estimators of drift, volatility, and rewards within each partition, refining the discretization whenever estimation bias exceeds statistical confidence. This adaptive scheme balances exploration and approximation, enabling efficient learning in unbounded domains. Our analysis establishes regret bounds that depend on the problem horizon, state dimension, reward growth order, and a newly defined notion of zooming dimension tailored to unbounded diffusion processes. The bounds recover existing results for bounded settings as a special case, while extending theoretical guarantees to a broader class of diffusion-type problems. Finally, we validate the effectiveness of our approach through numerical experiments, including applications to high-dimensional problems such as multi-asset mean-variance portfolio selection.

We develop interacting particle algorithms for learning latent variable models with energy-based priors. To do so, we leverage recent developments in particle-based methods for solving maximum marginal likelihood estimation (MMLE) problems. Specifically, we provide a continuous-time framework for learning latent energy-based models, by defining stochastic differential equations (SDEs) that provably solve the MMLE problem. We obtain a practical algorithm as a discretisation of these SDEs and provide theoretical guarantees for the convergence of the proposed algorithm. Finally, we empirically validate the effectiveness of our method on synthetic and image datasets and demonstrate that using a particle based approach offers significant improvement in computational efficiency.

Deep learning has become a pivotal technology in fields such as computer vision, scientific computing, and dynamical systems, significantly advancing these disciplines. However, neural Networks persistently face challenges related to theoretical understanding, interpretability, and generalization. To address these issues, researchers are increasingly adopting a differential equations perspective to propose a unified theoretical framework and systematic design methodologies for neural networks. In this paper, we provide an extensive review of deep neural network architectures and dynamic modeling methods inspired by differential equations. We specifically examine deep neural network models and deterministic dynamical network constructs based on ordinary differential equations (ODEs), as well as regularization techniques and stochastic dynamical network models informed by stochastic differential equations (SDEs). We present numerical comparisons of these models to illustrate their characteristics and performance. Finally, we explore promising research directions in integrating differential equations with deep learning to offer new insights for developing intelligent computational methods that boast enhanced interpretability and generalization capabilities.

Ecological Momentary Assessment (EMA) studies enable the collection of high-frequency self-reports of suicidal thoughts and behaviors (STBs) via smartphones. Latent stochastic differential equations (SDEs) are a promising model class for EMA data, as it is irregularly sampled, noisy, and partially observed. But SDE-based models suffer from two key limitations. (a) These models often violate domain constraints, undermining scientific validity and clinical trust of the model. (b) Training is numerically unstable without ad hoc fixes (e.g. oversimplified dynamics) that are ill-suited for high-stakes applications. Here, we develop a novel class of expressive SDEs whose solutions are provably confined to a prescribed compact polyhedral state space, matching the domains of EMA data. In this work, (1) we show why chain-rule based constructions of SDEs on compact domains fail, theoretically and empirically; (2) we derive constraints on drift and diffusion for general and stationary SDEs so their solutions remain in the desired state space; and (3), we introduce a parameterization that maps arbitrary (neural or expert-given) dynamics into constraint-satisfying SDEs. On several real EMA datasets, including a large suicide-risk study, our parameterization improves forecasts and optimization dynamics over standard latent neural SDE baselines. These contributions pave the way for principled, trustworthy continuous-time models of suicide risk and other clinical time series and extend applications of SDE-based methods (e.g. diffusion models) to domains with hard state constraints.

Sampling in score-based diffusion models can be performed by solving either a reverse-time stochastic differential equation (SDE) parameterized by an arbitrary stochasticity function or a probability flow ODE, corresponding to setting this stochasticity function to zero. In this work, we investigate the effect of this stochasticity on the generation process through the evolution of Kullback-Leibler (KL) divergences, obtaining general KL divergence bounds and a novel analysis of the impact of the time-profile of the score error on model performance. For exact score functions, stochasticity has a contractive effect, decreasing KL divergence along the sampling trajectory. For approximate scores, however, a trade-off arises between correcting accumulated errors and amplifying current score errors, meaning stochasticity can either improve or degrade generation performance. Theoretical considerations indicate that the gain from stochasticity depends on the time-localization of the trained model error. We test this in experiments on both toy and benchmark data sets, also comparing the KL divergence evolution with the obtained bounds. We also present a fully analytical example, where all the relevant quantities can be computed, and the optimal stochasticity function can be characterized via an optimal control analysis.

Motivated by dynamic risk measures and conditional $g$-expectations, in this work we propose a numerical method to approximate the solution operator given by a Backward Stochastic Differential Equation (BSDE). The main ingredients for this are the Wiener chaos decomposition and the classical Euler scheme for BSDEs. We show convergence of this scheme under very mild assumptions, and provide a rate of convergence in more restrictive cases. We then implement it using neural networks, and we present several numerical examples where we can check the accuracy of the method.

Neural operator (NO) architectures learn nonlinear maps between infinite-dimensional function spaces and are widely used to accelerate simulation and enable data-driven model discovery. While universality results ensure expressivity, they do not address \emph{complexity}: for broad operator classes described only through regularity (e.g.\ uniform continuity or $C^r$-regularity), information-theoretic lower bounds imply that minimax-optimal NO approximation rates scale \emph{exponentially} in the reciprocal accuracy $1/\varepsilon$. This has shifted the focus of NO theory toward identifying additional problem-specific structure, beyond regularity, under which suitably tailored NO architectures can leverage to unlock polynomial scaling in $1/\varepsilon$. We exhibit the first polynomial-scaling regime for NO approximations of solution operators in stochastic analysis; by identifying structured families of \emph{non-Markovian} BSDEs with randomized terminal condition parameterized by the Sobolev-regular terminal condition and by Sobolev-regular additive nonlinear perturbations of the generator. We prove that their solution operator can be approximated (uniformly over the family) by a tailored NO whose number of trainable parameters grows \emph{polynomially} in $1/\varepsilon$. We unlock this polynomial scaling regime by \emph{informing the NO's inductive bias} by factoring out the singular part of the associated semilinear elliptic PDE Green's function and by incorporating the Doléans--Dade exponential of the BSDE's common non-Markovian factor into the NO's decoding layers. As a byproduct, we extend polynomial-scaling guarantees from families of linear elliptic PDEs on regular domains to the semilinear setting.

Brownian motion is a compact mathematical language for continuous-time uncertainty in biostatistics. This tutorial develops the process from construction and path properties to tools that recur in applied biomedical work: the Markov and strong Markov properties, the Karhunen-Loeve expansion, functional principal component analysis (Functional PCA), reflection principles, local time, stochastic differential equations (SDEs), Brownian bridges, and empirical-process limits. The applications emphasize longitudinal biomarkers, degradation modelling, first-passage endpoints, dynamic frailty, group-sequential monitoring, calibration diagnostics, recurrent-event processes, electronic health records, and wearable streams. A short cross-domain section uses literary and historical archives to make Brownian-bridge thinking concrete without shifting the paper away from biostatistics, and includes a reproducible chapter-level experiment on Frankenstein. The Black-Merton-Scholes model is included as a solved SDE template, not as a finance application in its own right. The aim is to connect rigorous probability with modelling decisions faced by biostatisticians when biological processes evolve between noisy observation times.

Irregular sampling intervals and missing values in real-world time series data present challenges for conventional methods that assume consistent intervals and complete data. Neural Ordinary Differential Equations (Neural ODEs) offer an alternative approach, utilizing neural networks combined with ODE solvers to learn continuous latent representations through parameterized vector fields. Neural Stochastic Differential Equations (Neural SDEs) extend Neural ODEs by incorporating a diffusion term, although this addition is not trivial, particularly when addressing irregular intervals and missing values. Consequently, careful design of drift and diffusion functions is crucial for maintaining stability and enhancing performance, while incautious choices can result in adverse properties such as the absence of strong solutions, stochastic destabilization, or unstable Euler discretizations, significantly affecting Neural SDEs' performance. In this study, we propose three stable classes of Neural SDEs: Langevin-type SDE, Linear Noise SDE, and Geometric SDE. Then, we rigorously demonstrate their robustness in maintaining excellent performance under distribution shift, while effectively preventing overfitting. To assess the effectiveness of our approach, we conduct extensive experiments on four benchmark datasets for interpolation, forecasting, and classification tasks, and analyze the robustness of our methods with 30 public datasets under different missing rates. Our results demonstrate the efficacy of the proposed method in handling real-world irregular time series data.

One of the fundamental challenges in the deep learning community is to theoretically understand how well a deep neural network generalizes to unseen data. However, current approaches often yield generalization bounds that are either too loose to be informative of the true generalization error or only valid to the compressed nets. In this study, we present a simple yet non-vacuous generalization bound from the optimization perspective. We achieve this goal by leveraging that the hypothesis set accessed by stochastic gradient algorithms is essentially fractal-like and thus can derive a tighter bound over the algorithm-dependent Rademacher complexity. The main argument rests on modeling the discrete-time recursion process via a continuous-time stochastic differential equation driven by fractional Brownian motion. Numerical studies demonstrate that our approach is able to yield plausible generalization guarantees for modern neural networks such as ResNet and Vision Transformer, even when they are trained on a large-scale dataset (e.g. ImageNet-1K).

In this article, we introduce a deep learning based approximation algorithm for SPDEs. Our approach employs neural networks to approximate the solutions of SPDEs along given realizations of the driving noise process. If applied to a set of simulated noise trajectories, it yields empirical distributions of SPDE solutions, from which functionals like the mean and variance can be estimated. We test the performance of the method on stochastic heat equations with additive and multiplicative noise as well as stochastic Black-Scholes equations with multiplicative noise and Zakai equations from nonlinear filtering theory. In all cases, the proposed algorithm yields accurate results with short runtimes in up to 100 space dimensions.

Diffusion probabilistic models generate samples by learning to reverse a noise-injection process that transforms data into noise. A key development is the reformulation of the reverse sampling process as a deterministic probability flow ordinary differential equation (ODE), which allows for efficient sampling using high-order numerical solvers. Unlike traditional time integrator analysis, the accuracy of this sampling procedure depends not only on numerical integration errors but also on the approximation quality and regularity of the learned score function, as well as their interaction. In this work, we present a rigorous convergence analysis of deterministic samplers derived from probability flow ODEs for general forward processes with arbitrary variance schedules. Specifically, we develop and analyze $p$-th order (exponential) Runge-Kutta schemes, under the practical assumption that the first and second derivatives of the learned score function are bounded. We prove that the total variation distance between the generated and target distributions can be bounded as \begin{align*} O\bigl(d^{\frac{7}{4}}\varepsilon_{\text{score}}^{\frac{1}{2}} +d(dH_{\max})^p\bigr), \end{align*} where $\varepsilon^2_{\text{score}}$ denotes the $L^2$ error in the score function approximation, $d$ is the data dimension, and $H_{\max}$ represents the maximum solver step size. Numerical experiments on benchmark datasets further confirm that the derivatives of the learned score function are bounded in practice.