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Simulation of Conditioned Diffusions on the Flat Torus

By Mathias Højgaard Jensen, Anton Mallasto and Stefan Sommer
CSGB Research Reports
No. 04, June 2019
Abstract:

Diffusion processes are fundamental in modelling stochastic dynamics in natural sciences. Recently, simulating such processes on complicated geometries has found applications for example in biology, where toroidal data arises naturally when studying the backbone of protein sequences, creating a demand for efficient sampling methods. In this paper, we propose a method for simulating diffusions on the flat torus, conditioned on hitting a terminal point after a fixed time, by considering a diffusion process in $\mathbb{R}^2$ which we project onto the torus. We contribute a convergence result for this diffusion process, translating into convergence of the projected process to the terminal point on the torus. We also show that under a suitable change of measure, the Euclidean diffusion is locally a Brownian motion.

Keywords: Simulation, Conditioned diffusion, Manifold diffusion, Flat Torus

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