Diffusion models and Stochastic differential equations

Understanding diffusion models: what makes them so good?

July 12, 2024 diffusion models probabilistic models in deep learning Stochastic differential equation 72 words 1 min

Table of Contents

This is a simple SDE simulator. It simulates the following SDE:

$$dX_t = M dt + \Sigma dW_t $$ Where $M$ is the drift and $\Sigma$ is the diffusion coefficient. $W_t$ is a standard Brownian motion.

To Play around:

Fix drift $M$ and diffusion coefficient $\Sigma$.
Add muitiple runs see how the trajectories evolve.
In the large N limit( when you have a lot of runs) do you observe a distribution emerging?