MR Sampler derives semi-analytical solutions to the reverse-time SDE and PF-ODE of Mean Reverting Diffusion, enabling 5-10 step high-quality sampling instead of hundreds.
e´ şt 0 fpτqdτ . Proof. For ODEs which have a semi-linear structure as follows: dx dt “ Pptqx` Qpx, tq, (34) the method of
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MaRS: A Fast Sampler for Mean Reverting Diffusion based on ODE and SDE Solvers
MR Sampler derives semi-analytical solutions to the reverse-time SDE and PF-ODE of Mean Reverting Diffusion, enabling 5-10 step high-quality sampling instead of hundreds.