A Julia package for efficient sampling of conditioned diffusions.
GuidedProposals.jl uses the guided proposals algorithm introduced by M. Schauer, F. van der Meulen, H. van Zanten [arXiv], using a computational framework described here. It provides efficient and easy to use routines for sampling conditioned diffusions.
It is a part of a larger suite of packages JuliaDiffusionBayes—a collection of efficient and intuitive tools for performing Bayesian inference for diffusion processes.