kolmogorov-equations

Diffusion Models – 1: The Surprisingly Tricky Kolmogorov Equations

This is the first of a series of notes to understand the mathematics of diffusion models from the perspective of an electrical engineer with a background in the mathematical theory of signals and systems based on frequency domain analysis and the Fourier Transform. Consider a stochastic process and let , be the conditional probability thatContinue reading “Diffusion Models – 1: The Surprisingly Tricky Kolmogorov Equations”