How to sample diffusion bridges?

A diffusion bridge is a diffusion conditioned on its end-point. A diffusion bridge is a special type of a conditioned diffusion where the conditioning is on its end point.

The most convenient, efficient and robust method of sampling conditioned diffusions (including diffusion bridges) is to use the package GuidedProposals.jl that has been designed to address precisely this problem.

Alternatively, you may follow the tutorial on sampling diffusion bridges using rejection and importance sampling with Wiener proposals. In vast majority of cases however, this last method will not be suitable for production models.