A series of recent articles introduced a method to construct stochastic partial differential equations (SPDEs) which are invariant with respect to the distribution of a given conditioned diffusion. These works are restricted to the case of elliptic diffusions where the drift has a gradient structure and the resulting SPDE is of second-order parabolic type.
The present article extends this methodology to allow the construction of SPDEs which are invariant with respect to the distribution of a class of hypoelliptic diffusion processes, subject to a bridge conditioning, leading to SPDEs which are of fourth-order parabolic type. This allows the treatment of more realistic physical models, for example, one can use the resulting SPDE to study transitions between meta-stable states in mechanical systems with friction and noise. In this situation the restriction of the drift being a gradient can also be lifted.
Martin Hairer. Andrew M. Stuart. Jochen Voss. "Sampling conditioned hypoelliptic diffusions." Ann. Appl. Probab. 21 (2) 669 - 698, April 2011. https://doi.org/10.1214/10-AAP708