I'm a controls guy, not a quant guy but I've found the SDE perspective and this blog post to be incredible in helping me understand how a diffusion model works.
so in the end diffusion can’t explain that much about how diffusion models work. disappointingly, so many modern ML things are like this.
I personally find the SDEs the most intuitive, and the deterministic ODE / consistency models / rectified flow stuff as ideas that are easier to understand after the SDEs. But not everyone agrees!
I just find it a frustrating fact about modern machine learning that in fact, the nice SDE interpretation is somehow not the “truth”, it’s just a tool for understanding.