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Bayesian inference and mean field approximation for nonlinear (S)PDE (B08)

Subject Area Mathematics
Term since 2024
Project identifier Deutsche Forschungsgemeinschaft (DFG) - Project number 516748464
 
This project revisits Bayesian methods for complex problems like SDE/PDE parameter identification, focusing on stochastic and rough path systems. It aims to provide error guarantees for discretely observed multidimensional SDEs and McKean-Vlasov SDEs, define applicability using critical parameter dimension, develop Bayesian optimization-based solutions, and explore likelihood-based MCMC methods and error-in-operator problems in stochastic diffusions.
DFG Programme CRC/Transregios
Applicant Institution Technische Universität Berlin
 
 

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