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
• Subproject of: TRR 388: Rough Analysis, Stochastic Dynamics and Related Fields
• Applicant Institution: Technische Universität Berlin
• Project Heads: Professorin Dr. Claudia Schillings; Professor Dr. Vladimir Spokoiny; Professor Dr. Sven Wang