Project Details
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