Posterior Consistency under dependent errors in non-linear inverse problems with applications to time evolution equations

Abstract

Let $\theta \to \mathcal{G}(\theta )$ be a map from a parameter to the solution of some non-linear partial differential equation modelling a dynamical system. We provide conditions to show posterior consistency for $\theta$ under observations of $\mathcal{G}(\theta )$ with dependent noise, modelling potential time-correlations of the sensors used to make the measurements. We provide two examples, namely the Navier-Stokes equations with unknown viscosity and initial condition, as well as a Reaction-Diffusion type equation with diffusivity coefficient that is varying (heterogeneous) in space, which requires novel stability estimates for a Darcy transport operator with accumulation in time.