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math.NA2025
Easy-to-Implement One-Step Schemes for Stochastic Integration
J. Woodfield, A. Lobbe
Convenient, easy to implement stochastic integration methods are developed on the basis of abstract one-step deterministic order integration techniques. The abstraction as an a…
math.NA2024
Bayesian inference for geophysical fluid dynamics using generative models
Alexander Lobbe, Dan Crisan, Oana Lang
Data assimilation plays a crucial role in numerical modeling, enabling the integration of real-world observations into mathematical models to enhance the accuracy and predictive ca…
math.NA2021
Pathwise approximations for the solution of the non-linear filtering problem
Dan Crisan, Alexander Lobbe, Salvador Ortiz-Latorre
We consider high order approximations of the solution of the stochastic filtering problem, derive their pathwise representation in the spirit of the earlier work of Clark and Davis…