1 citations · 1 across the 5 of their papers we have counts for
5 papers
Bernstein--von Mises theorems for Bayesian probabilistic numerics
Sascha Gaudlitz, Sven Wang
We study probabilistic numerical methods for solving nonlinear PDEs from a Bayesian nonparametric perspective. Given noisy evaluations at random collocation points, we place a trun…
Parameter estimation in a fully coupled partially observed Ornstein-Uhlenbeck process
Sascha Gaudlitz, Hasan Mert Gökalp
We study a two-dimensional Ornstein-Uhlenbeck system where only the first coordinate is observed, whereas the second coordinate remains hidden. Our goal is the estimation of the co…
Nonparametric Bayesian Inference for Stochastic Reaction-Diffusion Equations
Randolf Altmeyer, Sascha Gaudlitz
We consider the Bayesian nonparametric estimation of a nonlinear reaction function in a reaction-diffusion stochastic partial differential equation (SPDE). The likelihood is well-d…
Non-parametric estimation of the reaction term in semi-linear SPDEs with spatial ergodicity
Sascha Gaudlitz
This paper discusses the non-parametric estimation of a non-linear reaction term in a semi-linear parabolic stochastic partial differential equation (SPDE). The estimator's consist…
Estimation for the reaction term in semi-linear SPDEs under small diffusivity
Sascha Gaudlitz, Markus Reiß
We consider the estimation of a non-linear reaction term in the stochastic heat or more generally in a semi-linear stochastic partial differential equation (SPDE). Consistent infer…