Stochastic Processes Under Linear Differential Constraints : Application to Gaussian Process Regression for the 3 Dimensional Free Space Wave Equation

Iain Henderson, Pascal Noble, Olivier Roustant

Let $P$ be a linear differential operator over $\mathcal{D}\subset {\mathbb{R}}^d$ and $U=(U_x{)}_{x\in \mathcal{D}}$ a second order stochastic process. In the first part of this a…