3 papers
math.ST2026
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…
math.ST2025
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…
math.PR2025
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…