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math.NA2026
On MAP estimates and source conditions for drift identification in SDEs
Daniel Tenbrinck, Nikolas Uesseler, Philipp Wacker +1
We consider the inverse problem of identifying the drift in an SDE from observations of its solution at distinct time points. We derive a corresponding MAP estimate, we p…
math.NA2025
Perspectives on locally weighted ensemble Kalman methods
Philipp Wacker
This manuscript derives locally weighted ensemble Kalman methods from the point of view of ensemble-based function approximation. This is done by using pointwise evaluations to bui…