Bayesian inference and mean field approximation for nonlinear (S)PDE (B08)

This project revisits Bayesian methods for complex problems like SDE/PDE parameter identification, focusing on stochastic and rough path systems. It aims to provide error guarantees for discretely observed multidimensional SDEs and McKean-Vlasov SDEs, define applicability using critical parameter dimension, develop Bayesian optimization-based solutions, and explore likelihood-based MCMC methods and error-in-operator problems in stochastic diffusions.

DFG Programme CRC/Transregios

Subproject of TRR 388:  Rough Analysis, Stochastic Dynamics and Related Fields

Applicant Institution Technische Universität Berlin

Project Heads Professorin Dr. Claudia Schillings; Professor Dr. Vladimir Spokoiny; Professor Dr. Sven Wang