Calculating Covariance Kernels of Stochastic Differential and Difference Equations with Applications in Bayesian Statistical Inversion

被引：0
|
作者：
Roininen, Lassi [1 ]
Lehtinen, Markku [1 ]
Piiroinen, Petteri [2 ]
机构：
[1] Univ Oulu, Sodankyla Geophys Observ, Tahtelantie 62, FI-99600 Sodankyla, Finland
[2] Univ Helsinki, Dept Math & Statist, FI-00014 Helsinki, Finland
来源：
NUMERICAL ANALYSIS AND APPLIED MATHEMATICS, VOLS I-III | 2010年 / 1281卷
基金：
芬兰科学院;
关键词：
Bayesian statistical inversion; stochastic partial differential equations; discretization-invariance;
D O I：
10.1063/1.3498244
中图分类号：
T [工业技术];
学科分类号：
08 ;
摘要：
We consider modelling of stationary continuous-time stochastic differential equations with applications in discrete-time Bayesian statistical inversion. We formulate the processes in such a way that the processes are discretisation-invariant and fast to compute.
引用
收藏
页码：1816 / +
页数：2
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