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

页码：1816 / +

页数：2

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