Modelling pathwise uncertainty of Stochastic Differential Equations samplers via Probabilistic Numerics

MaRDI QIDQ6516409arXivFDO

Authors Yvann Le Fay, Simo Särkkä, Adrien Corenflos

Published in arXiv

Has companion code repository https://github.com/hallelujahylefay/bayesiansdesolver

Mathematics Subject Classification ID

Gaussian processes (60G15) Numerical solutions to stochastic differential and integral equations (65C30)

Cited in

(1)

• Bayesian Inference of Discretization Error Means in ODEs via Ensemble Kalman Filtering

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