Gaussian Whittle-Matérn fields on metric graphs

DOI10.3150/23-BEJ1647arXiv2205.06163OpenAlexW4391458261MaRDI QIDQ6201867FDOQ6201867

Authors: David Bolin, Alexandre B. Simas, Jonas Wallin 

Publication date: 26 March 2024

Published in: Bernoulli (Search for Journal in Brave)

Abstract: We define a new class of Gaussian processes on compact metric graphs such as street or river networks. The proposed models, the Whittle--Mat'ern fields, are defined via a fractional stochastic differential equation on the compact metric graph and are a natural extension of Gaussian fields with Mat'ern covariance functions on Euclidean domains to the non-Euclidean metric graph setting. Existence of the processes, as well as some of their main properties, such as sample path regularity are derived. The model class in particular contains differentiable processes. To the best of our knowledge, this is the first construction of a differentiable Gaussian process on general compact metric graphs. Further, we prove an intrinsic property of these processes: that they do not change upon addition or removal of vertices with degree two. Finally, we obtain Karhunen--Lo`eve expansions of the processes, provide numerical experiments, and compare them to Gaussian processes with isotropic covariance functions.

Full work available at URL: https://arxiv.org/abs/2205.06163

zbMATH Keywords

Gaussian processesstochastic partial differential equationsnetworksquantum graphs

Mathematics Subject Classification ID

Gaussian processes (60G15) Random fields (60G60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Boundary value problems for second-order elliptic equations (35J25) PDEs with randomness, stochastic partial differential equations (35R60) Sample path properties (60G17)

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Cited In (1)

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