Quantifying model uncertainties in the space of probability measures

MaRDI QIDQ4925765zbMATH OpenFDO

Authors Ting Gao, Jinqiao Duan, Guowei He

Publication date 12 June 2013

Full work available at URL https://arxiv.org/abs/1204.0855

zbMATH Keywords

Hellinger distancenumerical simulationparameter estimationprobability measuresstationary probability densitystochastic differential equations (SDEs)uncertainty

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonparametric estimation (62G05)

Abstract: Due to lack of scientific understanding, some mechanisms may be missing in mathematical modeling of complex phenomena in science and engineering. These mathematical models thus contain some uncertainties such as uncertain parameters. One method to estimate these parameters is based on pathwise observations, i.e., quantifying model uncertainty in the space of sample paths for system evolution. Another method is devised here to estimate uncertain parameters, or unknown system functions, based on experimental observations of probability distributions for system evolution. This is called the quantification of model uncertainties in the space of probability measures. A few examples are presented to demonstrate this method, analytically or numerically.

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