Itô-SDE MCMC method for Bayesian characterization of errors associated with data limitations in stochastic expansion methods for uncertainty quantification

DOI10.1016/j.jcp.2017.08.005zbMath1380.62106OpenAlexW2743473122MaRDI QIDQ1695336

B. Abello Álvarez, R. Boman, M. Arnst, Jean-Philippe Ponthot

Publication date: 7 February 2018

Published in: Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jcp.2017.08.005

zbMATH Keywords

Markov chain Monte CarloBayesian inferenceItô stochastic differential equationlimited dataerror budget

Mathematics Subject Classification ID

Bayesian inference (62F15) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Uses Software

• BayesDA

Cites Work

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