Bayesian inverse problems for Burgers and Hamilton-Jacobi equations with white-noise forcing

Details Bayesian inverse problems for Burgers and Hamilton-Jacobi equations with white-noise forcing Bayesian inverse problems for Burgers and Hamilton-Jacobi equations with white-noise forcing

2011-04-14

arxiv.org/abs/1104.2729v2

Mathematics

Probability

Scientific paper

The paper formulates Bayesian inverse problems for inference in a topological measure space given noisy observations. Conditions for the validity of the Bayes formula and the well-posedness of the posterior measure are studied. The abstract theory is then applied to Burgers and Hamilton-Jacobi equations on a semi-infinite time interval with forcing functions which are white noise in time. Inference is made on the white noise forcing, assuming the Wiener measure as the prior.

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