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Abstract We study Bayesian data assimilation (filtering) for time-evolution Partial differential equations (PDEs), for which the underlying forward problem may be very unstable or ill-posed. Such PDEs, which include the Navier–Stokes equations of fluid dynamics, are characterized by a high sensitivity of solutions to perturbations of the initial data, a lack of rigorous global well-posedness results as well as possible non-convergence of numerical approximations. Under very mild and readily verifiable general hypotheses on the forward solution operator of such PDEs, we prove that the posterior measure expressing the solution of the Bayesian filtering problem is stable with respect to perturbations of the noisy measurements, and we provide quantitative estimates on the convergence of approximate Bayesian filtering distributions computed from numerical approximations. For the Navier–Stokes equations, our results imply uniform stability of the filtering problem even at arbitrarily small viscosity, when the underlying forward problem may become ill-posed, as well as the compactness of numerical approximants in a suitable metric on time-parametrized probability measures.
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Fully nonlinear stochastic and rough PDEs: Classical and viscosity solutions
Abstract We study fully nonlinear second-order (forward) stochastic PDEs. They can also be viewed as forward path-dependent PDEs and will be treated as rough PDEs under a unified framework. For the most general fully nonlinear case, we develop a local theory of classical solutions and then define viscosity solutions through smooth test functions. Our notion of viscosity solutions is equivalent to the alternative using semi-jets. Next, we prove basic properties such as consistency, stability, and a partial comparison principle in the general setting. If the diffusion coefficient is semilinear (i.e, linear in the gradient of the solution and nonlinear in the solution; the drift can still be fully nonlinear), we establish a complete theory, including global existence and a comparison principle.
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- Award ID(s):
- 1908665
- PAR ID:
- 10251943
- Date Published:
- Journal Name:
- Probability, Uncertainty and Quantitative Risk
- Volume:
- 5
- Issue:
- 1
- ISSN:
- 2367-0126
- Format(s):
- Medium: X
- Sponsoring Org:
- National Science Foundation
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- Free Publicly Accessible Full Text
-
Accepted Manuscript1.0
- Journal Article:
- https://doi.org/10.1186/s41546-020-00049-8
