2011-10-01, English, Article, Report edition: On conditional McKean Lagrangian stochastic models.(Report) Bossy, Mireille; Jabir, Jean-Francois; Talay, Denis

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Physical Description
  • Report
  • Magazine/​Journal article
Published
  • Springer, 2011 Oct
Language
  • English

Edition details

Title
  • On conditional McKean Lagrangian stochastic models.(Report)
Also Titled
  • On conditional McKean Lagrangian stochastic models.
Appears In
  • Probability Theory and Related Fields, v.151, no.1-2, 2011 Oct, p.319(33) (ISSN: 0178-8051)
Author
  • Bossy, Mireille
  • Jabir, Jean-Francois
  • Talay, Denis
Published
  • Springer, 2011 Oct
Physical Description
  • Report
  • Magazine/​Journal article
Subjects
Target Audience
  • Academic
Summary
  • Byline: Mireille Bossy (1), Jean-Francois Jabir (2), Denis Talay (1) Keywords: Lagrangian stochastic model; Conditional McKean nonlinearity; 60H10; 60K35; 65C35 Abstract: This paper is motivated by a new class of SDEs--PDEs systems, the so called Lagrangian stochastic models which are commonly used in the simulation of turbulent flows. We study a position--velocity system which is nonlinear in the sense of McKean. As the dynamics of the velocity depends on the conditional expectation with respect to its position, the interaction kernel is singular. We prove existence and uniqueness of the solution to the system by solving a nonlinear martingale problem and showing that the corresponding interacting particle system propagates chaos. Author Affiliation: (1) INRIA Sophia Antipolis, EPI TOSCA, 2004 route des Lucioles, 06902, Sophia Antipolis Cedex, France (2) Center for Mathematical Modeling, Universidad de Chile, Blanco Encalada 2120, Santiago, Chile Article History: Registration Date: 30/​04/​2010 Received Date: 03/​07/​2009 Online Date: 26/​05/​2010
Terms of Use
  • COPYRIGHT 2011 Springer
Language
  • English
Database
  • Gale Academic OneFile
Identifier
  • 267037831

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