On conditional McKean Lagrangian stochastic models - Inria - Institut national de recherche en sciences et technologies du numérique Access content directly
Journal Articles Probability Theory and Related Fields Year : 2011

On conditional McKean Lagrangian stochastic models

Mireille Bossy
Connectez-vous pour contacter l'auteur
Jean-Francois Jabir
  • Function : Author
  • PersonId : 856483
Denis Talay
  • Function : Author
  • PersonId : 833429


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 w.r.t. 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.
Fichier principal
Vignette du fichier
RR-lagrangian.pdf (383.89 Ko) Télécharger le fichier
Origin : Files produced by the author(s)

Dates and versions

inria-00345524 , version 1 (09-12-2008)
inria-00345524 , version 2 (15-12-2008)
inria-00345524 , version 3 (01-03-2009)
inria-00345524 , version 4 (10-07-2009)



Mireille Bossy, Jean-Francois Jabir, Denis Talay. On conditional McKean Lagrangian stochastic models. Probability Theory and Related Fields, 2011, 151, 1-2, pp.319-351. ⟨10.1007/s00440-010-0301-z⟩. ⟨inria-00345524v4⟩
224 View
442 Download



Gmail Facebook Twitter LinkedIn More