inria-00345524, version 3
On conditional McKean Lagrangian stochastic models
N° RR-6761 (2008)
Abstract: This work is devoted to the well-posedness of a particle 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, we have to deal with a singular interaction kernel between particles. This study 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. After a short presentation of these systems, we prove existence and uniqueness results for a simplified model, and a propagation of chaos result for the corresponding interacting particle system.
- a – INRIA
- 1:
- INRIA – CNRS : UMR7502 – Université Henri Poincaré - Nancy I – Université Nancy II – Institut National Polytechnique de Lorraine (INPL)
- Domain : Mathematics/Numerical Analysis
- Keywords : Lagrangian stochastic model – propagation of chaos – conditional Mckean nonlinearity
- Internal note : RR-6761
- Available versions : v1 (2008-12-09) v2 (2008-12-15) v3 (2009-03-02) v4 (2009-07-10)
- inria-00345524, version 3
- http://hal.inria.fr/inria-00345524
- oai:hal.inria.fr:inria-00345524
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- Submitted on: Sunday, 1 March 2009 23:36:22
- Updated on: Monday, 2 March 2009 08:20:39
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