inria-00345524, version 3
On conditional McKean Lagrangian stochastic models
N° RR-6761 (2008)
Résumé : 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)
- Domaine : Mathématiques/Analyse numérique
- Mots-clés : Lagrangian stochastic model – propagation of chaos – conditional Mckean nonlinearity
- Référence interne : RR-6761
- Versions disponibles : v1 (09-12-2008) v2 (15-12-2008) v3 (02-03-2009) v4 (10-07-2009)
- inria-00345524, version 3
- http://hal.inria.fr/inria-00345524
- oai:hal.inria.fr:inria-00345524
- Contributeur :
- Soumis le : Dimanche 1 Mars 2009, 23:36:22
- Dernière modification le : Lundi 2 Mars 2009, 08:20:39
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