Skip to Main content Skip to Navigation
Journal articles

On conditional McKean Lagrangian stochastic models

Mireille Bossy 1, * Jean-Francois Jabir 1 Denis Talay 1 
* Corresponding author
INRIA Lorraine, CRISAM - Inria Sophia Antipolis - Méditerranée , UHP - Université Henri Poincaré - Nancy 1, Université Nancy 2, INPL - Institut National Polytechnique de Lorraine, CNRS - Centre National de la Recherche Scientifique : UMR7502
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 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.
Document type :
Journal articles
Complete list of metadata

Cited literature [21 references]  Display  Hide  Download
Contributor : Mireille Bossy Connect in order to contact the contributor
Submitted on : Friday, July 10, 2009 - 11:56:06 AM
Last modification on : Friday, February 4, 2022 - 3:08:01 AM
Long-term archiving on: : Saturday, November 26, 2016 - 10:40:36 AM


Files produced by the author(s)




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



Record views


Files downloads