WIAS Preprint No. 609, (2000)

Forward and backward Lagrangian stochastic models of turbulent transport



Authors

  • Sabelfeld, Karl
  • Shalimova, Irina

2010 Mathematics Subject Classification

  • 65C05 76N20

Keywords

  • Turbulent flows, Lagrangian trajectories, forward and backward algorithms, well-mixed condition

Abstract

The key question analysed in the paper is: under what condition are the Lagrangian stochastic models stochastically reversible? We show that this property is deeply related to Thomson's well-mixed condition. Direct and backward in time Monte Carlo algorithms are suggested. A consistency principle in the turbulent transport problems and in the financial mathematics is analysed to find out an analogy in constructing Lagrangian stochastic models in these two different fields.

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