Forward and backward Lagrangian stochastic models of turbulent transport
- Sabelfeld, Karl
- Shalimova, Irina
2010 Mathematics Subject Classification
- 65C05 76N20
- Turbulent flows, Lagrangian trajectories, forward and backward algorithms, well-mixed condition
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.