WIAS Preprint No. 609, (2000)

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.

Download Documents