Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1706450 | Applied Mathematical Modelling | 2008 | 16 Pages |
Abstract
The problem of estimating an Eulerian velocity field given particle trajectories is formulated as an optimal filtering problem. Under the idealistic assumption that the Eulerian velocity field is delta-correlated in time (Kraichnan model) the exact solution of the non-linear filtering problem is found. In a more realistic Markov model with finite correlation time an approximate solution is suggested and examined by Monte Carlo means.
Keywords
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Computational Mechanics
Authors
Leonid I. Piterbarg,