A model for dissipation: cascade SDE with Markov regime-switching and Dirichlet prior
Tossa, Adaté; K. Iyer, Srikanth; Emilion, Richard; Bernard, Didier (2010), A model for dissipation: cascade SDE with Markov regime-switching and Dirichlet prior, in Sagaut, Pierre; Thien-Hiep, Lê; Deville, Michel, Turbulence and Interactions Proceedings the TI 2009 Conference, Springer : Berlin
TypeCommunication / Conférence
External document linkhttp://hal.archives-ouvertes.fr/hal-00286131/en/
Conference titleSecond International Conference on Turbulence and Interaction - TI2009
Conference citySainte-Luce (Martinique)
Book titleTurbulence and Interactions Proceedings the TI 2009 Conference
Book authorSagaut, Pierre; Thien-Hiep, Lê; Deville, Michel
Number of pages375
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Abstract (EN)Cascade Stochastic Differential Equation (SDE), a continuous time model for energy dissipation in turbulence, is a generalization of the Yaglom discrete cascade model. We extend this SDE to a model in random environment by assuming that its two parameters are switched by a continuous time Markov chain whose states represent the states of the environment. Moreover, a Dirichlet process is placed as a prior on the space of sample paths of this chain. We propose a Bayesian estimation method of this model which is tested both on simulated data and on real data of wind speed measured at the entrance of the mangrove ecosystem in Guadeloupe.
Subjects / Keywordsdissipation; Dirichlet process; Cascade model; Mangrove; Markov regime switching; random environment; Stochastic Differential equation
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