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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

Type
Communication / Conférence
External document link
http://hal.archives-ouvertes.fr/hal-00286131/en/
Date
2010
Conference title
Second International Conference on Turbulence and Interaction - TI2009
Conference date
2009-06
Conference city
Sainte-Luce (Martinique)
Conference country
France
Book title
Turbulence and Interactions Proceedings the TI 2009 Conference
Book author
Sagaut, Pierre; Thien-Hiep, Lê; Deville, Michel
Publisher
Springer
Published in
Berlin
ISBN
978-3-642-14138-6
Number of pages
375
Metadata
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Author(s)
Tossa, Adaté
K. Iyer, Srikanth
Emilion, Richard
Bernard, Didier cc
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 / Keywords
dissipation; Dirichlet process; Cascade model; Mangrove; Markov regime switching; random environment; Stochastic Differential equation