Stochastic modelling in fluid dynamics: It\^o vs stratonovich
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Published version
Author(s)
Holm, Darryl
Type
Journal Article
Abstract
Suppose the observations of Lagrangian trajectories for fluid flow in some physical situation can be modelled sufficiently accurately by a spatially correlated Itô stochastic process (with zero mean) obtained from data which is taken in fixed Eulerian space. Suppose we also want to apply Hamilton’s principle to derive the stochastic fluid equations for this situation. Now, the variational calculus for applying Hamilton’s principle requires the Stratonovich process, so we must transform from Itô noise in the data frame to the equivalent Stratonovich noise. However, the transformation from the Itô process in the data frame to the corresponding Stratonovich process shifts the drift velocity of the transformed Lagrangian fluid trajectory out of the data frame into a non-inertial frame obtained from the Itô correction. The issue is, ‘Will non-inertial forces arising from this transformation of reference frames make a difference in the interpretation of the solution behaviour of the resulting stochastic equations?’ This issue will be resolved by elementary considerations.
Date Issued
2020-05-27
Date Acceptance
2020-04-09
Citation
Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences, 2020, 476 (2237), pp.1-12
ISSN
1364-5021
Publisher
Royal Society, The
Start Page
1
End Page
12
Journal / Book Title
Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences
Volume
476
Issue
2237
Copyright Statement
© 2020 The Authors. Published by the Royal Society under the terms of the
Creative Commons Attribution License http://creativecommons.org/licenses/
by/4.0/, which permits unrestricted use, provided the original author and
source are credited.
Creative Commons Attribution License http://creativecommons.org/licenses/
by/4.0/, which permits unrestricted use, provided the original author and
source are credited.
Sponsor
Commission of the European Communities
Identifier
https://royalsocietypublishing.org/doi/10.1098/rspa.2019.0812
Grant Number
856408
Subjects
01 Mathematical Sciences
02 Physical Sciences
09 Engineering
Publication Status
Published
Date Publish Online
2020-05-27