Random vortex dynamics via functional stochastic differential equations

• Published in: Proceedings of the Royal Society. A, Mathematical, physical, and engineering sciences Mathematical, physical, and engineering sciences, 2022-10, Vol.478 (2266)
• Main Authors: Qian, Zhongmin, Süli, Endre, Zhang, Yihuang
• Format: Article
• Language: English
• ISSN: 1364-5021; 1471-2946
• DOI: 10.1098/rspa.2022.0030

In this paper, we present a novel, closed, three-dimensional random vortex dynamics system, which is equivalent to the Navier–Stokes equations for incompressible viscous fluid flows. The new random vortex dynamics system consists of a stochastic differential equation which is, in contrast with the two-dimensional random vortex dynamics equations, coupled to a finite-dimensional ordinary functional differential equation. This new random vortex system paves the way for devising new numerical schemes (random vortex methods) for solving three-dimensional incompressible fluid flow equations by Monte Carlo simulations. In order to derive the three-dimensional random vortex dynamics equations, we have developed two powerful tools: the first is the duality of the conditional distributions of a couple of Taylor diffusions, which provides a path space version of integration by parts; the second is a forward type Feynman–Kac formula representing solutions to nonlinear parabolic equations in terms of functional integration. These technical tools and the underlying ideas are likely to be useful in treating other nonlinear problems.