A Model for Dissipation: Cascade SDE with Markov Regime-Switching and Dirichlet Prior

  • D. Bernard
  • A. Tossa
  • R. Emilion
  • S. K. Iyer
Conference paper
Part of the Notes on Numerical Fluid Mechanics and Multidisciplinary Design book series (NNFM, volume 110)


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.


Cascade model Dirichlet process dissipation Mangrove Markov regime switching random environment Stochastic Differential equation 


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© Springer-Verlag Berlin Heidelberg 2010

Authors and Affiliations

  • D. Bernard
    • 1
  • A. Tossa
    • 2
  • R. Emilion
    • 3
  • S. K. Iyer
    • 4
  1. 1.LPATUniversité Antilles-GuyanePointe-à-Pitre
  2. 2.CEREMADEUniversité Paris DauphineParisFrance
  3. 3.MAPMOUniversité d’OrléansOrléans Cedex 2France
  4. 4.Department of MathematicsIndian Institute of ScienceBangaloreIndia

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