The 3DVAR filter for the Navier-Stokes equation: Accuracy and stability in the limit of high-frequency observations

D. Blömker, K. J. H. Law, A. M. Stuart, K. C. Zygalakis

Research output: Contribution to conferenceOther

Abstract

We study the problem of accuracy and stability of filters for the Navier-Stokes equation in continuous time. In particular, we formally derive continuous filters from discrete filters in the frequent observations limit and focus on the 3DVAR case in which the covariance is assumed to be constant. The diffusion limit of continuous observations gives rise to a Stochastic Partial Differential Equation (SPDE) describing the time evolution of the estimated posterior filtering mean. Accuracy of this filter is established in the mean square sense.
Original languageEnglish
Pages916-919
DOIs
Publication statusPublished - 26 Sep 2012
EventICNAAM 2012: International Conference of Numerical Analysis and Applied Mathematics - Kos, Greece
Duration: 19 Sep 201225 Sep 2012

Conference

ConferenceICNAAM 2012: International Conference of Numerical Analysis and Applied Mathematics
CountryGreece
CityKos
Period19/09/1225/09/12

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