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math.PR2019
A numerical approach to Kolmogorov equation in high dimension based on Gaussian analysis
Franco Flandoli, Dejun Luo, Cristiano Ricci
For Kolmogorov equations associated to finite dimensional stochastic differential equations (SDEs) in high dimension, a numerical method alternative to Monte Carlo simulations is p…
math.PR2019
Point vortex approximation for 2D Navier--Stokes equations driven by space-time white noise
Franco Flandoli, Dejun Luo
We show that the system of point vortices, perturbed by a certain transport type noise, converges weakly to the vorticity form of 2D Navier--Stokes equations driven by the space-ti…