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The PDF approach to turbulent polydispersed two-phase ﬂows
Article in Physics Reports · October 2001

DOI: 10.1016/S0370-1573(01)00011-4
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THE PDF APPROACH TO TURBULENT
POLYDISPERSED TWO-PHASE FLOWS
Jean-Pierre MINIER, Eric PEIRANO

ElectriciteH de France, Div. R&D, MFTT, 6 Quai Watier, 78400 Chatou, France
Energy Conversion Department, Chalmes University of Technology, S-41296 GoK teborg, Sweden
AMSTERDAM } LONDON } NEW YORK } OXFORD } PARIS } SHANNON } TOKYO

Physics Reports 352 (2001) 1–214
The pdf approach to turbulent polydispersed two-phase ows
Jean-Pierre Miniera ; ∗ , Eric Peiranob

a
Electricite de France, Div. R&D, MFTT, 6 Quai Watier, 78400 Chatou, France
b
Energy Conversion Department, Chalmers University of Technology, S-41296 G-oteborg, Sweden
Received December 2000; editor : I: Procaccia
Contents
1. Introduction 3 3.1. Complete and reduced pdf equations 29

1.1. Two-phase ow regimes 4 3.2. BBGKY hierarchy 30
1.2. An industrial example of dispersed 5 3.3. Hierarchy between state vectors 32
two-phase ows 4. Stochastic di8usion processes for
1.3. Mathematical and physical approach 7 modelling purposes 34
1.4. Description of the contents 11 4.1. The shift from an ODE to a SDE 35
2. Mathematical background on stochastic 4.2. Modelling principles 36
processes 12 4.3. Example for typical stochastic models 38
2.1. Random variables 13 5. The physics of turbulence 40
2.2. Stochastic processes 15 5.1. The turbulence problem 41
2.3. Markov processes 16 5.2. Characteristic scales 42
2.4. Key Markov processes 17 5.3. Kolmogorov theory 46
2.5. General Chapman–Kolmogorov 5.4. Di@culties and reAnements 51
equations 19 5.5. Experimental and numerical results 55
2.6. Stochastic di8erential equations and 5.6. SimpliAed images of turbulence and
di8usion processes 22 Lagrangian models 59
2.7. Stochastic calculus 24 5.7. Closing remarks 64
2.8. Langevin and Fokker–Planck 6. One-point pdf models in single-phase
equations 25 turbulence 65
2.9. The probabilistic interpretation of PDEs 26 6.1. Motivation and basic ideas 66
2.10. A word on numerical schemes 27 6.2. Coarse-grained description and
3. Hierarchy of pdf descriptions 28 stochastic modelling 66
∗
Corresponding author. Tel.: +33-1-30-87-71-40; fax: +33-1-30-87-79-16.
E-mail addresses: jean-pierre.minier@der.edf.fr (J.-P. Minier), erpe@entek.chalmers.se (E. Peirano).
0370-1573/01/$ - see front matter c 2001 Elsevier Science B.V. All rights reserved.
PII: S 0 3 7 0 - 1 5 7 3 ( 0 1 ) 0 0 0 1 1 - 4
2 J.-P. Minier, E. Peirano / Physics Reports 352 (2001) 1–214
6.3. Relations to classical approaches 67 8. Two-point uid–particle pdf models in

6.4. Probabilistic description of continuous dispersed two-phase ows 148
Aelds 69 8.1. Motivations and basic ideas 149
6.5. Choice of the pdf description 75 8.2. Probabilistic description of dispersed
6.6. Present one-point models 77 two-phase ows 149
6.7. Mean Aeld equations 80 8.3. Choice of the pdf description 161
6.8. Physical and information contents 84 8.4. Present ‘two-point’ models 164
6.9. Numerical examples 88 8.5. Mean Aeld equations 169
7. One-point particle pdf models in two-phase 8.6. Concluding remarks 181
ows 99 9. Summary and propositions for new
7.1. Fundamental equations and modelling developments 181
approaches 100 9.1. Di@culties with conventional
7.2. Interest of the pdf approach 105 approaches and interest of a pdf
7.3. Choice of the pdf description 106 description 181
7.4. Present models 108 9.2. Assessment of current modelling state 184
7.5. Properties of present class of models 120 9.3. Open issues and suggestions 186
7.6. Numerical examples and typical References 209
simulations 135
Abstract
The purpose of this paper is to develop a probabilistic approach to turbulent polydispersed two-phase
ows. The two-phase ows considered are composed of a continuous phase, which is a turbulent uid, and
a dispersed phase, which represents an ensemble of discrete particles (solid particles, droplets or bubbles).
Gathering the di@culties of turbulent ows and of particle motion, the challenge is to work out a general
modelling approach that meets three requirements: to treat accurately the physically relevant phenomena,
to provide enough information to address issues of complex physics (combustion, polydispersed particle
ows, : : :) and to remain tractable for general non-homogeneous ows. The present probabilistic approach
models the statistical dynamics of the system and consists in simulating the joint probability density
function (pdf) of a number of uid and discrete particle properties. A new point is that both the uid
and the particles are included in the pdf description. The derivation of the joint pdf model for the uid
and for the discrete particles is worked out in several steps. The mathematical properties of stochastic
processes are Arst recalled. The various hierarchies of pdf descriptions are detailed and the physical
principles that are used in the construction of the models are explained. The Lagrangian one-particle
probabilistic description is developed Arst for the uid alone, then for the discrete particles and Anally
for the joint uid and particle turbulent systems. In the case of the probabilistic description for the uid
alone or for the discrete particles alone, numerical computations are presented and discussed to illustrate
how the method works in practice and the kind of information that can be extracted from it. Comments
on the current modelling state and propositions for future investigations which try to link the present
work with other ideas in physics are made at the end of the paper. c 2001 Elsevier Science B.V. All
rights reserved.
PACS: 47.27.Eq; 47.55.Kf; 02.40.+j; 02.50.Ey
Keywords: Turbulence; Two-phase ows; Probability density function; Stochastic process
J.-P. Minier, E. Peirano / Physics Reports 352 (2001) 1–214 3
1. Introduction
In March 1999, Reviews of Modern Physics issued a special volume, for the commemoration
of its 100th birthday, which discussed historical developments and gave a general outlook on
a wide range of physical questions. Numerous articles, written by world experts and often
major contributors to their Aelds, provided an overview of past achievements and of the current
state of each domain. Apart from the Aelds which have traditionally formed the main core of
theoretical physics (quantum theory, particle physics, relativity, astrophysics, etc.) the selection
of other subjects (such as uid turbulence, granular matter, soft matter, biological physics)
which also found their place in this prestigious assembly is an indication of the interest for the
issues raised by these subjects. This is also an indication that improved physical understanding
is needed to bring these subjects to a more mature state. In the section devoted to statistical
physics, two reviews, written by Sreenivasan and De Gennes, respectively, discussed separately
the present understanding of uid turbulence [1] and of granular matter [2] (say, the behaviour
of non-Brownian small solid particles). Broadly speaking, both are subjects where the basic
equations (for example, the Navier–Stokes equations) or the elementary behaviour (for instance,
how two grains interact) may be believed to be known, but where the issue is to understand
the complicated and collective behaviour of a large number of interacting degrees of freedom.
Both represent problems at a human-size level. They are actually everyday-life concerns and
could, at Arst, have been thought to be mere engineering problems. They are indeed engineering
problems, but even if only approximate results or rough estimates are sought, this often requires
a clear and precise physical understanding of the important phenomena at play. There is another
interesting domain which is simply obtained when the two di@culties are mixed: the case
of turbulent dispersed two-phase ows. An easy way to picture this is to imagine dealing
with granular matter but embedded in a turbulent ow. These ows are of crucial importance
in a large variety of industrial problems. Yet, they have not received the same attention as
turbulence or as granular matter. As a consequence, physical understanding remains limited
and appears to be scarce compared to each of the separate sub-cases, uid turbulence in the
absence of particles, and granular matter in the absence of any underlying or interstitial uid.
The purpose of the present work is to discuss some of the physical issues involved in two-phase
ows and to put forward a probabilistic formalism that can bridge the gap between physical
understanding of basic phenomena and practical simulations. That middle-road approach is that
of a modeller, where one invents a model, which has simpliAed rules compared to the real
phenomena, and which is used to simulate the overall and collective behaviour of a complex
system. The question is therefore whether the model contains the right ‘physics’ (thus the need to
understand clearly the important phenomena) and then how to reach an acceptable compromise
between the simplicity of the model versus its physical realism (thus the need of an appropriate
formalism).
Before going into the details of the approach followed in this work, a clear deAnition of
two-phase ows and particularly of dispersed two-phase ows must be given. Secondly, a
better idea of their importance in natural and industrial situations as well as an outline of the
modelling issues involved must be provided. Introducing these notions is perhaps best achieved
through typical examples. Dispersed two-phase ows occur in many natural phenomena. They
are met for example in fogs, in water sprays, in smokes, when desert sand is carried away or
Fig. 1. Di8erent two-phase ow regimes in a heat exchanger.
sediments, or (to provide a more vivid image) when an erupting volcano billows around smoke
and various particles. They are increasingly important in environmental problems when one or
several species (not necessarily pollutants) are dispersed in a turbulent atmosphere. Nevertheless,
in the following two sections and to complement these Arst examples, we introduce dispersed
two-phase ows and discuss the modelling questions through industrial examples.
1.1. Two-phase ;ow regimes
As it transpires from their name, two-phase ows are encountered when two non-miscible
phases coexist. Depending on the form of the interface between the two media, di8erent regimes
can be found. This is illustrated in Fig. 1 which shows a range of regimes for the case of a
boiling liquid (for example water) in a classical heat exchanger. At the bottom of the tube, the
liquid has not yet started to boil and we have a single-phase turbulent ow. When nucleation
starts at the walls, bubbles can be found as separate inclusions within the liquid (bubbly ows).
Then, as more vapour is created we go through the so-called slug and plug regimes where
vapour occupies a more important volumetric fraction. Then, as the liquid continues to boil,
we And the annular regime with a thin liquid layer at the walls and a central vapour ow with
small droplets carried by the vapour.
Other regimes can also be found when horizontal channels are considered, but their detailed
description is outside the scope of the present article. The wide variety of regimes, merely
outlined above, is typical of immiscible liquid–gas or liquid–liquid ows since the interface
can be deformed. Two of these regimes (the bubbly and annular regimes) are characterized
by the presence of one phase, either liquid or vapour, as separate inclusions embedded in the
other phase. These are two examples of what is deAned as dispersed turbulent two-phase ows,
where one phase (called the continuous phase) is a continuum and the other phase (called the
dispersed phase) appears as separate inclusions dispersed within the continuous one, assumed
here to be a turbulent uid. When the dispersed phase is characterized by a distribution in size,
one speaks of a polydispersed turbulent two-phase ;ows. The dispersed regime (either mono
or polydispersed) is of Arst importance in most cases. It is always found when the dispersed
phase is made up by solid particles (solid particles in a gas or a liquid turbulent ow). It is
often found for a liquid dispersed as separate droplets in a gas ow (sprays for example) or for
two immiscible liquids where one liquid is dispersed in the other liquid. Indeed, the dispersion
of one phase within another one increases considerably the surface of the separating interface
Fig. 2. A circulating uidized bed combustor.
and thus allows better mass and energy transfer between the two phases. These higher transfer
rates explain that the dispersed regime is preferable.
In the present work, we limit ourselves exclusively to the dispersed regime and we will talk
of a uid (the continuous phase) and of discrete particles (which can represent either solid par-
ticles, bubbles or droplets). In most of the problems encountered, the dispersed particles have a
distribution in size. Since the polydispersed case obviously contains the monodispersed situation
as a simple sub-case, we will consider the realistic problem of polydispersed two-phase ows.
1.2. An industrial example of dispersed two-phase ;ows
The limitation to the regime of dispersed two-phase ows is of course a simpliAcation with
respect to general two-phase ows. Yet, the range of problems remains large, and each of these
problems is di@cult. What are the main problems and what are the key issues? To provide some
answers to that question, it is perhaps better to describe a relevant industrial example, circulating
uidized bed (CFB) boilers. This is an industrial process for thermal energy generation. A sketch
of a typical unit is displayed in Fig. 2. In a conAned domain (the combustion chamber), solids
(inert sand and solid fuel or coal particles with a size distribution ranging from 100 m to 1 mm
and an average density of order of magnitude 1000 kg m−3 ) are transported vertically by a gas
(injected at the bottom) through the combustion chamber. The solids are captured at the exit by
a separator (usually a cyclone), and reintroduced near the bottom of the combustion chamber,
whereas the gas leaves the cyclone through an outlet duct. The solid particles are therefore
recycled to the combustion chamber and some particles may thus perform several loops in
the process. This solid circulation is the key factor of the whole process (thus its name). It
ensures an approximate homogeneous temperature within the combustion chamber which can
thus be chosen as an optimum between the e@ciency of the process and the formation of
noxious pollutants (the resulting low level of emission is one of the strong points of CFB
units). It represents also a central aspect that must be mastered if one is to expect a satisfactory
performance of the overall process.
The ow of the gas–solid mixture is non-stationary and non-homogeneous with a vertical
distribution of the particle concentration inside the combustion chamber. This vertical distribution
is characterized by three interacting zones (as a function of increasing height): (1) a bottom
bed which has the characteristics of a bubbling bed (gas ows through the bed in the form
of large structures) and the concentration of discrete particles is so high that particle–particle
interaction is a dominant mechanism (particles collide and possibly slide against each other),
(2) a splash zone with high clustering and back-mixing activity and (3) a transport zone which
exhibits a core/wall-layer structure (particles are entrained upwards in the core and fall down
along the walls in the form of a thin boundary layer). In these regions large scale spatial
inhomogeneities in the discrete particle concentration Aeld can be observed and for the gas
large scale instabilities (pseudo-like turbulence) are present. In regions (2) and (3), particle
loading (the local instantaneous ratio between the weight of particles and the weight of gas)
is high enough so that turbulence is modulated and possibly modiAed by the presence of the
particles. In addition particle segregation can be observed, that is to say the mean particle
diameter decreases with height and large particles tend to migrate to the boundary layers. At
the exit of the chamber, the particle-laden ow enters the cyclone(s). Cyclones are used here
as separators (separating the solid coal particles from the gas in order to recycle them) and
are key elements of the whole process. Indeed, should they fail to ensure a proper separation
and consequently a proper particle recirculation, the whole process would not be able to run
correctly. Cyclone performances are quantiAed by their e@ciency curve which is the fraction of
solid particles being collected (and thus recycled) as a function of the particle diameters. It is
important to be aware that cyclone e@ciencies are due to the complicated swirling motions and
gas ow patterns within the cyclone and not to external forces such as gravity. In other words,
both within the combustion chamber and within the cyclone separators, satisfactory performances
of a CFB process are ensured by the local hydrodynamics of the two-phase ows rather than
by external monitoring. In particular, a key parameter for a good functioning of a CFB boiler
is the particle size distribution, to ensure, for example, suitable particle spatial distribution and
residence time in the combustion chamber. It is mainly controlled, for small diameters, by the
collection e@ciency of the cyclone, and for large diameters, by the characteristics of the fuel
particles.
This is, after all, an engineering problem. Numerous industrial or engineering problems may
also involve di@cult questions. In some situations, complex questions or issues may become
less relevant or secondary if engineers apply a high-enough ‘margin coe@cient’. This easy
way around theoretical issues may lead researchers to believe that only clever or astute Axing
or tinkering is needed. However, from the above outline of the CFB process, it is clear that
this is not the case here, since the overall performance is a result of the local hydrodynamics
throughout the process.
In summary, the physics of turbulent gas-solid ows (in the case of circulating uidised bed
boilers) contains a large spectrum of problems. Three main themes emerge, namely:
(A) polydispersed two-phase ows (there is a range of particle diameters rather than a single
value),
(B) combustion, either within reactive gas ows or of the solid particles (as in the case of fuel
particles within the CFB boiler),
(C) turbulence, which is the central and common issue.
Of course, these three main categories overlap and a wide range of sub-categories or classes of
problems can be enumerated. For example, this concerns:
• reactive ows (heterogeneous and homogeneous combustion),

• particle dispersion (and di8usion of combustion gases),
• turbulence modulation, possibly modiAcation of its nature, by the presence and motion of
solid particles embedded in the turbulent ow,
• particle–particle interactions (short- and long duration collisions),
• swirling two-phase ows (selectivity curve of the cyclone) and
• particle segregation, etc.
Other industrial and practical needs involving two-phase ows, such as pollutant dispersion
in the atmosphere, combustion of fuel droplets within car engines, etc. would reveal the same
picture and the same categories with an emphasis on one of these categories depending on
the application. From the previous analysis, it appears that one has to built the link between
uid-mechanics, classical mechanics, tribology, combustion and chemistry. The question to be
answered is: how can we achieve this goal with a tractable formalism which has to be, in
addition, suitable for numerical applications?
1.3. Mathematical and physical approach
1.3.1. The present objectives

For the two-phase ows we consider in the present work, the central subject is turbulence.
Turbulence of continuous-phase ows is further compounded by the e8ects of the discrete
particles. Direct numerical simulations are possible in theory but are quite impossible in practice,
at least for the typical examples described above. Most turbulent dispersed two-phase ows
involve far too many degrees of freedom to be directly simulated. The issue is therefore to
reduce the number of degrees of freedom to a tractable number and to come up with a contracted
description. We are thus faced with a problem of non-equilibrium statistical physics where one
tries to obtain a statistical model for a reduced number of degrees of freedom. Given the inherent
complexity of the problems we have to deal with, the Arst choice is to limit ourselves to mean
or average quantities. This is classical in most problems of statistical mechanics. In other words,
we treat the solutions of the fundamental equations as random variables and we are interested in
some statistics. Compared to the high complexity and to the beauty of the initial problem, this
may look as limited and perhaps unchallenging objectives. However, it must be remembered
that we are not dealing with only one problem, either single-phase turbulence, combustion or
two-phase ows, but typically with the three of them. Consequently, the aim is to develop a
mathematical and physical approach that meets the following requirements:
1. the important physical phenomena, such as convection or mean pressure-gradient, are treated
without approximation,
2. enough information is available to handle correctly issues of complex physics (combustion,
polydispersed particles),
3. the resulting numerical model is tractable for non-homogeneous ows,
4. the model can be coupled to other approaches, either more fundamental or applied
descriptions.
It is clear from the third constraint that a compromise between detailed descriptions and practical
applicability must be reached. The approach will necessarily be less fundamental compared to
a number of theoretical approaches in turbulence for example [3–5]. It does not mean that
the present choice contradicts more theoretically oriented works, but rather that the under-
lying objectives are somewhat di8erent. Actually, a satisfactory model respecting the three
Arst requirements should easily beneAt from fundamental progress made in one of the three
main themes (A), (B) or (C) listed above, which are of concern here. This is one of the
reasons for the fourth item which also suggests that the approach can be used in relation
to coarser descriptions in a multi-scale or multi-level simulation. The main challenge comes
from the second constraint. It implies that we are not looking for a model or an approach
which performs very well for only one theme but for an approach that can handle complex
physics. For example, we are not looking for an approach which is perhaps the best candidate
at the moment to simulate, say, isothermal incompressible single-phase turbulent ows but which
requires new formalisms or new models for combustion. We are looking for an approach that
can do a Ane job for single-phase turbulence and still be easily extended to handle combustion
and dispersed two-phase ow issues within the same framework. This ‘engineering’ constraint
has far-reaching consequences in terms of modelling choices and justiAes advanced methods.
1.3.2. Choice of the modelling approach

Since we are mainly interested in some local mean statistics on a number of uid and discrete
particle properties and since we have emphasized the practical side of the problem, it would
seem that the path of least dissipation (for the modeller) consists in trying to derive directly
a set of closed partial di8erential equations (PDE) for those mean variables. We refer to this
approach as the moment approach or the conventional approach. It is indeed in line with the
classical or conventional approaches in continuum mechanics where one handles Aelds which
are solutions of some PDEs. For example, if we are interested in the mean uid velocity, we
start from the Navier–Stokes equations (we consider here an incompressible ow for the sake
of simplicity)
9Ui 9Ui 1 9P 92 Ui
+ Uj =− + : (1)
9t 9xj 9xi 9xj2
This equation contains all the information for the uid velocity. Then, following the classical
approach we apply to this equation an averaging operator (the nature of this averaging operator,
be it the Reynolds average or a spatial Alter, does not change the present point so we use
here the Reynolds decomposition while comments on spatial Altering will be developed in
Section 9), written :. We obtain the unclosed PDE directly for the variable of interest U
9Ui 9Ui 1 9P 9ui uj
+ Uj =− + QUi − : (2)
9t 9xj 9xi 9xj
This open equation has to be closed by resorting to a constitutive relation giving the unknown
quantity, here ui uj (the Reynolds stress tensor), as a function of known variables, here the
mean velocity. If we use vocabulary from statistical physics, we can say that the conventional
approach is a macroscopic approach where one tries to obtain the macroscopic laws through
closure relations which are written directly at the macroscopic level. If an acceptable macro-
scopic constitutive relation can be found, then this route is certainly the most cost-e8ective one
since we explicitly calculate only what we want and nothing more. However, the success of
this macroscopic approach hinges on the possibility to express unclosed terms through macro-
scopic laws. If such macroscopic relations cannot be explicitly written or involve far too drastic
assumptions to yield acceptable results, then the conventional approach fails.
Two typical examples of such problems are provided by the reactive source terms which
enter the equations of single-phase turbulent combustion with Anite-rate chemistry and by the
existence of a range of particle diameters (a polydispersed two-phase ow). Both issues will
be explained in detail in Section 6 for the former and in Section 7 for the latter. In each case,
one has to express the average value of a complicated function of some instantaneous variables
(the uid instantaneous species mass fractions or the particle instantaneous diameters), whereas
the conventional approach can only provide information on the Arst moments (usually the Arst
two moments). We are faced with the problem of having to express a quantity such as S( ),
where S is a complicated function of some scalar , in terms of the available information,
usually limited to or 2 . This results in an intractable problem and more information
is needed to address these typical issues of complex physics. In other words, even if we are
interested mainly in estimates of macroscopic quantities, an advanced method providing more
detailed information is absolutely required. That problem will be emphasized and explained in
more details (and for general averaging operators) in the course of the paper.
From the above outline, it can be concluded that the macroscopic path is not well suited
for our present objectives. On the other hand, we have also seen that the direct simulation
is not tractable. In the language of statistical physics, this direct simulation is a microscopic
description since all degrees of freedom are explicitly tracked. A reasonable solution is therefore
to choose what can be referred to as a mesoscopic approach, or as a middle-road approach
between the microscopic and macroscopic descriptions. The mesoscopic approach retained in
this work is a probabilistic approach. Its aim is to model and to simulate the probability density
functions of the variables which are of Arst interest. For this reason, the present approach can
be deAned as a pdf approach to turbulent dispersed two-phase ows. The di8erent pdfs that
will be manipulated are modelled pdfs, that is to say the basis of the approach will be to
propose probabilistic models to describe the joint pdf of some variables. It will be seen that
probabilistic models can be developed either in terms of the pdf or in terms of the trajectories of
the stochastic processes involved. In the present work, we will mainly adopt this second point of
view and we will be talking about stochastic particles. The stochastic models will be developed
directly for the variables attached to these stochastic particles, providing at the same time
a Monte Carlo evaluation of the pdf. Thus, the approach can also be referred to as a particle
stochastic approach.
At the moment, multi-point approaches have not been extended to non-homogeneous wall-
bounded ows whereas one-point pdf models have been put forward. From the third requirement
mentioned above, it follows that one-point pdf models will be often considered. Yet, this is
not a strict limitation of the present work. Two-point or multi-point pdfs will be discussed
and considered at di8erent stages. This will re ect the fourth constraint since multi-point pdfs
represent Aner probabilistic descriptions. Our purpose is a general pdf approach and the relation
between these di8erent descriptions is contained in the presentation.
1.3.3. Choice of a rigorous presentation

pdf models are already well established in the combustion community. A number of reviews
are available which discuss the necessary formalism and present modelling state [6 –9]. In
particular, Pope’s work [6] has clariAed the one-point pdf formalism and has given the relations
between the Lagrangian and the Eulerian pdfs. In these works, the presentation is strictly tailored
for one-point pdf descriptions and the derivation of the stochastic models is often based on the
previous knowledge of a macroscopic closure relation [10]. This is probably a reasonable choice
(and perhaps the best compromise between model complexity versus tractability) since closures
of the reactive source terms, which are local source terms, require only one-point pdfs. In most
presentations, the stochastic models are not derived from statistical arguments but from their
correspondence with given mean moment equations, although recent proposals have tried to
use only arguments from statistical physics [11]. This approach can indeed be regarded as a
satisfactory answer for two of the main themes, turbulence and combustion, but application to
dispersed turbulent two-phase ows requires further work. Indeed, di8erent physical e8ects are
present when discrete particles are considered. Furthermore, the mean equations are not known
in advance and should precisely be derived from a probabilistic approach.
On the other hand, a particle approach and stochastic models have been used for some
time to simulate dispersed two-phase ows, see among others the review of Stock [12] and the
references inside. A wide variety of stochastic models have been devised, most of the time from
a heuristic point of view. In two-phase ows, the notion of a stochastic particle is, at Arst sight,
less surprising than in single-phase turbulence, and it is tempting to skip the careful construction
of rigorous foundations since the stochastic concepts may be believed to be ‘evident’. However,
this direct approach to stochastic modelling can create severe problems that will be detailed in
Section 7. Given that no macroscopic relations are known in advance (and can thus be used as
safeguards), the development of a rigorous approach to the pdf description of dispersed turbulent
two-phase ows is needed. There is also a new element compared to single-phase reactive ows
where the choice of the variables which are explicitly modelled is rather obvious. In two-phase
ows, the selection of the basic variables is less obvious and is subject to debate. Then, various
choices can be made for a pdf description, and the technical aspects of the hierarchies between
these di8erent pdfs must be well understood.
As a consequence of the above analysis, the aim of this paper is to build a rigorous proba-
bilistic framework that extends current models developed for single-phase reactive ows to in-
clude dispersed turbulent two-phase ows. Such a construction requires a mathematical-oriented
presentation and the deAnition of a clear methodology. As such, it will be somewhat di8erent
from the above-cited references. The presentation will be based on ideas from statistical physics
and on the hierarchies of pdf equations with a particle stochastic point of view. The stochas-
tic models will be developed as much as possible from the arguments of statistical mechanics
and statistical physics. The purpose of the present work is basically to propose a probabilis-
tic description of a mixed system, composed of a continuous Aeld and of discrete particles.
The central notion that is adopted is the Lagrangian point of view which will appear as the
‘propagator of information’ for our complex system.
1.4. Description of the contents
The paper has been organized to answer to the following general questions:
• What are the mathematical tools which are required?

• What are their main characteristics?
• How are they used for physical modelling in general?
• How are they precisely used in our case? What do we obtain from them? Are present models
the end of the story or can they be improved or coupled to other methods?
These questions correspond to three categories: the mathematics of stochastic processes, the
general physical meaning of stochastic modelling, and the development of a speciAc framework.
As a consequence, the paper has a three-fold objective. The Arst objective is to provide the
reader with a comprehensive and understandable picture of the theoretical tools used in the
pdf approach (Section 2). Several notions must be understood: the mathematical properties
of stochastic processes, the notion of the trajectories of a stochastic process as well as the
correspondence between the trajectory point of view and pdf equations. Once the notion of
a Markovian stochastic process (and more precisely the subclass ‘di8usion process’) and its
associated pdf is clear, the second objective is the description of the use of di8usion stochastic
processes for physical modelling. This is carried out by Arst recalling the concepts of statistical
physics, i.e. the N -body problem. A general framework is given to work out the relations
between the di8erent levels of contraction (Section 3). Then, the modelling principles that
allow stochastic processes to be used are presented (Section 4). From this results the deAnition
of a pdf description, which is made up by the choice of the variables which constitute the state
vector and by the choice of a stochastic model for this state vector. The third objective concerns
the development of a consistent and self-contained framework for the probabilistic description
of two-phase ows. This derivation is the core subject of the present work and is performed in
four steps. A gradual construction of the complete description has several advantages. It avoids
dealing immediately with a complicated formalism which may hide or blur some physical points.
By gradually building the complete description, we can discuss at length the physical meaning
of the di8erent stochastic terms, for the continuous phase and for the dispersed phase. Since the
discrete particles are embedded in a turbulent uid, their motion (and the associated statistical
properties) are governed by the underlying turbulent ow. It is then important to detail the
physical characteristics of turbulent ows. This is the Arst step of our modelling approach where
the reader is given a comprehensive, but still general, overview of the physics of turbulence,
Section 5. The second modelling step is the probabilistic description of single-phase ows, that
is the probabilistic description of a continuous Aeld (Section 6). Emphasis is put on the level of
information which is needed for successful closures (Kolmogorov theory), on the Lagrangian
point of view (which is the natural choice in uid mechanics) and on the existence of a
propagator. Correspondences with the Eulerian description and classical mean Aeld equations
are given. The third modelling step addresses the question of the probabilistic modelling of
discrete particles. The usual issues of particle-tracking models are discussed at length, Section
7. In both the second and the third modelling step, numerical computations are presented and
discussed to illustrate how the method performs in di8erent ows and the kind of information
that can be extracted from it. The fourth modelling step, i.e. the complete uid–particle pdf
approach, is achieved in Section 8. It is shown, once again, that the Lagrangian point of view
is the natural choice and that there exists a propagator. Correspondence with Eulerian tools is
put forward and mean Aeld equations are derived using rigorous probabilistic arguments.
By the end of Section 8, the reader has a clear picture of the pdf approach to turbulent
dispersed two-phase ows. Then, the concepts of the probabilistic approach can be summarized
and prospects for new developments can be put forward, Section 9.
2. Mathematical background on stochastic processes
The purpose of this chapter is to provide clear deAnitions of a stochastic process and of
stochastic di8erential equations. These equations appear rather naturally in physical or engineer-
ing sciences where one would like to introduce ‘randomness’ or ‘noise’ into the di8erential
equations that describe the evolution of a physical system. For example, one would like to give
a precise meaning to the equation
d Xt
= A(t; Xt ) d t + B(t; Xt )t ; (3)
dt
where t is the so-called ‘white-noise’ process that represents some ‘rapid uctuations’. It turns
out that the deAnition and proper treatment of such an equation cannot be made directly with
classical methods from ordinary di8erential equations (ODEs). Special mathematical notions
have to be introduced to explain stochastic calculus which has its subtleties that can be surprising
at Arst sight.
The following results and notions will be presented, as much as possible, in a logical way
while trying to avoid being too mathematically involved. Most of these results will be stated
without proofs and not all deAnitions are given. However, complements and detailed presenta-
tions of this material can be found in mathematical textbooks [13,14] or in physically-oriented
books [15]. An excellent presentation gathering mathematical correctness and an application-
R
oriented discussion can be found in Ottinger [16]. Most of the material needed to handle in a
simple way probability concepts has been developed in Pope’s seminal work [6] for single-phase
pdf methods. It did not appear useful to repeat this presentation here and the objective of this
section is to go into more mathematically advanced details. Each of the following subsections
cannot pretend to give a comprehensive description of the subjects but the themes and the order
of the presentation re ect the important issues.
2.1. Random variables
In applied physics, random variables are often introduced directly through their probability
density functions (pdf) which can be either discrete or continuous. The random variable, say
X , can take a range of possible values x ∈ A, for example x ∈ R or Rd . The probability that X
takes a value between x and x + d x is
P[x 6 X 6 x + d x] = p(x) d x : (4)
The actual and more rigorous construction of a random variable is based on an underlying
probability space (; F; P) and on measure theory. One deAnes a reference space equipped
with a -algebra F (an ensemble of subsets such that complements and reunions of them
still give a subset that belongs to the ensemble) on which a measure P (with P() = 1) is
deAned. A random variable X is mathematically deAned as a measurable function from this
reference space to the one where X takes its values, here A which is also equipped with a
-algebra G
(; F; P) → (A; G) ;
! → X (!) (5)
and the law of probability of X is simply the image of the reference measure P, that is
PX (A) = P(X −1 (A)); ∀A ∈ G :
2.1.1. Conditional expectations

The Arst central notion is the expectation of a random variable which is the integral of the
possible values against their measures

X = X (!) d P(!) : (6)
The expected or mean value is written here as X following the usual notation in applied
physics but is written as E(X ) in the mathematical literature.
The level of abstraction used in the deAnition of random variables is not just for the sake
of doing mathematics but is helpful to precise some notions concerning Arst random variables
and then for stochastic processes. One such notion is the conditional expectation which is very
important for the physical idea of coarse-grained descriptions but can only be fully understood
with reference to -algebras. It is worth giving the formal deAnition:
Denition 1. If X is a random variable on the probability space (; F; P) and if F is a

sub--algebra of F, that is F ⊂ F, the conditional expectation (or conditional average) of
X given F , written X |F , is a random variable deAned on the sub--algebra F and such
that its expectation or its mean value on any subset A of the sub--algebra F is equal to the
mean value of X on the same subset, or
X XA = X |F XA ∀A ∈ F ; (7)
where XA is the indicator of the subset A .
This formal statement can be translated into words. The Arst important point is that the
conditional average is also a random variable but deAned on a coarser -algebra. A -algebra can
be regarded as describing mathematically the notion of the ‘level of information resolved’ or the
‘information content’ of the random variable X . If more information is provided on a physical
object which is represented by the random variable X , this corresponds in the mathematical
deAnition to a function deAned on a ?ner ensemble F. On the reverse, if less information is
known or resolved by X this translates into the fact that the function X is deAned on a coarser
ensemble F. Therefore, for a physical object represented by a random variable X , the idea
of a coarse-grained description, when not enough details are resolved or when one voluntarily
disregards some pieces of information, can be well represented by a conditional average. The
second important point in the deAnition given above, is that the conditional average is the
mean of the actual random variable X ‘averaged’ over the unresolved information or, in more
mathematical terms, over the Aner decomposition of any subset A of F into reunions of
subsets of F.
This appears as the only way to properly deAne the notion of the conditional average of one
random variable. However, when one handles in fact two joint random variables X and Y and
simply considers the sub--algebras obtained by Axing the value of one of the two random
variables, say for example the sub--algebra obtained with Y = y, we retrieve the usual and
more intuitive notion of conditional random variable given the value of another one whose pdf
is then
p(x; y)
p(X = x|Y = y) = : (8)
pY (y)
2.1.2. Weak and strong convergence of random variables

Random variables are not often known directly and are generally obtained as limits of ap-
proximate and simpler random variables. This is the case when a process is simulated by
numerical integration with Anite time steps Qt, see Section 2.10. This also happens from
a physical point of view since models are used to get practical but then approximate an-
swers. One must be able to know how properties or characteristics of the various approx-
imations can be carried over to the actual solution. Several modes of convergence can be
deAned for random variables, which must be well understood in particular the distinction
between strong and weak convergences. For these reasons, we explicitly give the following
deAnitions.
Denition 2. The sequence (Xn ) converges towards the random variable X , deAned on the same
probability space, almost surely if and only if
P({! for which |Xn (!) − X (!)| → 0 as n → ∞} = 1 : (9)
Denition 3. The sequence (Xn ) converges towards the random variable X , deAned on the same
probability space, in the mean square sense if and only if
|Xn − X |2 → 0 as n → ∞ : (10)
Denition 4. The sequence (Xn ) converges towards the random variable X , not necessarily on
the same probability space, in distribution or in law if and only if
f(Xn ) → f(X ) as n → ∞ : (11)
There is actually a fourth possible mode of convergence, the notion of stochastic limit, which
is not given here. This mode of convergence is important in the theory but since it will not
be explicitly used here and since its absence does not prevent the key concepts from being
presented, it is left out so as to limit the mathematical burden.
The Arst mode of convergence, the almost sure limit, is the strongest possible one. It is actu-
ally the idea of classical pointwise convergence of real-valued functions used for the realizations
of the random variable. It means that the sequence (Xn ) converges to X ‘everywhere’, or that
the subset on which (Xn ) does not converge to X is negligible (in the sense that the measure of
its importance is zero). The second mode of convergence has a more familiar connotation since
it manipulates something that is basically an energy. Yet, these Arst two modes are similar.
The third one is somewhat di8erent since what is required is that only mean quantities derived
from the sequence (Xn ) converge to a mean value derived from the limit process X . That limit
process does not need to be known explicitly, and we only deal here with some information
extracted from the di8erent processes. That mode of convergence is therefore weaker than the
Arst two. Indeed, the Arst two modes depend ‘directly’ on the values of the variables Xn and
X whereas in the third mode the knowledge of X is ‘indirect’. Loosely speaking, we can give
the overall picture and say, that the almost sure and the mean square convergence are strong
modes of convergence while convergence in distribution refers to a weak convergence. The
distinction between these two ways of approximating random variables is important within the
mathematical theory (deAnition of the Itô integral, solutions of equations, : : :) but also for nu-
merical reasons (see Sections 2.10) and for physical purposes since it helps clarifying the ideas
of the pdf approach in single- and two-phase ows developed in Sections 6 –8.
2.2. Stochastic processes
Another interest of the exact deAnition of random variables given previously is to pave the
way for the notion of stochastic processes and of trajectories of a process. A stochastic process
is simply a family of random variables X = (Xt ) indexed by a parameter which is usually the
time t. This notion is obvious to introduce when one wishes to use random variables to model a
time-dependent physical system. The mathematical deAnition of a stochastic function is in fact
a measurable function of two variables
T × (; F; P) → (A; G) ;
(t; !) → X (t; !) : (12)

The equivalence mentioned in the introduction between di8erent points of view can now be
made clear by Axing one of the two variables.
(a) for each Axed t ∈ T , Xt is a random variable and we can deAne its pdf p(t; x),
(b) for each Axed !, we have simply a function t → Xt (!)=X (t; !) which is called a trajectory
of the stochastic process X or a sample path,
(c) there is a third point of view which generalizes the trajectory point of view. In this point
of view, the stochastic process (Xt ) is regarded as a random variable for which the range
of values is the set of real functions X: (!). This deAnes the path-integral point of view.
In (a), we address the problem by considering the time-dependent pdf and the question is, for
a given problem, to write the equation satisAed by this pdf. This is the pdf point of view. In
(b), we Arst discretize the reference space introducing ‘particles’ and we follow the time
evolution of these particles which deAne the trajectories of the process. This is the trajectory
point of view. It is now clear that these particles represent actually di8erent realizations of a
stochastic process whose evolution is tracked in time. The path-integral point of view will not
be used in the discussion of present models for turbulent dispersed two-phase ows, but will
be referred to as an attractive tool in Section 9.3.4.
2.3. Markov processes
Manipulation of general stochastic processes is di@cult since it requires to handle N -point

distributions, that is the joint distribution functions of the values of the process
p(t1 ; x1 ; t2 ; x2 ; : : : ; tN ; xN ) ; (13)
at N di8erent times, and for any value of N . An important simpliAcation can be obtained
for a class of special processes to which we nearly always limit ourselves, Markov processes.
A Markov process is deAned as a process for which knowledge of the present is su@cient to
predict the future. This is actually a simple notion which is carried over from ordinary di8erential
equations (ODE). In classical mechanics, when an ODE is written to describe the time evolution
of a system, knowledge of the initial condition is su@cient. For stochastic processes, the Markov
property means that if the state of the system is known at time t0 , additional information on
the system at previous times s (s 6 t0 ) has no e8ect on the future at t ¿ t0 .
The Markov property simpliAes the situation since it can be shown that Markov processes are
completely determined by their initial distribution p(t0 ; x0 ) and their transitional pdf p(t; x|t0 ; x0 ).
This transitional pdf represents the probability that X takes a value x at time t conditioned on
the fact that at time t0 its value was x0 . The Markov property manifests itself in the following
consistency relation which is the Chapman–Kolmogorov formula

p(t; x|t0 ; x0 ) = p(t; x|t1 ; x1 ) p(t1 ; x1 |t0 ; x0 ) d x1 : (14)
This equation states that the probability to go from (t0 ; x0 ) to (t; x) is the sum over all
intermediate locations x1 at an intermediate time t1 . The factorization inside the integral re ects
the independence of the past and the future at t1 when the present is known.
A Markov process can be characterized directly in terms of its transitional pdf or its trajecto-
ries or more indirectly (in a weak or distribution sense) by its action on members of a function
space. It is useful to deAne the inAnitesimal operator for functions g acting on the sample space
of Xt by
(g(Xt+dt )|Xt = x) − g(x)
Lt g(x) = lim ; (15)
dt→0 dt
where g(X ) denotes the mean or expectation

g(X ) = g(x)p(x) d x : (16)
The value of Lt g(x) can be thought of as the mean inAnitesimal rate of change of the
process g(Xs ) conditioned on Xt = x. Using this operator, the Chapman–Kolmogorov relation
can be turned into di8erential equations. Since the conditional pdf p(t; x|t0 ; x0 ) is a function of
two variables, on can consider variations with respect to the initial variables (t0 ; x0 ) or the Anal
variables (t; x). We obtain then two di8erent equations (see [13]), whose meaning will become
clearer for di8usion processes:
• Kolmogorov backward equation:


9p + Lt p = 0 ;

9 t0 0
(17)

end condition p(t; x|t ; x ) = (x − x )
0 0 0 when t0 → t :
• Kolmogorov forward equation:

9p = L∗ p ;

t
9t (18)

initial condition p(t; x|t ; x ) = (x − x )
0 0 0 when t → t0 ;
where Lt∗ denotes the adjoint of the operator Lt . The forward Kolmogorov equation gives the
well-known Fokker–Planck equation for di8usion processes as we will see below.
2.4. Key Markov processes
2.4.1. The Poisson process

Many situations, such as electron emission, telephone calls, shot noise or collisions, among
other problems, require the notion of random points and eventually of Poisson processes. The
important properties of the statistics of random points are Arst outlined. If a large number of
points n are placed at random within a wide interval, say [ − T=2; T=2], it can be shown that the
probability to have k points in an interval I of length tI , small with respect to T , is given by
(ntI =T )k
P(k in I ) = e−ntI =T : (19)
k!
We then consider the case when n; T → ∞ such that n=T = # remains Anite. This deAnes the
concept of random Poisson points for which the probability to have k points in any interval I
of length tI , say n(I ) = k, is thus
(#tI )k
P(k in I ) = e−#tI : (20)
k!
A very important property is that random points in non-overlapping intervals are independent.
The parameter # which speciAes Poisson points has a clear and simple meaning. This is shown
by considering a small time interval of length Qt and the probability to have one point within
that interval. If Qt is such that #Qt is much less than one, we have
P(one point in [t; t + Qt]) #Qt ; (21)
while we have
P(more than one point in [t; t + Qt])Qt : (22)
Consequently, the parameter # appears as the density of Poisson points. From the concept of
random points, the deAnition of the Poisson process is straightforward. The Poisson process, Nt
is deAned as the number of random points, or more generally of random events that take place
in the interval [0; t]
Nt = n(0; t) : (23)
The Poisson process is therefore a stochastic process taking discrete values. The trajectories of
the Poisson process are staircase functions, being constant between random points at which they
jump to the next integer. The mean value of the Poisson process and its variance are given by
Nt = #t ; (24)
Nt = (Nt − Nt )2 1=2 = (#t)1=2 : (25)

The parameter # which deAnes the process is still the density of the random points, or rather
of the random times at which certain events take place (emission of an electron, arrival of a
phone call, collision with another particle, : : :). It is called the intensity of the Poisson process
and has the dimension of a frequency or the inverse of a time scale, say $c . The mean time
interval between each random event is simply equal to $c .
2.4.2. Wiener process and Brownian motion

The Wiener process is the key process for our present concerns. It represents directly a model
for a Brownian particle and as such has direct physical applications for modelling issues. It is
also the fundamental building block on which di8usion processes and stochastic di8erential
equations are built. The Wiener process can be introduced di8erently, directly through its con-
struction as a random walk in some applied textbooks or as a rather abstract mathematical object
in more formal mathematical works. A middle path is sought here and further explanations can
be found in [13–15]. We Arst limit ourselves to the one-dimensional case but all results are
easily extended to the multi-dimensional case.
The Wiener process Wt can be deAned as a Gaussian process. Just as every Gaussian random
variable is completely deAned by its mean and variance, a Gaussian process is fully characterized
by two functions, its mean and covariance, which are functions of one and two variables
respectively:
M (t) = Xt ; (26)
C(t; t ) = (Xt − Xt )(Xt − Xt ) : (27)

For the Wiener process, these deAning functions are

M (t) = 0; C(t; t ) = min(t; t ) (28)
and the transitional pdf has a Gaussian form

1 (x − x0 )2
p(t; x|t0 ; x0 ) = exp − : (29)
2((t − t0 ) 2(t − t0 )
The inAnitesimal operator associated to the Wiener process is
1 92 g(x)
Lt g(x) = ; (30)
2 9x 2
and the forward Kolmogorov equation shows that the transitional pdf p(t; x|t0 ; x0 ) is the solution
of the heat equation

2
9p = 1 9 p(x) ;

9t 2 9x 2 (31)


initial conditions p(t; x|t0 ; x0 ) = (x − x0 ) when t → t0 :
This equation already reveals the physics of the problem. A quantity will di8use in space (its
value follows a di8usion equation such as the heat equation) because it is ‘carried’ by underlying
and fast Brownian particles. In other words, the result of the mixing of fast Brownian particles
which carry a piece of information is that the mean value of that information di8uses in space.
The Wiener process has a number of particular properties. The main ones are:
• the trajectories of Wt are continuous yet nowhere di8erentiable. Even on a small interval, Wt
uctuates enormously.
• the increments of Wt , d Wt =Wt+dt − Wt , over small time steps d t are stationary and independent.
Each increment is a Gaussian variable with mean, variance and higher moments given by
d Wt = 0; (d Wt )2 = d t; (d Wt )n = o(d t) : (32)
• the Wiener process is the only stochastic process with independent Gaussian increments and
with continuous trajectories.
• the trajectories are of unbounded variation in every Anite interval. This property explains
why stochastic integrals will di8er from classical Riemann–Stieltjes ones.
2.5. General Chapman–Kolmogorov equations
Some of the typical properties observed with the key stochastic processes described above
can be generalized to a whole class of Markov processes, provided that certain assumptions
are made on their behaviour over small time increments. From the correspondence between the
trajectory and the pdf points of view, there are two ways to express this incremental behaviour.
In this section, we follow the trajectory point of view and characterize these processes by the
following conditions on the transitional pdf over small increments in time Qt:
1
p(t + Qt; y|t; x) = W (y|t; x) + O(Qt); for |x − y| ¿ + ; (33a)
Qt

1
(y − x) p(t + Qt; y|t; x) d y = A(t; x) + O(Qt) ; (33b)
Qt |y−x|¡+

1
(y − x)2 p(t + Qt; y|t; x) d y = B2 (t; x) + O(Qt) : (33c)
Qt |y−x|¡+
The Arst condition is the probability of a jump and trajectories are discontinuous when W = 0.
The second one deAnes the drift coe@cient A(t; x) which is the mean increment of the conditional
process Xt . The third one deAnes the di8usion coe@cient which represents the variance of the
increment or the spread around the mean incremental value.
The transitional probability density function p(t; x|t0 ; x0 ) is a function of both the initial
state (t0 ; x0 ) and of the Anal state (t; x). Consequently, two points of view can be adopted by
holding either the initial or the Anal condition Axed and by varying the other state. Using the
Chapman–Kolmogorov relation, Eq. (14), and the above hypotheses, it can be shown that, when
the initial condition is held Axed and when p is regarded as a function of the Anal state (t; x),
then p(t; x|t0 ; x0 ) satisAes the forward Kolmogorov equation [15]
9p 9[A(t; x) p] 1 92 [B2 (t; x) p]
=− +
9t 9x 2 9x 2

+ {W (x|t; y) p(t; y|t0 ; x0 ) − W (y|t; x) p(t; x|t0 ; x0 )} d y : (34)
Using similar considerations and more or less the same derivation, it can be shown that, as
a function of the initial state (t0 ; x0 ) when the Anal condition (t; x) is held Axed, p(t; x|t0 ; x0 )
satisAes the backward Kolmogorov equation [15]
9p(t; x|t0 ; x0 ) 9p(t; x|t0 ; x0 ) 1 2 92 p(t; x|t0 ; x0 )
= −A(t0 ; x0 ) − B (t0 ; x0 )
9t0 9x0 2 9x02

+ W (y|t0 ; x0 ){ p(t; x|t0 ; x0 ) − p(t; x|t0 ; y)} d y : (35)
It is important not to confuse the two points of view (forward or backward) which further
justiAes the central role of the transitional pdf. In the forward equation, the initial state does
not appear explicitly in the jump, drift and di8usion coe@cients, and we can integrate over
all possible initial conditions. Since the pdf of the stochastic process Xt at time t is of course
given by

p(t; x) = p(t; x|t0 ; x0 )p(t0 ; x0 ) d x0 ; (36)
it follows that p(t; x) satisAes the same forward equation.

From the general Chapman–Kolmogorov equations, various cases can be isolated by con-
sidering di8erent possibilities for the jump, drift and di8usion coe@cients. These particular
equations have sometimes been obtained separately and carry di8erent names often for histor-
ical reasons. Yet, in the present formulation, they appear as subclasses of a general class of
Markov processes.
2.5.1. The Master equation

When A(t; x) = B(t; x) = 0, the stochastic process involves only jumps and between each jump
the trajectories of the process are straight lines. The pdf equation is called the Master equation

9p
= [W (x|t; y)p(t; y|t0 ; x0 ) − W (y|t; x)p(t; x|t0 ; x0 )] d y : (37)
9t
The Master equation is indeed the central equation for processes which are typically discrete
and is met when one deals with physical issues which are also by nature discrete. The classical
example is molecular and chemical processes which involve either a complete change or no
change at all. Another typical application is for particle collisions where particle velocities can
be constant and change discontinuously at discrete and random times. Over a Anite time step
Qt, we have

p(t + Qt; y|t; x) = (y − x) 1 − W (y |t; z) d y + W (y|t; x)Qt (38)
which shows that W (y|t; x) is the probability to jump from state x to y at time t per unit
of time. The generic process in this subclass is the Poisson process described in the previous
section for which the sample space is discrete and W (x + 1|t; x) = #.
2.5.2. The Liouville equation

When W (y|t; x) = B(t; x) = 0, the process is a continuous deterministic process and the pdf
equation is the Liouville equation
9p 9[A(t; x)p]
=− : (39)
9t 9x
The Liouville equation is central in classical mechanics. Its characteristic form, and the presence
of only Arst-order partial derivatives, are closely related to the choice of a closed description
of a mechanical system (each degree of freedom is explicitly tracked) as it will be explained
in detail later on in Sections 3 and 4.
2.5.3. The Fokker–Planck equation

When W (y|t; x) = 0, the forward Kolmogorov equation is called the Fokker–Planck equation.
9p 9[A(t; x)p] 1 92 [B2 (t; x)p]
=− + : (40)
9t 9x 2 9x 2
Compared to the Liouville equation, the Fokker–Planck equation involves a supplementary term
with a second-order partial derivative. The existence of this term has deep consequences both
mathematically and physically. From the mathematical point of view, the issue is to deAne
clearly the corresponding behaviour of the trajectories of the process and to put the manipulation
of these trajectories on a sound footing. From the physical point of view, the issue is to explain
how this behaviour comes into play and the physical meaning behind its use. That question
is addressed in Section 4. The solutions of Fokker–Planck equations are known as di8usion
processes and the rest of the present section is devoted to clarifying their characteristics and
how they are manipulated. The central example within the subclass of di8usion processes is the
Wiener process, described in the previous section.
2.6. Stochastic diCerential equations and diCusion processes
Di8usion processes form a subclass of Markov processes. They have been carefully studied
and their properties are rather well-known mathematically which makes them easier and safer
to use in applied physics. They will be used extensively for modelling purposes since they
represent models for di8usion phenomena (thus their name) and have continuous trajectories.
The Arst example is the Wiener process described above and general di8usion processes are in
fact extensions of it.
The inAnitesimal operator for such a di8usion process is given by
9 1 92
L = A(t; x) + B2 (t; x) 2 (41)
9x 2 9x
and the transitional pdf p(t; x|t0 ; x0 ) satisAes the Fokker–Planck equation, Eq. (40), with the
initial condition p(t; x|t0 ; x0 ) → (x − x0 ) when t → t0 .
The Fokker–Planck equation re ects the pdf point of view. On the other hand, the second
point of view will give direct answers to the questions explained in the introduction of this
chapter related to the meaning of Eq. (3). One would like to give a meaning to the ‘noise’
term, t , introduced in an ODE. The proper way to do so is to say that we are now dealing
with a stochastic process Xt and that we are writing di8erential equations for the trajectories
of this process as deAned above. We consider now t as a rapidly uctuating, highly irregular
stochastic process. The ideal model is a Gaussian ‘white noise’ model where the process is
stationary with zero mean and no correlation, that is
t = 0 and t t = (t − t) : (42)
This process has a constant spectral density (thus the name white noise). However, the
white-noise process cannot be deAned directly since it has an inAnite variance. One can give an
abstract sense to this process (Arnold, Chapter 3). However, there is a simpler way out of this
di@culty. The solution consists in considering the e8ect of the white-noise term over (small)
time intervals. We deAne
t
Yt = t d t : (43)
0
Yt is a Gaussian Markov process whose mean and covariance functions are worked out from
the properties of the white noise
Yt = 0 and (Yt )2 = t : (44)
Therefore, Yt can be identiAed with the Wiener process, Yt = Wt . This indicates that in fact,
the integral over a time interval of the white-noise process gives the Wiener process and this
justiAes writing
t
Wt = t d t or d Wt = t d t : (45)
0
The idea is thus to try to deAne not the derivatives of the trajectories, Eq. (3), but their
increments over small time steps as
d Xt = A(t; x) d t + B(t; x) d Wt ; (46)
which is a short-hand notation for

t t
Xt = Xt0 + A(s; Xs ) d s + B(s; Xs ) d Ws : (47)
t0 t0
The Arst integral can be thought of as a classical one. The second one is a stochastic integral
which must be properly deAned. In the usual sense, one would split the time interval into a
number of small time steps and write the integral as the limit
t N
B(s; Xs ) d Ws = lim B($i ; X$i )(Wti+1 − Wti ) ; (48)
t0 N →∞
i=1
where $i is chosen in the interval [ti ; ti+1 ]. However, it turns out that the limit result is not
independent of the choice of the intermediate time $i as one would expect from classical integra-
tion. Di8erent choices of this intermediate time yield Anite but di8erent results for the integral.
This surprising result can be traced back to the ragged behaviour of the Wiener process and
to the fact that its trajectories are of inAnite total variation in any time interval. To obtain a
meaningful and coherent theory (for later manipulations) of the stochastic integral, one must
therefore choose the intermediate times right from the outset. The important message here is
that speaking of a stochastic integral without specifying in what sense it is considered is not
meaningful.
Two main choices have been made in the literature. The Arst one is called the Itô deAnition
and consists in taking the value at the beginning of the time interval $i = ti . There is a clear
probabilistic interpretation of this. The integral writes
t N
B(s; Xs ) d Ws = lim B(ti ; Xti )(Wti+1 − Wti ) (49)
t0 N →∞
i=1
which shows that we consider the function B(t; Xt ) as a non-anticipating function with respect
to the Wiener process. The choice of $i signiAes that we express B(t; x) as a function of the
present state while the increment d Wt which is independent of the present is said to ‘point
towards the future’. This choice is in fact rather natural when the ‘noise’ does not depend on
the system. From it, result the properties of the Itô stochastic integral
t1
Xt d Wt = 0 ; (50)
t0 t1 t3 t1
for t0 6 t2 6 t1 6 t3 Xt d Wt Yt d Wt = Xt Yt d t : (51)
t0 t2 t2
The second choice is to take the intermediate point $i as the middle point of the in-
terval $i = (ti + ti+1 )=2. This results in the Stratonovich deAnition. Actually, various deAni-
tions of the Stratonovich integral can be found depending upon the exact expression of the
term involving B($i ; X$i ) in the limit sum, Eq. (48). For example, one can choose to take
B((ti + ti+1 )=2; X(ti +ti+1 )=2 ) or B(ti ; X(ti +ti+1 )=2 ) as in Arnold [13]. The most common deAnition
met in mathematical books is (written with a characteristic symbol ◦)
t N
1
B(s; Xs ) ◦ d Ws = lim [B(ti ; Xti ) + B(ti+1 ; Xti+1 )](Wti+1 − Wti ) : (52)
t0 N →∞ 2
i=1
These various deAnitions di8er only by the assumptions required on B for the sums to converge,
and if B is smooth enough they lead to the same limit object. Therefore, the above sum can
be taken as the present deAnition of the Stratonovich integral.
The question of what deAnition of the stochastic integral, Itô or Stratonovich, should be
chosen has led to continuous debate in applied physics textbooks. A detailed discussion on
this dilemma is outside the scope of the present notes. However, the key point is to be aware
of this apparent peculiarity so as to avoid confusion. Indeed, if these di8erent deAnitions and
properties are ignored, it is hard to understand why calculations performed with seemingly
identical procedures can lead to con icting results. Actually, the two forms can be transformed
one into the other. The Stratonovich deAnition of a SDE
d Xt = A(t; x) d t + B(t; x) ◦ d Wt ; (53)
can be shown to be equivalent to the Itô SDE [13,15]
1 9B(t; x)
d Xt = A(t; x) d t + B(t; x) d t + B(t; x) d Wt : (54)
2 9x
The di8erence between the two deAnitions is therefore a mean drift term and is not ‘negligible’.
This illustrates and further stresses that, even if one is not interested in mathematical subtleties,
a careful deAnition and at least some understanding of what these deAnitions embody is unavoid-
able. The best illustration of such pitfalls is perhaps numerical schemes for the integration of the
trajectories of the process in practical computations, see Section 2.10. Finally, for a stochastic
process Xt whose trajectories satisfy stochastic di8erential equations in the Stratonovich sense,
it can be seen from the correspondence with an Itô form, Eq. (54), and the Fokker–Planck
equation veriAed for di8usion processes in the Itô sense, Eq. (40), that the pdf of Xt is the
solution of
9p 9[A(t; x)p] 1 9 9[B(t; x)p]
=− + B(t; x) : (55)
9t 9x 2 9x 9x
2.7. Stochastic calculus
Most of the strangeness of stochastic processes and of SDEs is embodied in stochastic calcu-
lus. Although surprising at Arst sight, the di8erences with ordinary di8erential rules are not too
di@cult to grasp. They stem from the irregular behaviour of the trajectories of the Wiener pro-
cess Wt . Indeed, we have seen that on a small time increment d t the variance of the increments
of the Wiener process, (d Wt )2 , is linear in d t (in fact, it is equal to d t). This is already con-
tradictory with the ‘normal’ calculus result which says that the square of an increment should
be of order (d t)2 . The explanation is that the ‘correct’ behaviour is expected for a di8erentiable
process (a process whose trajectories are di8erentiable) while the Wiener process is precisely
not di8erentiable. As a consequence, normal calculus rules must be modiAed by going over
to the second-order derivatives, which in normal cases give only terms of order (d t)2 but will
bring a Arst-order contribution in our case.
To illustrate this, we consider a SDE deAned in the Itô sense
d Xt = A(t; x) d t + B(t; x) d Wt (56)
and we want to derive the SDE veriAed by a function g(t; Xt ) of the stochastic process Xt .
The rule of thumb is thus to write the Taylor series up to the second order and not to forget
the contribution that arises from the term involving (d Wt )2 whose mean is d t. The result is
the Itô’s formula
9g 9g 9g
d g(t; Xt ) = (t; Xt ) d t + A(t; Xt ) (t; Xt ) d t + B(t; Xt ) (t; Xt ) d Wt
9t 9x 9x
1 92 g
+ B2 (t; Xt ) 2 (t; Xt ) d t ; (57)
2 9x
where the last term on the second line is the ‘new term’ with respect to classical calculus which
would have produced only the Arst line.
On the other hand, the choice of the Stratonovich deAnition leads to calculus rules which
are identical to classical ones [13,15]. However, this nice point is o8set by the di@culty in
manipulating the stochastic integral and Itô’s simple properties Eqs. (50) – (51) are no longer
valid.
2.8. Langevin and Fokker–Planck equations
Once stochastic calculus has been deAned and the signiAcation of SDEs has been given,
the picture is complete. We can state what is in fact the main point of this whole section:
when dealing with stochastic processes there are two ways to characterize the properties, the
time-evolution equation of the trajectories of the process or the equation satisAed in sample
space by its pdf. This correspondence is particularly clear for di8usion processes and is central
in the present paper.
We use this summary as an opportunity to write results in the multi-dimensional case. If
Z(t) = (Z1 ; : : : ; Zn ) is a di8usion process with a vector drift A = (Ai ) and a di8usion matrix
B = Bij , the trajectories of the process are solutions of the following SDE
d Zi = Ai (t; Z(t)) d t + Bij (t; Z(t)) d Wj ; (58)
where Wt =(W1 ; : : : ; Wn ) is a set of independent Wiener processes. The SDEs are called Langevin
equations in the physical literature. This corresponds in sample space to the Fokker–Planck
equation for the transitional pdf written p(t; z|t0 ; z0 )
9p 9[A(t; z)p] 1 92 [(BBT )ij (t; z)p]
=− + ; (59)
9t 9 zi 2 9zi 9zj
where BT is the transpose matrix of B.
Actually, the correspondence between the two points of view is not a strict equivalence.
Indeed, the matrix D that enters the Fokker–Planck equation is related to the di8usion matrix
of the SDEs B by D = BBT . Since there is not always a unique decomposition of deAnite
positive matrices for a given matrix D, there may exist several choices for the di8usion matrix
B. Therefore, we can have di8erent models for the trajectories that still correspond to the same
transitional pdf. In other words, there is more information in the trajectories of a di8usion
process than in the solution of the Fokker–Planck equation. However, since we are in the
present work interested mainly in statistics extracted from the stochastic process, or in a weak
approach (in the sense already used in Section 2.1.2), we can consider that the di8erent models
for the trajectories belong to the same class and then speak of the equivalence between SDEs
and Fokker–Planck equations.
2.9. The probabilistic interpretation of PDEs
The equivalence between the trajectory and the pdf points of view is also the basis of the
probabilistic interpretation of some PDEs. The starting idea is to interpret the solution of a PDE
as a function or a functional of some stochastic process. Instead of solving the PDE by classical
numerical methods, the idea is then to simulate directly the trajectories of the process and to
obtain the solution by some sort of averaging operation. This methodology can be applied to
a large variety of PDEs (see [14,17]).
We limit ourselves to the case of parabolic equations and the relation between stochastic pro-
cesses and PDEs of convection–di8usion type is simply the relation between the two deAnitions
of a di8usion process. The probabilistic interpretation reverses that point of view and regards
a convection–di8usion PDE as a kind of Fokker–Planck equation. For example, the solution of
the problem

2 2
9u = − 9[A(t; x) u] + 1 9 [B (t; x) u] ;

9t 9x 2 9x 2 (60)


u(0; x) = h(x); when t = 0 ;
can be built from the transitional pdf of the di8usion process Xt , p(t; x|t0 ; x0 ), as

u(t; x) = p(t; x|t0 ; x0 )h(x0 ) d x0 ; (61)
where A(t; x) and B(t; x) are, respectively, the drift and di8usion coe@cients of the process Xt .
Therefore, in physical terms, Xt appears as the propagator of the initial function h(x0 ). Or in
other words, Xt is the carrier of the information. At the initial time, particles start at x0 with
an ‘information’ that is h(x0 ). Then they follow the SDE
d Xt = A(t; x) d t + B(t; x) d Wt : (62)
As a consequence of this motion, information is carried from the initial state (t0 ; x0 ) to another
one (t; x). The average result is then the solution of the PDE which is of convection–di8usion
type. It is seen that the di8usion term in the PDE re ects in fact the fast and random motion
expressed by the Wiener process, d Wt , in the ‘particle’ evolution equation. Conversely, when
particles undergo a random walk, the result of their mixing is to produce a di8usion in space.
Then, in practical simulations, any statistics that are continuously obtained from the pdf of
the process, can be approximated, at a given time t, from an ensemble of realizations of the
process by the Monte Carlo evaluation
N
1
f(Xt ) f(Xti ) : (63)
N
i=1
For a stochastic process when statistics are required at various times, the di8erent realizations
at time t are simply provided by the values at the corresponding time of the trajectories of the
process. Indeed, it is now clear that the trajectory point of view consists in practice in following
in time a number of trajectories, that we can write as X i (t) = X (t; !i ) for a certain number of
possible events represented here by !i . In other words, simulating stochastic processes from the
trajectory point of view corresponds to performing Monte Carlo integration at each time. One
speaks then of the Monte Carlo integration of partial di8erential equations.
2.10. A word on numerical schemes
The problem of how to devise accurate numerical schemes for the integration of SDEs is a
di@cult issue, and also a recent concern. This is the subject of current research [18,19]. The
detailed presentation of current state-of-the-art proposals is not within the scope of the present
paper and we limit ourselves to the main points that also illustrate the notions put forward in
the previous sections.
Compared to similar numerical schemes that are now well established for ordinary di8erential
equations, the question of the consistency of stochastic numerical schemes must be carefully
analysed. Actually, most of the di@culties arise from a lack of understanding of the exact
deAnition of the stochastic integral, see Section 2.7. Numerical schemes, as well as manipulation
of a function of the stochastic process Xt can only be done after an interpretation of the stochastic
integral has been chosen. If one has chosen the Itô interpretation, then it is implicitly assumed
that the discretization of B(t; x) should not anticipate the future. As a result, Runge–Kutta
schemes cannot be applied directly. More precisely, careless applications of high-order Runge–
Kutta schemes can introduce spurious drifts which may not be easy to detect. For the Langevin
equation
d Xt = A(t; Xt ) d t + B(t; Xt ) d Wt ; (64)
the Euler scheme is the simplest choice and is written as
X i (t + Qt) − X i (t) = A(t; X i (t))Qt + B(t; X i (t))QWt ; (65)
√
where the random term QWt is expressed as Qt × e, e being a value sampled in a normalized
Gaussian random variable, independently at each time step and for each trajectory. A rather
illuminating example of typical pitfalls is seen if one tries to apply directly the well-known
predictor–corrector scheme. This is a two-step scheme with the Euler scheme acting as a
predictor
i
X̃ (t + Qt) − X i (t) = A(t; X i (t))Qt + B(t; X i (t))QWt ; (66a)
1 i
X i (t + Qt) − X i (t) = (A(t; X i (t)) + A(t + Qt; X̃ (t + Qt)))Qt
2
1 i
× (B(t; X i (t)) + B(t + Qt; X̃ (t + Qt)))QWt : (66b)
2
Yet, a time series expansion of this scheme reveals that due to the Arst-order behaviour of
(QWt )2 in time, the corresponding di8erential equation turns out to be Eq. (54) rather than
the Itô SDE which is here Eq. (64). In other words, the predictor–corrector scheme is consistent,
however with the Stratonovich interpretation of SDEs, Eq. (53), but not (in general) with the
Itô interpretation. Therefore, if the Itô interpretation has been chosen and the stochastic integrals
are manipulated using the simple Itô’s rules (see Section 2.6), the scheme is not consistent.
The key point here is that the numerical discretization must be in line with the mathematical
deAnition of the stochastic terms.
To stay on somewhat safer grounds, one can stick to the Euler scheme or pay enough attention
to the validity of the numerical schemes. After consistency is checked, the quality of schemes
must be measured to analyse how they actually approximate solutions, and for this the notion of
order of convergence must be properly deAned. For stochastic processes various deAnitions can
be adopted which mirror the di8erent ways random variables may converge to a limit random
variable, see Section 2.1.2. One can deAne a strong order of convergence and a weak order of
convergence. Let us consider a numerical approximation of the process Xt obtained with a Anite
time step Qt, called XtQt . On the one hand, the numerical scheme will have a strong order of
convergence m if at a time tmax we have that
|Xtmax − XtQt
max
|2 1=2 6 C(Qt)m : (67)
On the other hand, the numerical scheme will have the weak order of convergence m if at time
tmax we have that
|f(Xtmax ) − f(XtQt
max
)| 6 C(Qt)m (68)
for all su@ciently smooth functions f. For example, the Euler scheme has a strong order of
convergence m = 1=2 but a weak order of convergence m = 1. As already explained before, since
we are mainly interested in approximating various statistics of single- and two-phase ows the
natural notion is the notion of weak convergence.
3. Hierarchy of pdf descriptions
Most of the necessary mathematical elements concerning stochastic di8erential equations have
been given in the preceding section. For our purposes, attention has been focused on Marko-
vian processes, and more speciAcally on a particular subset of Markovian processes, di8usion
processes. These processes will be used as building blocks, Arst in turbulent single-phase ow
modelling in Section 6 and then in turbulent two-phase ow modelling in Sections 7 and 8. Up
to now, emphasis has been mainly put on the mathematical characteristics of di8usion processes
rather than on their application for physical purposes. Such an application requires further anal-
ysis and discussion. Indeed, even in the multi-dimensional case where the stochastic process
Z(t) is a vector of d real stochastic processes Z(t)=(Z1 (t); : : : ; Zd (t)), the selection of variables
that make up the stochastic process Z(t) in a practical case, its dimension d, and the choice
of the evolution equation (through the drift and di8usion coe@cients), were not discussed and
were considered as given. However, a pdf description appears in a closed form only when:
(i) the stochastic process Z(t) is chosen,
(ii) the model for its time evolution equation is speciAed.
The form and the nature of the di8erent models used for two-phase ow modelling will be
presented in detail in later sections. In the present one, we discuss issues related to the choice of
the stochastic process Z(t) which is used to describe a physical system. By considering di8erent
stochastic descriptions, either Aner or coarser, di8erent pdf equations result. It is important
to be aware of the interplay between the di8erent and increasingly coarser descriptions and
the structure of the corresponding reduced pdf equations. In practice, the cornerstone of the
contracted description is, of course, to be able to choose the ‘correct’ reduced number of
variables, which must be small enough to make up a tractable system while still capturing the
essence of the physics of the problem. The discussion on how to perform such a choice in some
cases is postponed to the next section. In the present one, we limit ourselves to the technical
presentation of this interplay which manifests itself by various pdf hierarchies. These hierarchies
will be referred to continuously in the rest of the paper.
The general issue of a pdf hierarchy is Arst presented, and is then illustrated by two examples.
The Arst hierarchy is very well known in Statistical Physics. However, the second hierarchy is
not often described, though it is of the same nature. Both hierarchies appear constantly in the
modelling considerations later on.
3.1. Complete and reduced pdf equations
Numerous physicals situations fall into the category of what is called N -body problems. That
is, we have N objects, identical or not, which interact mutually. This situation can be loosely
referred to as a N -particle problem by deAning each ‘object’ as being a particle. This terminology
will be retained here. In this general approach, each particle represents the particular value of
a set of variables and is fully determined by the knowledge of these ‘internal’ variables. A
classical example is molecular dynamics problems, where each particle represents a molecule
and can be thought of as a point particle deAned by the value of its location and velocity. In
another case, the knowledge of the state of each particle may require more variables. The way
these N particles interact and in uence one another is considered to be known when the state
of the N particles is known, that is the mutual forces are internal with respect to the whole
system made up by the ensemble of the N particles.
The dimension of the system (or the number of degrees of freedom), d = dim(Z), is given
by d = N × p, where N is the number of particles included in the system and p represents
the number of variables attached to each particle. For this system, the complete vector which
gathers all available information is then
Z = (Z11 ; Z21 ; : : : ; Zp1 ; Z12 ; Z22 ; : : : ; Zp2 ; : : : ; Z1N ; Z2N ; : : : ; ZpN ) :

This vector is the state vector of the N -particle system. The vector deAned by the p variables
attached to each particle, Zi = (Z1i ; Z2i ; : : : ; Zpi ), is called the one-particle state vector, in this
case for the particle labelled i. In practice the dimension of the system is huge (it might be
inAnite) and one has to come up with a reduced (or contracted) description, or in other words to
consider a subset of dimension d = s × p d. Such a reduced description is needed to achieve
a practical formulation of the behaviour of the system, that is to formulate a set of equations in
closed form which can be solved numerically with help of modern computer technology. The
key point is that, in the general case, such a contraction is followed by a loss of information
and that knowledge of higher-order pdfs has to be provided through closure relations.
To illustrate this problem, let us consider a N -particle system where the time evolution
equation involves simply a deterministic force
d Z(t)
= A(t; Z(t)) : (69)
dt
The dimension of the complete state vector Z is equal to d, and the corresponding pdf p(t; z)
veriAes the Liouville equation
9p(t; z) 9
+ (A(t; z)p(t; z)) = 0 : (70)
9t 9z
This equation is closed since in fact all the degrees of freedom of the system are explicitly
tracked. We consider now a reduced pdf pr (t; zr ) where dim(Zr ) = d and p(t; z) = p(t; zr ; y)
with, of course, dim(Y) = d − d . By integration of the previous equation on y, the transport
equation for the marginal (reduced) pdf becomes
9pr (t; zr ) 9
+ r [A|zr pr (t; zr )] = 0 ; (71)
9t 9z
where the conditional expectation is deAned by

r r r 1
A|z = A(t; z ; y)p(y|t; z ) d y = A(t; zr ; y) p(t; zr ; y) d y : (72)
p(t; zr )
Eq. (71) is now unclosed. This illustrates the fact that when a reduced description (in terms
of a subset of degrees of freedom) is performed, information is lost, and one has to come up
with a closure equation for higher-order pdfs. We have moved from a complete description
and therefore a closed pdf equation Eq. (70), to a contracted description and thus an unclosed
pdf equation Eq. (71). At this point, two sets of reduced descriptions can be chosen in the
N -particle example, by varying either the number of particles retained in the state vector of
the reduced system or by varying the number of variables attached to each particle. The Arst
one corresponds to the classical BBGKY hierarchy (the initials are those of the authors who
derived it independently: Bogoliubov, Born, Green, Kirkwood and Yvon) encountered in kinetic
theory (p = 2), and is fully described in textbooks, for example [20,21]. In the second one, the
dimension of the state vector is addressed from a single particle point of view, s = 1.
3.2. BBGKY hierarchy
Classical mechanical questions are well represented by N -particle deterministic problems,

involving N particles of identical mass m in mutual interaction and with no external forces.
The dimension of the one-particle state vector is, almost always, taken as two, including particle
location and velocity. This is a consequence of the search of a kinetic description and of the
hypothesis that forces derive from a location-dependent potential. Consequently, the dimension
of the complete state vector is d = 2 × N . The drift vector is A = (U; F) where the mutual
acceleration, taken in the direction xi − xj , is denoted Fij and is given in terms of a potential
ij = (|xi − xj |), which is the mutual potential energy of the pair of particles (i; j). Therefore
mFij = 9 ij = 9xi represents the force on particle i due to particle j. In the classical mechanical
framework, a reduced description is meant as a description of the system using identical variables
for each particle but using only a subset of the total number. The reduced pdf for a subset of
s particles, ps (t; y1 ; V1 ; : : : ; ys ; Vs ) is written for the sake of simplicity as ps (t; 1; : : : ; s) = ps and

consequently for integration d ys d Vs reads d s.
Integration of the Liouville equation yields (summation over the i index should not be con-
fused with tensor notation as it represents the number of particles in the subset, that is a
summation from 1 to s; 1 6 s 6 N )
 

9 
Ls (ps ) + Fij pN d (s + 1) : : : d N = 0 ; (73)
9Vi j¿s
where the Ls operator is given by

 
s
9· 9 9 
Ls (·) = + (Vi ·) + Fij · : (74)
9t 9yi 9Vi
j=1
Eq. (73) has been obtained by applying the correspondence di8usion process—Fokker–Planck
equation and more especially deterministic process—Liouville equation. It can also be derived
using Classical Mechanics, i.e. the properties of the Liouville operator, Libo8 [21], or the
Hamiltonian, Balescu [22]. Noticing that (by permutation and variable changes)

Fij p d (s + 1) : : : d N = (N − s) Fi(s+1) ps+1 d (s + 1) ;
N
(75)
j¿s
the following set of equations is obtained:

9
Ls (ps ) + (N − s) Fi(s+1) ps+1 d (s + 1) = 0 ; (76)
9Vi
which is a set of N coupled equations and is often called the BBGKY hierarchy. This simply
states that for a deterministic ensemble of N particles, a contracted description of the system
gives an unclosed equation on the reduced pdf as illustrated by Eq. (76). For s = 1, one-point
pdf, one recognizes the kinetic equation which involves the two-point pdf and so on.
At this point, it should be mentioned that, in the case of mutual interactions given by a simple
potential, it was quite trivial to illustrate the hierarchy of pdfs but, for example in the case of
discrete particles (or even uid particles) carried by a turbulent uid, the expression of the force
exerted on a particle does not exhibit a simple analytical form as it depends simultaneously on
all other particles and consequently, in this case, the hierarchy problem is given by Eq. (71). At
last, this type of hierarchy is not a property of the pdf approach but is typical, in general, for
problems where a reduction is made, as for example, in the case of the Reynolds decomposition
of the local instantaneous Navier–Stokes equations.
3.2.1. Normalization of the distribution function

In the previous approach, a pdf, p(t; x), has been used, p(t; x) d x is in fact the probability to
And the system (the N particles) in a given state in the range [x; x + d x], cf. Section 2.2 (this
can be understood more easily using the notion of an ensemble density function, introduced by
Gibbs, cf. e.g. [21]). The marginal ps represents then the probability to And the reduced system
(s particles) in a given state.
In many applications, as will be seen later, it is convenient to work with the s-tuple distri-
bution function, fs (t; 1; : : : ; s), where fs (t; 1; : : : ; s) d 1 : : : d s represents the probable number of
s-tuple in a given state in the range [1; 1 + d 1]; : : : ; [s; s + d s] at time t. The relation between ps
and fs is directly given by combinatorics, that is by the number of ways of taking s elements
from a population of N elements, without replacement and of course with regard to order. The
answer is (N )k , that is
N!
fs (t; 1; : : : ; s) = ps (t; 1; : : : ; s) : (77)
(N − s)!
Normalization is given by

N! N!
fs (t; 1; : : : ; s) d 1 : : : d s = ps (t; 1; : : : ; s) d 1 : : : d s = ; (78)
(N − s)! (N − s)!
and with r ¡ s 6 N , the r- and s-tuple distribution functions verify the following relation:

r (N − s)!
f (t; 1; : : : ; r) = fs (t; 1; : : : ; s) d (r + 1) : : : d s : (79)
(N − r)!
The BBGKY hierarchy, Eq. (76), can be written in a slightly di8erent form

s s 9 s+1
L (f ) + Fi(s+1) f d (s + 1) = 0 : (80)
9Vi
3.3. Hierarchy between state vectors
The BBGKY hierarchy gives a comprehensive picture of the resulting modelling problem
in the frame of Classical Mechanics. The issue is now to express the statistical e8ect of all
the disregarded particles on the statistical properties of the small number (usually one or two)
of particles that are kept in the state vector. In this hierarchy, the choice of the one-particle
state vector and its dimension, here p = 2, remains unchanged. However, in di8erent situations,
various choices can be made for the one-particle state vector and it is useful to consider a
second set of pdf equations which corresponds to di8erent and increasing one-particle state
vectors. This happens already when we consider a N -particle problem where the force acting
on one particle due to the other ones can be any function of particle properties, for example a
function of particle acceleration or other ‘internal’ particle properties. It is therefore important to
express also the interplay between the choice of the one-particle state vector and the structure
of the corresponding pdf equation, even when a given subset of s particles is considered.
There is another strong justiAcation for considering this second pdf hierarchy with respect to
modelling purposes. Indeed, to obtain a closed pdf equation at some chosen level, a model must
be introduced to simulate the behaviour of the degrees of freedom that are summed over. As
will be explained more in detail in the following section in the case of white-noise terms, it
is important to select the ‘correct’ variable that can be well modelled by a certain stochastic
process. A very precise example of this choice will be given by the choice of the variable to
model in one-point particle pdf for two-phase ows, see Section 7.
The BBGKY hierarchy was presented using a top-bottom approach, that is starting from
the complete Liouville equation and deriving from it the di8erent reduced descriptions. The
hierarchy between vector states will be presented here from a bottom-top approach, starting
from the most reduced level to higher level and introducing modelling concerns. We consider
only one particle (s = 1), and follow a presentation based on the historical case of a Brownian
particle that will be taken up again in the next section. First of all, we can restrict ourselves
to following the position of the particle (that was Einstein’s point of view with time steps that
are large enough, see the next section). With that choice of the state vector Z(t) = (X(t)), the
particle velocity is an external variable and the pdf equation for p(t; y) is unclosed
9p(t; y) 9
+ (U|yp(t; y)) = 0 : (81)
9t 9y
To obtain a closed model, the e8ect of the particle velocity has to be replaced by a model
d X + (t) d X (t)
= U + (t) ⇒ = F[t; U (t)] (82)
dt dt
where the superscript + denotes the exact equation and F[t; X (t)] represents a functional of the
position X (t). If the functional F is deterministic we end up with a reduced Liouville equation.
However, if F is stochastic, the techniques of Section 2 may be applied. If this Arst picture is
believed to be too crude, one can include the velocity of the particle in the state vector that
becomes then Z(t) = (X(t); U(t)) (Langevin’s point of view). Now, the particle acceleration
A(t) becomes an external variable and the corresponding pdf equation for p(t; y; V) is unclosed
9p(t; y; V) 9(Vi p(t; y; V)) 9
+ + (A|y; Vp(t; y; V)) = 0 : (83)
9t 9yi 9Vi
To obtain a closed form, the acceleration has to be eliminated or replaced by a model
 

 d X + (t) + 
 d X (t)
 = U (t)  = U (t)
dt dt
⇒
 
 d U (t) = F[t; X (t); U (t)] :
+
 d U (t) = A+ (t)
 
dt dt
It is thus clear that the second description encompasses the Arst one. It contains more in-
formation and in physical terms corresponds to a description performed with a Aner resolution.
From a modelling point of view the task is also di8erent depending upon the choice of the
one-particle state vector. In the Arst case (Einstein’s point of view), one has to model particle
velocities. In the second case (Langevin’s point of view) one has to model particle accelerations.
From the above example, a general picture emerges. We consider a one-particle reduced
description (s = 1) but with many internal degrees of freedom, i.e. Z1 = (Z11 ; Z21 ; : : : ; Zp1 ; : : :).
The complete one-particle state vector is written here for a particle labelled i = 1, but in a
one-particle pdf description the label is irrelevant (the same would be valid for any particle
i) and the superscript is therefore skipped in the following. If the time rate of change of the
particle degrees of freedom has the following form:
d Z1
= g(t; Z1 ; Z2 ) ; (85a)
dt
d Z2
= g(t; Z1 ; Z2 ; Z3 ) (85b)
dt
..
. (85c)
d Zp
= g(t; Z1 ; : : : ; Zp ; Zp+1 ) (85d)
dt
..
. (85e)
and if the chosen one-particle reduced state vector contains only a limited number of degrees
of freedom, say p; Z r = (Z1 ; : : : ; Zp ) then the corresponding pdf equation for pr (t; z1 ; z2 ; : : : ; zp )
is unclosed since it involves an external variable, namely Zp+1
9p r 9(g(t; z1 ; z2 )pr ) 9(g(t; z1 ; : : : ; zp )pr ) 9(g(t; Z1 ; : : : ; Zp ; Zp+1 )|Z r = z r pr )
+ + ··· + +
9t 9z1 9zp−1 9zp
=0 : (86)
To obtain a closed model, the external variable Zp+1 must be expressed as a function of the
variables contained in the chosen state vector, and the equations for the modelled system have
the form with a model written gm for the time rate of change of Zp
d Z1
= g(t; Z1 ; Z2 ) ; (87a)
dt
d Z2
= g(t; Z1 ; Z2 ; Z3 ) (87b)
dt
..
. (87c)
d Zp
= gm (t; Z1 ; : : : ; Zp ) : (87d)
dt
4. Stochastic di-usion processes for modelling purposes
The purpose of the present section is to show how stochastic processes can be used in applied
situations for modelling issues. Indeed, we have seen in the previous section that the practical
need to limit ourselves to reduced descriptions results in unclosed pdf equations. To obtain
closed equations, the disregarded degrees of freedom may be replaced by stochastic models.
The objective in this section is to try to clarify what is meant when a stochastic process is
written to replace a real physical process. This is not always an easy question, though there are
some situations when such a move is clear. For example, if we are dealing with a mechanical
system subject to an external force F(t) which uctuates rapidly with a variance 2 (t) around
a mean term Fd (t), then the obvious model is to write the equivalent of Newton’s law as
d Xt
= F(t) ⇒ d Xt = Fd (t) d t + (t) d Wt : (88)
dt
However, the situation is perhaps less clear when we are dealing with internal degrees of
freedom. The methodology is thus detailed in the rest of this section starting with a ‘simple’
example.
4.1. The shift from an ODE to a SDE
Let us consider the case of a system Xt whose time rate of change is Yt

d Xt
= Yt : (89)
dt
We consider that we are dealing with stochastic processes (due, for example to random initial
conditions) which are di8erentiable and can thus be handled with normal calculus rules. This
gives
t
dX 2 (t)
=2 Y (t)Y (t ) d t : (90)
dt 0
If we consider, for the sake of simplicity, Y (t) as a stationary process and introduce its auto-
correlation Ry (s) deAned by Ry (s) = Y (t)Y (t + s)= Y 2 , we can write
t
dX 2
= 2Y 2 Ry (s) d s : (91)
dt 0
The important scale in that reasoning is the integral time scale of Y (t), say T , which is
deAned as the integral of the autocorrelation
∞
T= Ry (s) d s : (92)
0
This time scale is a measure of the ‘memory’ of the process. If we consider time inter-
vals s small with respect to T , successive values of Y (t) are well correlated. On the other
hand, successive values of Y (t) over time intervals that are large with respect to T are nearly
uncorrelated. Therefore, in this second limit, we have
t
for t T; Ry (s) d s ∼ T ⇒ X 2 2Y 2 T × t (93)
0
that is the mean square of X (t) varies linearly with the time interval, here t. This is the ‘di8usive
regime’. It should be noted that this regime is always reached (for long enough time spans)
and that, once it is reached, the behaviour of X 2 does not depend on the particular form of
Ry (s) but simply on two mean quantities, namely the variance and integral time scale of Y (t).
This reasoning is certainly not new. Applied to the position and velocity of a uid particle,
this point was described by Taylor in 1921 and has been detailed in most textbooks. However,
we are not simply interested in reformulating known results concerning the statistics of X (t)
but in modelling the instantaneous trajectories. Indeed, if we assume that the trajectories of
X (t) are continuous, the previous result suggests that, in the range t T; X (t) can be seen as
a Wiener process, that is undergoing a random walk.
The previous behaviour is obtained with Anite time di8erence and by Arst introducing T and
then making t or Qt large enough. The reasoning can be reversed to reveal what the introduction
of a white noise means. We still consider Xt whose time rate of change is Yt . Let us consider
that there is a separation of scales: we introduce a time step Qt ∼ d t representing the time
interval over which we observe the process Xt . This time increment d t is therefore assumed to
be small with respect to a characteristic time of Xt . Nevertheless, we assume that the integral
time scale of Yt ; T , is very small with respect to d t. Thus, Yt is a fast and rapidly changing
variable. Actually, we would like to take directly the limit T → 0, since d t is assumed to
be arbitrarily small. Yet, if we take that limit, assuming that Yt is a normal process having
a Anite variance, Eq. (93) shows that the e8ect of the uctuations of Yt vanishes completely.
Consequently, to retain a Anite limit when T → 0, we are forced to consider that Y 2 becomes
arbitrary large in the sense that
 2
 Y → +∞
such that Y 2 T → D ; (94)

T →0
where D is a Anite constant. In that case, the modelling step consists in replacing the di8eren-
tiable process Yt by a white noise and writing that Xt becomes a di8usion process deAned by
the SDE
 √
d Xt  d Xt = 2D d Wt ;
= Y (t) → (95)
dt T →0  D = lim Y 2 T :
T →0
By making this step, Xt becomes a Markov process since the memory of Yt becomes inAnites-
imally small. It also implies that some ‘information’ has been lost (the information associated
to Yt ) in an irreversible way. The signiAcance of this modelling step can be further clariAed by
writing the consequences in the pdf equation. If p(t; y) is the pdf associated to the process Xt ,
we have
9p 9Yt |Xt = y 9p 92 p
=− → =D 2 (96)
9t 9y T →0 9t 9y
which shows that we have in fact introduced a ‘transport coe@cient’, namely D.
The discussion above is presented in the framework of continuous-time stochastic processes,
and to be put on Arm mathematical grounds the limit expressed in Eq. (94) is required. On a
discrete time basis, the time scale T of Yt does not have to go exactly to zero. What is required
is that this very time scale be small with respect to the time step which is the reference time
scale Qt we have introduced right at the outset. It is important to realize that in practice
the introduction of a white-noise term is a relative notion. With regard to one time scale,
another process is assumed to vary ‘su@ciently quickly’. Therefore, the details of this fast
process are not crucial: the wild variations can be expressed by a Wiener increment. Yet, the
eliminated fast process leaves its trace through its variance and integral time scale which deAne
the transport coe@cient D. Using a discrete representation of Xt , this step can be expressed
by
t+Qt t+Qt √
QX (t) = X (t + Qt) − X (t) = Ys d s → QX (t) = 2D d Ws : (97)
t T Qt t
4.2. Modelling principles
All the necessary elements have been given in the above example and can be developed in
a more complex context to propose a general methodology. The idea is that introducing a local
closure in an (open) set of equations means a Markovian approximation. Such an approximation
can be justiAed by a coarse-graining procedure, that is by observing the system on ‘large enough’
time intervals. This is precisely what we did in the previous example by taking not-too-small d t
in order to disregard the ‘information’ related to Yt and to retain only its e8ects on Xt through
the coe@cient D. The success of such a procedure will therefore rest upon a satisfactory choice
of the ‘size of the grain’ (in practice a time or length scale) and upon a separation of scales
as explained in Section 3.
Let us build on these ideas in a complex situation to help us select the proper degrees of
freedom to retain in the state vector. As it was explained in the previous sections, for the
case of N interacting particles, and even if we limit ourselves to characterizing the statistical
behaviour of one particle (one-point pdf), we still have a huge (maybe inAnite) number of
degrees of freedom. We could limit ourselves to the position of the particle, say Xt , or include
its velocity to have (Xt ; Ut ), or also its acceleration (Xt ; Ut ; At ) and so on. Using the language
of Statistical Mechanics or of Synergetics [23,24] the principle is to introduce Arst a reference
scale which in our example with one particle would be a reference time scale d t. Then, the
degrees of freedom written as Zt = (Z1 ; : : : ; Zn ) are classiAed with respect to that scale as slow
and fast variables,
(Z1 ; Z2 ; : : : ; Zn ; : : :) ;
↑
reference scale
A slow variable is a variable whose integral time scale T is greater than the reference scale d t
while fast variables are those with an integral time scale $ smaller than the reference scale,
$d t T : (98)
The guiding principle is then to retain only the slow modes or variables in the state vector
used to build the model and to ‘eliminate’ the fast ones. The latter modes are eliminated by
expressing them as functions of the slow ones. This is called the slaving-principle [23] and
is in fact an equilibrium hypothesis. The fast modes are assumed to relax ‘very rapidly’ to
equilibrium values or distributions which are determined or parameterized by the values taken
by the slow modes. This corresponds to sorting out the degrees of freedom in terms of solutions
of transport equations and local source terms. The slow modes (Z1 ; Z2 ; : : : ; Zd ) that are kept
in the state vector will satisfy di8erential equations while the fast ones (Zd+1 ; Zd+2 ; : : :) will
be given by algebraic relations. In uid mechanics applications, statistics on the slow modes
will be solutions of transport equations while statistics on the fast modes will appear as local
source terms.
Of course, this procedure will be successful if there exists a clear separation of scales be-
tween the integral time scales of the slow modes and of the fast ones. This was indeed the
case in the previous example and this allows to replace the fast modes by white-noise or
increments of Wiener processes. In the general case, there is no such clear-cut separation
and replacing the fast variables by white-noise terms appears as a less justiAed approxima-
tion. However, the interest of this principle is at least to provide a convenient and coherent
framework and to suggest in practice which variables have the ‘best chances’ to be replaced
by a model.
4.3. Example for typical stochastic models
A typical example of this reasoning is the historical case of a Brownian particle. This ex-
ample was already used in Section 3 to illustrate the pdf hierarchy with respect to increasing
one-particle state vectors. We can return to that case and go one step further by introducing
speciAc models following the general methodology above. The Arst and simplest description
retains only the position of the particle (that was Einstein’s point of view) and with that choice
of the state vector Zt =(Xt ), the particle velocity is an external variable and has to be eliminated
to obtain a closed model, as already explained in Section 3. When a large enough time step Qt
or d t is used, the particle velocity can be regarded as a fast variable and the resulting stochastic
model for Brownian particle location is expressed by
d Xt √
= Ut → d Xt = 2D d Wt : (99)
dt
That procedure implicitly assumes that the time scale of the particle velocity Ut , say TU , is
small with respect to d t. The corresponding pdf equation is a simple di8usion equation in
sample-space (identical to a heat equation)
9p 92 p
=D 2 : (100)
9t 9y
The correlation between successive particle locations is given by
Xt Xs = min(t; s) : (101)
In the Einstein’s picture, particle velocities do not exist. If this Arst picture is believed to
be too crude, one can include the velocity of the particle in the state vector that becomes then
Zt = (Xt ; Ut ) (Langevin’s point of view). Now, the particle acceleration At becomes an external
variable that has to be eliminated. The model proposed by Langevin is written as


 d Xt
 = Ut d Xt = Ut d t
dt
→ Ut √ (102)

 d Ut d U = − d t + K d W
 = At t
T
t
dt
and the corresponding pdf equation for p(t; y; V ) is
9p 9p 9 1 1 92 [Kp]
+V = Vp + : (103)
9t 9y 9V T 2 9V 2
The correlation between successive particle velocities is now given by
KT −(t+t )=T KT −|t−t |=T
Ut Ut = U02 e−(t+t )=T − e + e : (104)
2 2
When we consider times both long enough with respect to the initial time of the process, the
form of the correlation takes the simpliAed expression
KT −|t−t |=T
t; t T Ut Ut = e : (105)
2
This reveals that the time scale T used in the stochastic velocity equation is the time scale of
particle velocity correlations since
∞
−|s|=T
RU (s) = e and thus RU (s) d s = T : (106)
0
The Langevin model has better support if the acceleration can easily be replaced by a model.
In the case of a Brownian particle, the acceleration is due to the large number of collisions
with uid molecules. Due to the large inertia of the Brownian particle compared to the inertia
of uid molecules, we can select a time step which is small with respect to the time scale of
particle velocities and yet large with respect to the time scale of uid molecule velocities. The
motion of these molecules can thus be seen as a fast and purely random process. The total
action of the collisions is written as the sum of two contributions: a purely deterministic one
opposed to the Brownian particle motion and a purely random one expressed as a white-noise
process. For that precise example the complete form of the Langevin model is written with kB
the Boltzmann constant, : the friction coe@cient and ; the uid temperature as
d Xt = Vt d t ; (107)

d Vt = −:Vt d t + 2kB ;: d Wt : (108)
The Langevin model is really the archetype of stochastic processes for uid dynamical modelling
problems and will be extensively referred to in the next chapters. It is therefore important to
be aware of its physical justiAcation and, consequently, of its inherent limitations.
In the Langevin’s picture, one part of the particle acceleration is taken as a fast process and
replaced by a white-noise term. Consequently, information related to the acceleration is lost.
If such information is needed, or if acceleration cannot be seen as inAnitely fast, the same
procedure can be pursued by shifting the introduction of the necessary model to the time rate
of change of At . A useful model can be written as


 d Xt = Ut d t


Ut  Ut
At = − + <t → d Ut = − T d t + <t d t (109)
T 

 √
 d <t = − <t d t + B d Wt

$
Compared to Langevin’s model, it is seen that the white-noise term d Wt in the particle velocity
equation has been replaced by a ‘coloured noise’ which is a di8erentiable process, namely <t
simulated here as a simple Ornstein–Uhlenbeck √ process. This corresponds also to a non-local
closure. In the Langevin model, where < d t = K d Wt , the closure is local in time whereas in
the acceleration-based model
t √
−t=$ −t=$
<(t) = <(0) e +e B es=$ d Ws : (110)
0
The value of <(t) at time t depends upon the past values. In the acceleration-based model, the
process (Xt ; Ut ) is not Markovian anymore. The corresponding pdf equation for p(t; y; V; )
is now
9p 9p 9 1 9 9 1 1 92 [Bp]
+V = Vp − [p] + p + : (111)
9t 9y 9V T 9V 9 $ 2 9 2
Far from the chosen origin of time, the correlation between successive uid particle velocities
is expressed by
B$ T$ 1 $
U (t)U (t + s) = × × × e−s=T − e−s=$ (112)
2 1 + $=T (1 − $=T ) T
and the integral time scale of the uid velocities is equal to T + $.
Finally, it is also instructing to consider the interplay between these di8erent pdf descriptions.
In the last model, the pdf equation for p(t; y; V; ) is closed. From the knowledge of this pdf,
information concerning only particle location and velocity can be retrieved by integrating over
the extra variable <,

p(t; y; V ) = p(t; y; V; ) d ;
since p(t; x; V ) is simply the marginal of p(t; x; V; ). From the pdf equation for p(t; y; V; ),
Eq. (111), the equation satisAed by the marginal is readily obtained. The integration yields
9p 9p 9 1 9
+V = Vp − [<|(y; V )p] ; (113)
9t 9y 9V T 9V
where

<|(y; V )p(t; y; V ) = p<|(x; U ) ()p(t; y; V ) d (114)

= p(t; y; V; ) d (115)
=<(U − V )(X − y) : (116)

However, the pdf satisAed by p(t; y; V ) is now unclosed. To obtain a closed form requires to
express the mean conditional expectation of < by a function of (y; V ). In general, additional
information or assumptions must be input at that stage.
5. The physics of turbulence
In this section, we discuss the physics of single-phase ow turbulence. The core of the present
work is not directly devoted to this problem, but to the statistical properties of discrete particles.
However, since these discrete particles are transported and dispersed by the turbulence of the
carrier uid, their statistical properties are strongly in uenced or governed by the underlying
turbulent ow. It is then important to detail the physical characteristics of turbulent ows.
Turbulence is a very di@cult subject. It is also a subject where di8erent people may actually
be following di8erent objectives. Quoting Lesieur [3], this is a subject where people may
completely disagree (sometimes in violent terms) on what the problem is. In line with this
statement, the point of view adopted in this work is to follow a ‘middle-road approach’ between
a more theoretically-inclined point of view and a more engineering-inclined point of view. On
the one hand, this section does not claim to present a comprehensive overview of the physics
of turbulence and of all theoretical issues. On the other hand, some of these issues are not
swept aside on the grounds that they do not concern ‘engineering’ aspects of the problem. The
presentation remains as general as possible and, as such, this section is the last section devoted
to background issues (as well as Sections 2– 4). It provides a link with the following sections
which will be devoted to the developments of speciAc models.
With respect to these points, the precise aims of this section are
(i) to provide a background on the physics of turbulence and in particular on the classical
Kolmogorov theories and the concept of the energy cascade,
(ii) to describe speciAc results, such as Lagrangian statistics, that will be used in the develop-
ments of PDF models in the following sections,
(iii) to present and discuss some of the known deAciencies in the classical theories and to
introduce recent theoretical issues or results, such as small scale intermittency or coherent
structures. These points will help to clarify what will be captured by proposed models,
what is explicitly left out and also what could be captured by a certain formalism,
(iv) to try to somewhat reconcile theoretical and practical points of view by indicating how
some theoretical Andings or concepts could be used in approximate descriptions and then
in simple models,
(v) to emphasize the physical aspects of turbulence which make the problem inherently di@cult
to understand and to model in a satisfactory way.
The literature on the subject is immense and impossible to cite in detail. Complementary
aspects can be found in several textbooks on turbulence [3,5,25 –27] and in recent reviews
which provide up-to-date lists of references [28,1].
5.1. The turbulence problem
The starting point is provided by the Navier–Stokes equations supplemented with conservation
equations for a set of scalars. These are Aeld equations (the di8erent Aelds are density (t; x),
pressure P(t; x), velocity U(t; x) and scalars (t; x), where x represents the coordinates in
physical space)
9 9(Uj )
+ =0 ; (117a)
9t 9xj
9Ui 9Ui 1 9P 92 Ui
+ Uj =− + ; (117b)
9t 9xj 9xi 9xj2
9 l 9 92
+ Uj l = > 2l + Sl () : (117c)
9t 9xj 9 xj
The set of scalars is a compact notation that includes in a vector the mass fractions m: (: =
1; : : : ; Ns ) of the Ns species that compose the reactive mixture and the enthalpy (or the tempera-
ture T ) of the mixture, thus = (m1 ; : : : ; mNs ; T ). This allows us to express the equation of state
that gives the mixture density as a function of the scalars for low Mach number ows, where
pressure does not in uence density signiAcantly, as = (). The conservation equations for
the di8erent scalars involve reactive source terms, Sl for the species l, which depend upon the
whole set of species mass fractions and upon the enthalpy or temperature. With the general set
of scalars , the dependence of the source terms on the variables can be written as Sl = Sl ().
The basic equations are known. However, we are dealing here with fully turbulent ows. In
that case, it is known that the solutions of the Navier–Stokes equations exhibit uctuations over
a wide range of scales. It will be shown later on in Section 5.3, that the number of degrees
of freedom is of the order of Re9=4 for a Reynolds number Re that is typically 105 –108 . The
existence of such of wide range of scales, and of the acute sensitivity of turbulent ows to
small perturbations in initial and boundary conditions (which are never known absolutely) ex-
plain the search of a statistical description of turbulent ows. Turbulence is such a vast subject
that many di8erent objectives can be pursued. Broadly speaking, the ‘turbulence problem’ is the
search for a reduced statistical description. In particular, from a modelling point of view, the
‘turbulence problem’ is to come up with a tractable statistical model. This implies reasonings
in which statistical quantities are manipulated or compared. Of Arst importance for statistical
descriptions are the characteristic scales which are Arst deAned before going into the details of
Kolmogorov theory.
5.2. Characteristic scales
Integral time scales have already been introduced in Section 4 through the discussion of
simple di8usive behaviour. In this section, we deAne the characteristics time and length scales
which are of importance for turbulence modelling and, in the process, we introduce notations
that will be used in the rest of the paper.
In the statistical approach to turbulence, all variables (velocity, pressure, temperature, etc.) are
regarded as random functions or random Aelds. Yet, a fundamental aspects of turbulence with
respect to other random phenomena is that the values of each random variable (say velocity) at
di8erent locations or at di8erent times are not independent. They are usually correlated or, in
other words, turbulence has a non-zero memory. These non-zero memories are best quantiAed
by the use of the autocorrelation functions and of the corresponding integral scale.
In this section, we limit ourselves, for the sake of simplicity, to homogeneous isotropic
stationary turbulence. If we Arst consider a Lagrangian point of view, and record the successive
velocities in time of a marked uid element, say Ua (t), where the index a indicates that the
particle starts from location a at time t = 0, the autocorrelation coe@cient of the Lagrangian
uid particle velocity is then deAned as
Ua (t) Ua (t + s)

RL (s) = : (118)
u2
In this equation, u2 stands for the constant velocity variance. The autocorrelation coe@cient does
not depend on absolute times but on time di8erences since we are considering homogeneous
stationary turbulence. A typical form of RL (s) is shown in Fig. 3.
As already indicated in Section 4.1, the value of the autocorrelation coe@cient RL (s) for
a time lag s is an indication of the degree of correlation between the two velocities Ua (t)
and Ua (t + s). For small s, RL (s) 1 and the two velocities are strongly correlated while for
long enough time intervals, RL (s) 0 and the two velocities are nearly uncorrelated. A rough
measure of the time interval over which velocities remain typically correlated is the integral
Fig. 3. Typical form of the autocorrelation coe@cient.
time scale deAned as

+∞
TL = RL (s) d s : (119)
0
As shown in Section 4.1, this characteristic timescale is the key parameter for turbulent di8usion.
The deAnition of the integral time scale TL allows the notion of ‘long enough time intervals’
used above to be speciAed: a time interval s is long enough for the successive velocities to be
uncorrelated when s is large with respect to the integral time scale, sTL . Another scale can
be introduced as the curvature at the origin, see Fig. 3.
2
d RL (s) 2 s2
= − 2; RL (s) = 1 − 2 sTL : (120)
ds 2
s=0 # #
The Taylor scale, #, is the integral over which velocities are strongly correlated (that point will
be discussed again in Section 5.3 for spatial velocity di8erences). Since the process Ua (s) is
stationary, # represents also a measure of the acceleration variance. Indeed, we have
2
d Ua (s) d Ua (s ) 2
2 d RL (s − s) d Ua (s) 2 2 d RL (s) 2u2
= u ⇒ = − u = :
ds d s d s d s ds d s2 s=0 #2
(121)
The exact form of the autocorrelation coe@cient RL (s) does not play a role for the long-time
di8usive behaviour. However, for other concerns (in particular for the expression of x2 (t)
when t ∼ TL ), the shape of RL does play a role. Little theoretical information is available but
three requirements can be stated
|RL (s)| 6 1; RL (0) = 1; RL (∞) = 0 ; (122a)

d RL (s)
=0 ; (122b)
ds s=0

d 2 RL (s)
60: (122c)
d s2 s=0
Fig. 4. DeAnition of the longitudinal and transversal directions.
A simple form that is assumed is an exponential formula, RL (s) = exp(−s=TL ). For example,
this expression results from a Langevin stochastic model, see Section 4.3. It is obvious that this
expression does not respect the last constraints, Eqs. (122b) and (122c). Nevertheless, these
constraints are governed by the behaviour of RL (s) very close to the origin. Away from the
origin, the exponential form is acceptable and has been conArmed by both experimental and
numerical studies for the case of homogeneous turbulence [29 –31]. The question of the form
of the autocorrelation coe@cient and of the limitations of the exponential expression are taken
up again and discussed in Sections 6.8 and 7.5.3.
Similar reasoning can be applied to the Eulerian velocity Aeld. If we consider the velocities
at two di8erent locations and at two di8erent times, we can deAne the Eulerian space–time
correlation tensor as
RE; ij (r; t) = Ui (x0 ; t0 )Uj (x0 + r; t0 + t) : (123)
The space and time dependence are generally considered separately. We thus Arst deAne the
Eulerian tensor at the same point by
RE; ij (t) = Ui (x0 ; t0 )Uj (x0 ; t0 + t) : (124)
This directly introduces the Eulerian time scale which represents the memory of the turbulent
velocities seen by an immobile observer
+∞
2
TE; ij (x0 ) = u RE; ij (t) d t : (125)
0
In an analogous way, the spatial Eulerian tensor is deAned as the correlation between velocities
at the same time but at di8erent locations
RE; ij (r) = Ui (x0 ; t) Uj (x0 + r; t) : (126)
This is the quantity usually considered and most analyses are limited to the spatial correlation.
For homogeneous isotropic turbulence, the form of the tensor RE; ij (r) can be further developed.
Indeed, it can be shown that the only non-zero correlations are the correlations along the
longitudinal and transversal directions with respect to the separation vector r, see Fig. 4.
Fig. 5. Shapes of the longitudinal and transversal correlations.
In a general system of reference, the Eulerian tensor has the form

2 f(r) − g(r)
RE; ij (r) = u g(r) ij + ri rj ; r = |r| ; (127)
|r|2
where f(r) is the longitudinal autocorrelation coe@cient and g(r) the transversal coe@cient.
This relation results from symmetry conditions. Additional information is provided by dynamical
constraints. For example, the continuity equation implies that
9RE; ij (r)
=0 : (128)
9 ri
Application of Eq. (128) in isotropic turbulence yields the di8erential equation
r d f(r)
g(r) = f(r) + : (129)
2 dr
As for the Lagrangian velocity autocorrelation function, few requirements can be stated.
The conditions listed above for RL (s) are still valid and it can be shown that the transversal
correlation function g(r) must contain negative loops, since mass conservation across a plane
implies that
+∞
g(r) d r = 0 : (130)
−∞
On the other hand, experimental and numerical studies tend to suggest that the longitudinal
autocorrelation function f(r) does not present such negative loops. A sketch of both correlations
shapes is given in Fig. 5.
Numerical simulations support an exponential form for f(r) except in the vicinity of the
origin (as for RL (s)). Hence, f(r) and g(r) can be approximated by the relations
f(r) exp(−r=LE; ) ; (131a)

r
g(r) 1 − exp(−r=LE; ) : (131b)
2LE;
In these equations, LE; stands for the Eulerian longitudinal length scale deAned by
+∞
LE; = f(r) d r : (132)
0
Fig. 6. Sketch of the Kolmogorov cascade.
Similarly, a transversal length scale is introduced by

+∞
LE; ⊥ = g(r) d r : (133)
0
An important result is that, even in isotropic turbulence, the Eulerian tensor is not isotropic and
that correlations depend upon whether the longitudinal or transversal direction is considered.
The two length scales are related by LE; ⊥ = LE; =2.
5.3. Kolmogorov theory
Ever since their Arst formulation by Kolmogorov, the set of hypothesis that form what is
now referred to as the ‘Kolmogorov theory’ has been the cornerstone of turbulence modelling.
This picture or description of turbulence has indeed acquired a central role, acting as a refer-
ence theory in most analyses whether the point is to conArm its predictions or to pinpoint its
limitations. We limit ourselves to presenting only the salient points of the Kolmogorov theory,
and we emphasise mostly the applications that are of particular interest for the development of
Lagrangian stochastic models to be considered in Sections 6 and 7. A comprehensive presen-
tation of the Kolmogorov theory can be found in Monin and Yaglom [25], and the theory is
discussed in several textbooks on turbulence [5,3,27].
The Kolmogorov theory is a phenomenological description of turbulence based on the idea
of a cascade of energy from large to small scales through a range of what is called inertial
scales where energy is merely transferred to smaller scales without creation nor dissipation.
The Kolmogorov picture is one of quasi-equilibrium where + is assumed to represent at the
same time the rate of production of kinetic energy at the large scales, the rate of transfer in the
inertial range and Anally the rate of viscous dissipation at the end of the turbulence spectrum
though they are di8erent phenomena. It is represented in Fig. 6 where three di8erent ranges
have been separated: the production range (P.R.) where kinetic energy is produced by large
scale motions, the inertial range (I.R.) where kinetic energy is merely transferred to smaller
scales and the dissipative range (D.R.) where kinetic energy is dissipated into heat by viscous
forces.
If we call u a typical uctuating velocity, the characteristic large scales are expressed by
u3 u2
L∼ ; T∼ : (134)
+ +
The Arst hypothesis in the Kolmogorov theory is to say that, at high Reynolds numbers,
turbulence can be seen as locally isotropic at least for the range of scales ‘su@ciently’ far from
the large energy-producing ones. The local statistics of quantities belonging to that range, for
example velocity increments in space and time v($; r) = U(t + $; x + r) − U(t; x) relative to the
constant motion of one uid particle at the velocity U(t; x) (to have a Galilean transformation),
are actually independent of the reference velocity U(t; x) and are uniquely deAned by the two
parameters + and and the corresponding time and space increments ($ and=or r) which deAne
the local quantity itself. The characteristic scales at which viscous damping gets the upper hand
over turbulent uctuations are thus given from simple dimensional analysis by
3 1=4 1=2
@= ; $@ = : (135)
+ +
The ratios of the smallest to the largest scales can be expressed from the Kolmogorov scales
and from the relation for the integral length scale L given above in Eq. (134)
@
∼ Re−3=4 ; (136a)
L
u@
∼ Re−1=4 ; (136b)
u
$@
∼ Re−1=2 : (136c)
T
With the expression of the inner scales, the inertial range can now be deAned precisely as the
scales (r; $) such that with r = |r|
@r L; $@ $T : (137)
The second hypothesis states that in that inertial range molecular viscosity becomes irrelevant
and that statistics of U($; r) = v($; r) depend only on $; r and +.
Once the large and small scales have been introduced, we can give another description of
the energy cascade in a more quantitative way. If we already adopt an Eulerian point of view
(that will be pursued just below) and deAne eddies as ‘coherent’ turbulent motions localised in
a region of size r with characteristic velocities u(r) and time scales $(r), we can now express
these scales as functions of the large and small scales. The key notion is the idea of a constant
transfer of energy, + which implies that relations similar to Eq. (134) are valid not just for
the largest scales but at any scale r. This yields the following relations:
u(r) = (+r)1=3 = u@ (r=@)1=3 ∼ u(r=L)1=3 ; (138a)
$(r) = r=u(r) = (r 2 = +)1=3 = $@ (r=@)2=3 ∼ T (r=L)2=3 : (138b)

The Kolmogorov picture implies that, in the inertial range, the velocity scales u(r) and the time
scales $(r) decreases as we consider smaller and smaller scales r. Then, for a small enough
scale r, the time scales $(r) are small enough compare to the time scale of the large scale
motion $(L) ∼ L=u, so that these eddies can be regarded as fast processes or variables in the
spirit of the discussion in Section 4. Following the general discussion given in Section 4.2,
these small eddies will relax very rapidly to their equilibrium values while the large scale,
which are the energy-containing scales, have not changed very much and therefore while the
ux of energy remains approximately constant. This approximatively constant energy ux acts
therefore as an ‘external constraint’ for the small scales. We then obtain the physical notion of
the universal equilibrium range which is an important aspect of the Kolmogorov description.
Furthermore, in the cascade process and the intrinsically chaotic size-by-size production of
smaller eddies, directional information is lost and the resulting small scales are assumed to be
statistically isotropic. However, the consequence of the Kolmogorov theory is not as nice as it
would seem for the purpose of turbulence modelling and for most practical purposes. Indeed,
the universal behaviour which provides the main justiAcation for the search of a (universal)
model, is only valid for the small scales. Yet, most of the turbulent energy is contained in the
large scales or within a range of scales which are comparable with the integral length scale
re ∼ L. These scales have a size comparable to the geometry of the ow and are still very much
a8ected by the anisotropy of the ow. Furthermore, their characteristic time scale $(re ), which
is thus of the order of magnitude of the integral time scale T , is not small compared to the
time scale of the mean ow L= U . For example, in typical shear ows such as mixing layers
or shear ows, this characteristic time scale is actually four times higher than the mean- ow
timescale. These scales contribute mostly to transport phenomena but do not have a universal
form produced by statistical equilibrium. This simple conclusion illustrates the inherent di@culty
of practical turbulence models which often have to express the e8ects of these scales through
constitutive laws.
This Arst form of the Kolmogorov theory, published in 1941, is currently referred to as
K41 in the literature and this notation will be kept here. Before considering more in detail
speciAc applications, it is worth emphasising that Kolmogorov theory is essentially a Lagrangian
concept since predictions are made for Aelds relative to the motion of one uid particle, and
that predictions concern the form of N -point distributions in the four-dimensional space (x; t)
and include both space and time. Most presentations of Kolmogorov theory limit themselves to
space N -point distributions and leave out temporal issues. Yet, the predictions for correlations
in time of various quantities are of great importance for the Lagrangian models to be considered
in Sections 6 and 7.
5.3.1. Eulerian statistics of velocity diCerences

Kolmogorov hypotheses are mostly applied to space correlations, that is for the statistics of
Ur =v(0; r)=U(t; x +r) − U(t; x). Statistics often considered are the velocity–structure functions
deAned as
F n (r) = (Ur )n ; (139)
which can have di8erent forms depending on the orientation of the velocity component with
respect to the separation vector r (the longitudinal and transversal components), see Fig. 4.
When the separation distance lies within the inertial range, we can apply Kolmogorov hy-
potheses. First of all, since turbulence is locally isotropic, the results given in the previous
subsection still hold. The Arst-order moment is zero and the second-order tensor is expressed
with the help of the longitudinal and transversal correlations as in Eq. (127). We thus consider
separately the two Eulerian velocity structure functions along the longitudinal and transversal
directions, D and D⊥ , respectively. Kolmogorov theory predicts that when @r L
D = (U; r )2 = C(+r)2=3 ; (140a)
D⊥ = (U⊥; r )2 = 43 C(+r)2=3 ; (140b)
F3 = (U; r )3 = 45 +r : (140c)

The Kolmogorov prediction for the second-order moment is often re-expressed in terms of
the energy spectrum
(Ur )2 ∼ (+ r)2=3 (Ur )2 ∼ kE(k) ⇒ E(k) ∼ +2=3 k −5=3 ; (141)
leading to the famous expression of the energy spectrum (k is the wave number).
Eqs. (140) already indicate that relative velocities are not Gaussian since odd moments are not
zero. By the same reasoning, Kolmogorov hypotheses imply that the n-order velocity structure
function has the form
Fn (r) = (U; r )n = Cn (+ r)n=3 : (142)
The immediate consequence of Kolmogorov theory is that the non-dimensional structure factors
are independent of the separation distance r and are universal constants
Fn (r) (U; r )n
fn (r) = 2 = = :n : (143)
(F (r))n=2 (U; r )2 n=2
An important consequence of the above scaling is that the probability distributions of the nor-
malized (with unit variance) variable U; r =(+ r)1=3 should not depend on the scale r when r
lies in the inertial range and should be universal.
Finally, the form of the second-order moments in the inertial range can be used to bring out
another signiAcation of the Taylor length scale, #. From the deAnition of the rate of dissipation
of the turbulent kinetic energy,

9U 2
+ (144)
9r
and the relation between the variance of the velocity derivative and the Taylor scale, see
Eq. (121), we have + ∼ u2 =#2 and thus that # ∼ L1=3 @2=3 . From this, we can show that # can
be regarded as the averaged length scale of strong correlations when velocities are rescaled to
u. Indeed, we have that Ur2 ∼ (+ r)2=3 and thus the dissipation of turbulent kinetic energy at
that scale by viscous forces is
Ur2
+r = +2=3 r −4=3 : (145)
r2
When the turbulent kinetic energy and its dissipation at r are re-scaled we have
Ur2 r 2=3 +r @ 4=3
; : (146)
u2 L + r
The scale at which the relative quantities are of the same order is thus r ∼ L1=3 @2=3 that is when
r = #.
5.3.2. Lagrangian statistics of ;uid particle velocity increments

The Kolmogorov theory can also be used to predict the more general statistics of the Aeld
v (which is in spirit a relative Lagrangian velocity Aeld), and for Lagrangian statistics of a
uid particle. Direct application reveals that, if one considers time intervals d t in the inertial
range $@ d t T , the successive velocities U (t) and U (t + d t) are strongly correlated. Indeed,
we have
d UL = U (t + d t) − U (t) = v(d t; 0) ⇒ (d UL )2 ∼ C0 + d t ; (147)
where C0 is a constant. This implies for the velocity autocorrelation function DL (d t) that
U (t)U (t + d t) DL (d t) C0 d t
DL (d t) = ∼1− ∼1− ∼1: (148)
u2 2u2 2 T
For the statistics of uid particle acceleration A(t), the same hypotheses yield that
+ +
A(t + d t)A(t) ∼ ; A2 ∼ (149)
dt $@
which implies for the acceleration autocorrelation function RA (d t) that
A(t + d t)A(t) $@
RA (d t) = ∼ 1 : (150)
A
2 dt
Consequently, for a given reference time scale d t which belongs to the inertial range, the
successive uid particle accelerations are nearly uncorrelated while their velocities are still well
correlated. In the spirit of the discussion of Section 3, we can conclude that the uid particle
acceleration can be regarded as a fast variable. The Kolmogorov theory suggests therefore that
the uid particle acceleration is close to a white-noise process (its spectrum is constant in the
inertial range EA (!) ∼ + where ! is the frequency). This is a crucial result for the development
of stochastic models either in the single-phase ow case, for uid particles in Section 6.6, or
in the two-phase ow case in Section 7.4.2.
5.3.3. Statistics of temporal velocity increments

The Kolmogorov theory can actually be applied to numerous variables either of a Lagrangian
or an Eulerian form. This includes the statistics of temporal velocity increments which are
important, the statistics of pressure correlations, vorticity, etc. They are discussed at length in
the reference textbook of Monin and Yaglom [25].
Since the results of Kolmogorov predictions for temporal velocity increments will be used for
two-phase ow modelling in Section 7.4.2, they are brie y presented here. For temporal velocity
increments, one is interested in obtaining the statistics of the Eulerian velocity di8erence at a
Axed point x0 at two instants t0 and t0 + $. For small time intervals $, this velocity di8erence
can be expressed in terms of the velocity Aeld v deAned in the reference system moving with
velocity U (t0 ; x0 ) as
U$ v(−U (t0 ; x0 )$; $) : (151)
However, the situation is in fact more complicated than for the Eulerian increments or La-
grangian di8erences considered before. Indeed, the variable U$ depends explicitly on the ref-
erence velocity U0 = U (t0 ; x0 ). Therefore, applying Kolmogorov theory, one can only conclude
that there is a conditional probability distribution for U$ . For a given value of U0 , the tensor
D∗ = Ui; $ Uj; $ depends on the two functions D∗ and D⊥ ∗ which correspond to the longitudinal
and transversal directions, as in Eq. (127). These two functions depend on $ and on r = U0 $
and in the inertial range for ($; r) we have

∗ |U0 |2 ∗ |U0 |2
D = + $ : ; D⊥ = + $ :⊥ ; (152)
+$ +$
where : and :⊥ are universal functions which have to be speciAed. The dependence on U0
and the conditional nature of the previous results can be removed by resorting to the Taylor,
or frozen turbulence, hypothesis. In this hypothesis, it is assumed that the turbulent uctuations
are much smaller than the mean velocity, or U0 U0 . Then, the turbulent uctuations at
a Axed point and over the time interval $ can be regarded as the transport of the turbulent
uctuation with a constant velocity U0 without distortion. This frozen-turbulence assumption
not only removes the dependence on U0 , but allows to write the statistics of U$ in terms of
the velocity structure-functions derived for the Eulerian space increments in Section 5.3.1 by
replacing r by U0 $. This leads to
D∗ = D (U0 $) ; ∗

D⊥ = D⊥ (U0 $) (153)
and thus in the inertial range to
D∗ = C(+U0 $)2=3 ; ∗

D⊥ = 43 C(+U0 $)2=3 : (154)
5.4. DiIculties and re?nements
5.4.1. High-order statistics

Quickly after the publication and di8usion (through Batchelor’s work) of Kolmogorov hy-
potheses, measurements were performed on particular velocity statistics. The statistics that were
measured, and that have been repeatedly analysed are the atness and skewness factors of ve-
locity derivatives. The skewness and atness factors are the third and fourth moments of the
velocity spatial derivatives. For the case of the gradient of the longitudinal velocity component
along the longitudinal direction, say 9U1 = 9x1 , these factors are deAned by
(9U1 = 9x1 )3 (9U1 = 9x1 )4
S= ; K= : (155)
(9U1 = 9x1 )2 3=2 (9U1 = 9x1 )2 2
They are just special cases of high-order velocity-derivative moments which are expressed by
(9U1 = 9x1 )n
Mn = : (156)
(9U1 = 9x1 )2 n=2
According to Kolmogorov theory, for each value of n; Mn is a universal constant. In particular,
Kolmogorov theory predicts therefore a constant value of S and K regardless of the Reynolds
number above a possible threshold since Kolmogorov theory is applicable for high-Reynolds
ows. The early measurements were performed by Townsend in 1947 and are reported in
Batchelor [32]. Since then, additional data have been gathered by numerous researchers both
experimentally and numerically. Experimental data collected in the atmosphere are already dis-
cussed in Monin and Yaglom [25] and further results have been obtained in laboratory ows.
Data were compiled in Van Atta and Antonia [33] and are discussed more in detail in the
recent review of Sreenivasan and Antonia [28]. With the recent development of DNS, similar
results have also been found in numerical simulation [34]. All the results indicate that, contrary
to Kolmogorov predictions, the skewness (actually −S which is a positive number) and atness
factors increase with the Reynolds number apparently without reaching a limit value. Measure-
ments show that the atness increases from K ∼ 4 at low Reynolds number (for Re# ∼ 40
in grid turbulence) to K ∼ 40 at high Reynolds number (for Re# ∼ 104 in the atmospheric
boundary layer) and still seems to increase with higher Re# . A similar trend is observed for −S
although the rate of increase as a function of the Reynolds number is slower.
Similar discrepancies arise, not just for high-order statistics governed by scales in the dissipa-
tive range, but also for statistics pertaining to the inertial range. We have seen that in the iner-
tial range, Kolmogorov theory predicts that the n-order velocity structure functions are given by
Eq. (142), and therefore that F n (r) scales as r 2=3 when r belongs to the inertial range. High-order
statistics have been measured in detail by Anselmet et al. [35] and have been since then con-
Armed by numerous works (see the discussion in the review of Sreenivasan and Antonia [36]).
Measurements conArm the power-law scaling in the inertial range, that is F n (r) ∼ r −Cn , but
the measured exponents Cn di8er from the Kolmogorov values showing a slower increase of Cn
with n than predicted by Kolmogorov theory with a marked di8erence from n ¿ 5. The scaling
exponents Cn are called anomalous exponents.
5.4.2. Intermittency
The discrepancies between Kolmogorov predictions and experimental Andings for high-order
statistics of velocity increments are mainly attributed to the phenomena of internal intermittency.
Indeed, Kolmogorov theory was rapidly questioned by a remark which is believed to have been
Arst formulated by Landau (see [5]). In the K41 picture, the energy transfer (taken as identical
to the dissipation rate in the equilibrium range, see Fig. 6) was assumed to be given by the
mean dissipation rate +. However, the dissipation rate is directly expressed in terms of the
velocity Aeld as

9ui 9uj 2
+= + : (157)
2 9xj 9 ui
Therefore, + is also a random variable which uctuates around its mean value +. These uc-
tuations may depend upon the Reynolds number and involve large scales. As a consequence,
statistics in the inertial range may depend on large scales and thus are not universal. For ex-
ample, if we consider that + takes di8erent values in di8erent regions, we can apply the K41
statistical results based on the value of + that exists in each region. Since the structure functions
are not linear functions of + (with the exception of the third-order moment which is thus a
quantity on which intermittency has no e8ect), it is obvious that the averaged (on the di8erent
regions) result di8ers from the global one built on + since
F n (r) = Cn +n=3 r n=3 = Cn +n=3 r n=3 when n = 3 : (158)
One can note that the distribution of the dissipation rate + does not contradict the existence
of power laws in the inertial range but rather the universal nature of the constants that appear
in Eqs. (142) and (143). In 1962, Kolmogorov (as well as Obukhov) proposed the so-called
re?ned similarity hypotheses, referred to as K62. They basically consist in stating that the
statistical laws of K41 remain valid but should be regarded as conditional results for a Axed
value of + in a small time–space domain V(t; x) centred around the point x where statistical
laws are expressed, that is for +r deAned as

3
+r (t; x) = +(t; x + r) d r : (159)
4(r 3 V(r)
Averaged results are then derived by integrating the conditional results for all possible values
of the dissipation rate +r . For example, the reAned hypotheses predict that the Eulerian velocity
structure functions are given by
(Ur )n |+r = + = Cn (+r)n=3 (160)
with Cn a universal constant. The unconditional structure functions are then obtained as
F n (r) = (Ur )n = T(Ur )n |+r = +U = Cn +n=3 r n=3 : (161)
The reAned hypotheses introduce the probability distribution of +r (or equivalently of spatial
derivatives) in the picture. Furthermore, from Eq. (157), it is clear that + is a small scale
variable and that + and +r are mainly determined by small-scale behaviour. Thus, even though
similar expressions are obtained in the K62 theory, the overall picture di8ers slightly from the
one-way cascade (from the large to the small scales) in K41: small scale statistics are determined
from the +-distribution which in turn results from small scale behaviour. To work out global
results, this probability must be input. The earlier measurements by Townsend and reported in
Batchelor [32] (see the discussion in Section 5.4.1) indicated that small scales deviate from
Gaussianity and, as already presented, all subsequent studies have conArmed this trend. The
typical pdf that has emerged for small scale quantities has a typical feature: a higher central
core and tails which decrease far less rapidly than for the Gaussian distribution (this point is
taken up in the next Section 5.5). The deviation from Gaussianity is expressed in terms of
an intermittent factor (through the measured atness factor) which can be seen as the fraction
of zero and non-zero values. This corresponds to an uneven spatial distribution of small scale
quantities: turbulence activity tends to concentrate in conAned parts of the ow (meaning locally
a high dissipation and the existence of smaller scales) surrounded by more quiescent regions.
This intermittency becomes more and more marked as the Reynolds number is increased and
is therefore related to the non-Gaussian character of small scales and the scale dependence of
the probability distribution of Ur .
In order to take intermittency into account, Kolmorogov proposed in 1962 a third hypothesis.
It is assumed that +r = + is a uctuating quantity which is a function of r=L, and by making the
same assumption for r = @ that += + is function of @=L. More precisely, Kolmogorov assumed
that +r (and thus +) is log-normally distributed with a variance given by

2 L
ln(+r ) = A + D ln : (162)
r
The log-normal distribution is the natural distribution for the result of a cascade process with
multiplicative noise. In the reAned picture K62, the probability distributions of the normalized
velocity increment U; r =(+r)1=3 ) are no longer universal, but we still expect power-law scaling
for the structure functions. Indeed, by using the log-normal assumption of +r the Eulerian
velocity structure functions F n (r) scale as F n (r) ∼ r −Cn with scaling exponents given by
1 1
Cn = n 1 − D(n − 3) : (163)
3 6
For the second-order structure function, say for the longitudinal function D (r), the correction is
very small since the new exponent is now C2 = 2=3 + 1=36 and thus di8ers from K41 prediction
only by 1=36. Similarly, the modiAcation to the −5=3 law of the energy spectrum E(k) in the
inertial range is minor. When compared to measured scaling exponents, the reAned predictions
perform better than the original K41 ones [35] and acceptable agreement is obtained for values
of n up to 10. For higher-order exponents, K62 values depart from measured ones, indicating
that the reAned turbulence theory can only claim to be an approximate description (but still
a very reasonable one) and is not the ultimate theoretical word on turbulence. In spite of
known theoretical deAciencies [5], the reAned hypotheses have rather well come out of recent
tests, both experimentally [28] and numerically [37].
So far, the discussion on intermittence has mainly been focused on Eulerian statistics such as
the (Eulerian) velocity structure functions F n (r). However, intermittence a8ects also Lagrangian
statistics, and these e8ects are particularly relevant to the present work since the Lagrangian
point of view will be central in the development of pdf models. In the Lagrangian formalism,
the pressure Aeld, or more precisely its gradient, plays an important role. Indeed, by writing
the Navier–Stokes equation for a uid particle
d Ui (t) 1 9P
ai (t) = =− + QUi ; (164)
dt 9xi
it is seen that the pressure Aeld is closely related to the uid particle acceleration statistics. The
pressure is given by a Poisson equation
9Ui 9Uj
QP = − ; (165)
9xj 9xi
which shows that pressure is a8ected by large and small scales. Lagrangian statistics are much
more di@cult to measure experimentally and less data is available. Results have nevertheless
been obtained [25,38]. Valuable information and insight have come from recent direct numerical
simulations [29,39]. These results have also brought out discrepancies with the K41 description
of turbulence statistics. According to Kolmogorov K41 predictions, the acceleration variance
varies as
a2 = a0 +3=2 = 1=2
(166)
with a0 being a constant. Yet, in the DNS results of Yeung and Pope [29], it is reported that
acceleration variance increases with the Reynolds number Re# as
a2
∼ Re#1=2 : (167)
+3=2 = 1=2
This is due to intermittent e8ects, but Kolmogorov reAned hypothesis leads to a variation of a0
as a0 ∼ Re#D3=2 which is weaker than the one observed. The Re#1=2 scaling has been conArmed in
another analysis of DNS results [39] where it is also found, for Re#1=2 up to 172, that (∇P)2
scales as Re#1=2 .
These issues, of anomalous scaling, small scale intermittency, and thus of intermittency mod-
els, have received considerable attention and remain a major issue in most theoretical work.
Detailed information and guidelines into the related vast literature on this speciAc subject can
be found for example in recent reviews [1,28,40] and in textbooks [5]. Recent developments in-
clude for instance multi-fractal formalism [5], ESS (extended self similarity) [41] or log-Poisson
statistics [42] among other models.
5.5. Experimental and numerical results
Analysis and tests of Kolmogorov predictions were not limited to determining the scaling
exponents. These exponents are of key theoretical importance but of less interest in the prac-
tice of modelling purposes. The di8erent investigations have also helped to bring out useful
information on the pdf of various quantities, both of large and of small scales. These results
have been obtained from experiments [25,43– 45] and from numerical simulations [46,47,29,39]
which have been particularly useful for small scale quantities and for Lagrangian variables.
5.5.1. Experimental and numerical results on distributions

We present Arst one-point velocity pdf, then velocity derivative and velocity increment dis-
tributions, and results for pressure-gradient pdfs.
Velocity distribution. First of all, both experimental and numerical approaches have well con-
Armed that, for homogeneous turbulence, one-point velocities have a Gaussian distribution [46].
The normal distribution is the natural reference for systems with large numbers of degrees of
freedom as a consequence of the Central Limit Theorem. Batchelor showed in 1953 [32] that
the Gaussian nature of some band-limited eddies is equivalent to the independence of their
Fourier coe@cients over the corresponding wave number band. The distribution of one-point
velocity involves the whole spectrum. Yet, we have seen that the energy contained in each band
(or the energy density E(k)) and thus that the pdf re ects mostly the large scale behaviour.
These scales are excited by uctuations of boundary conditions which are not controlled and
it is therefore not too surprising to And an error law distribution. Another way to describe this
result is to say that the large scales do not exhibit (internal) intermittency. This is not the case
of free shear ows, such as jets or mixing layers, which are known to be intermittent even on
the large scale. However, this intermittency results from the mixing of a turbulent core with
Fig. 7. Typical forms of the distributions of velocity increments X = Ur for decreasing values of the separation
distance r: of the order of L (D), in the inertial range (C) and (B) and in the dissipative range (A). The curve
(A) is identical to the distribution for velocity gradients.
laminar surroundings and is thus due to external forcing or conditions (this intermittency is
referred to as ‘external intermittency’). For homogeneous turbulent ows, external intermittency
is mainly absent, though this does not mean that large scale structures cannot be found (see
below). The Gaussian nature of the large scale part of one-point velocity in homogenous ows
was well demonstrated by She et al. [47]. The authors used a Fourier band Altering method to
isolate and quantify deviations from Gaussianity of separate ranges (large, inertial and dissipa-
tive ranges). They found that not only the full velocity Aeld, but also the ‘inertial’ velocity Aeld
follow a Gaussian distribution [47] whereas the velocity Aeld corresponding to the dissipative
range displays deviations from Gaussianity with near exponential tails.
Velocity derivative distribution. The situation is quite di8erent for velocity derivatives since we
are now dealing with the other end of the spectrum (velocity gradients are mainly governed
by small scale quantities). All available results, from the early experiments [43] to recent
simulations [34], indicate that distributions of velocity gradients or derivatives deviate strongly
from Gaussian pdfs. As already indicated in Section 5.4.2 the observed distribution is closer to
an exponential law for the tails of the distribution and has a central core with higher probability
compared to Gaussian values. When the separate contributions of di8erent energy ranges (large
scale, inertial or dissipative) are studied [47], the resulting distributions conArm that velocity
gradients are indeed small scale phenomena since the distributions for the full Aeld and for the
dissipative range show similar behaviour whereas the distribution obtained for the velocity Aeld
corresponding to the inertial range is nearly Gaussian.
Velocity gradients are actually special cases of velocity increments Ur (when r → 0), so
it is useful to consider the distributions for Ur when r varies from the large scale down to
Kolmogorov scales. The outcome is that the distributions vary continuously from a Gaussian
law when r is of the order of the large scales to the near-exponential pdf characteristic of
velocity gradients when r → @. This is illustrated in Fig. 7 which has been observed in many
experiments and simulations [35,44,46,34].
Similar behaviour has been observed for the velocity increments in time of a uid particle
QU$ (t) (a Lagrangian quantity) by Yeung and Pope [29]. For time lags which are large enough,
that is large with respect to Kolmogorov timescale ($$@ ), the distribution is Gaussian. When
smaller time lags are considered, the distributions change continuously showing an increasingly
non-Gaussian behaviour and when $ $@ the distribution presents the typical form known for
9U= 9t ever since the early measurements of Van Atta and Chen [43].
Pressure and small scale invariants. Analysis of the distributions of the one-point pressure
has shown a non-symmetric pdf [48,39]. For positive uctuations, the distribution appears to
be Gaussian and rather insensitive to variations of the Reynolds number Re# . For negative
uctuations, the form of the pdf tends towards an exponential distribution (or perhaps stretched
exponential) and the tails of the distribution extends to larger negative values as the Reynolds
number increases. The pdfs for pressure-gradients have been computed by Gotoh and Rogallo
[39]. The resulting pdfs are isotropic and have the same form as velocity gradients or small
scale quantities. The distributions di8er markedly from the Gaussian one and have exponential
tails (or stretched exponential forms). Therefore, the pressure-gradient Aeld appears to be very
intermittent with a variance that increases with Re# as already indicated in Section 5.4.2.
Three small scale invariants can be formed from the tensor of the velocity gradients Gij =
9Ui = 9xj . By introducing the symmetrical Sij and anti-symmetrical tensors Rij

1 9Ui 9Uj
Sij = + ; (168)
2 9xj 9xi

1 9Ui 9Uj
Rij = − ; (169)
2 9xj 9xi
we can deAne the three invariants
s2 = 2 Sij2 = 2 Tr(SS ⊥ ) = 2 Tr(S 2 ) ; (170)
!2 = 2 R2ij = 2 Tr(RR⊥ ) = −2 Tr(R2 ) ; (171)
g2 = Gij2 = Tr(GG ⊥ ) : (172)

These invariants are directly related to dissipative quantities since
+ = s2 mechanical dissipation ;
C = !2 enstrophy ;
’ = g2 pseudo-dissipation : (173)
In homogeneous turbulence, the mean values of these dissipative quantities are identical
+ = C = ’. Then, by manipulating matrix identities, it can be shown that +; ’ and C satisfy
the relations
1
’ = [+ + C] ; (174)
2

9Ui 9Uj
+−’= : (175)
9xj 9xi
Kolmogorov reAned hypotheses (K62) assumes that small scale quantities follow log-normal
distributions. That hypothesis is often tested by calculating the pdf of the total or mechanical
dissipation +, for which the agreement with log-normality is moderate [46,37]. However, in an
interesting analysis, Yeung and Pope [29] showed that the distributions of the three small scale
invariants +; ’ and C were not identical. It was found that while the pdfs of + and C di8er
from the log-normal pdf, the pdf of the pseudo-dissipation ’ on the other hand is very close
to being log-normal [29]. This could be related to the di8erent physical meanings of the small
scale invariants (see below and Section 5.6.2).
Along the same line, a very interesting analysis of conditional pdf of velocity increments
was proposed by Gagne et al. [45]. Using experimental data, the authors showed that when
conditional velocity increments U (r)|+(r) = +0 are considered, then the observed distributions
are Gaussian regardless of whether the separation distance r lies in the inertial range or in the
dissipative range. This result was obtained only when +(r) is deAned as the energy transfer
rate and not as the energy dissipation rate. From the results of Gagne et al., it appears that
intermittent non-Gaussian statistics can be attributed essentially to uctuations of the energy
transfer rate. A strong point is that universal Gaussian behaviour can be obtained from quantities
that essentially represent energy transfer rate and not energy dissipation rate (though the two
have identical mean values).
5.5.2. Spatial structures

The presentation and the discussions developed up to now in this section have followed
the statistical approach to turbulence. Since the early developments and Kolmogorov theory
in particular, this statistical description has been the point of view mainly adopted. Yet, other
points of view are possible, among which an interesting one is the geometrical approach. In this
approach, one attempts a geometrical description of turbulent ows as a collection of spatial
structures. The underlying aim is to try to isolate elementary structures that would play for
turbulent ows the role of molecules in classical statistical physics.
This point of view was really initiated when it was realized that large structures can exist in
turbulent ows, in particular in free shear ows such as mixing layers [49]. These structures
are, however, large scale structures strongly related to the geometry of the ow and to external
forcing. It is then di@cult to come up with a universal theory for them. Another impetus
for the geometrical approach was given by the discovery of the existence of typical small
scale structures which are the result of Navier–Stokes dynamics and may present universal
characteristics. These small scale structures have been mostly revealed by direct numerical
simulations which have proved invaluable tools for their analysis [50,34,51]. Recent experiments
have supported their existence and have helped to assess their characteristic features [52,53].
It was found that intense events related to small scales, especially small scale vorticity, were
not evenly and randomly distributed in the ow domain, but organized in the form of vortex
Alaments. These Alaments are also referred to as vortex tubes or worms. The analysis of these
objects is still going on since open questions remain (see the discussion in the introduction of
the article by Jimenez and Wray [51]). We simply summarize here present knowledge, drawing
in particular from the work of Jimenez and coworkers [34,51]. These authors have tried to
determine the statistical properties of these geometrical objects. From the recent analysis of
DNS results [51], it appears that
• a turbulent ow contains small scale intense structures which have the form of long tubes,
• these tubes have a radius of the order of the Kolmogorov length scale @ and a length of the
order of the integral length scale L,
• the internal velocity di8erences within the tubes scale as u the large scale characteristic
velocity uctuations,
• the tubes occupy a volume fraction which seems to scale as Re#−2 (or at least as Re#a with
a ∼ 2).
Other typical properties can be deduced from the ones above. The typical vorticity of the tubes
scale as
u u # #
!∼ = = ! ∼ !Re#1=2 (176)
@ # @ @
with ! being the rms magnitude for the ow as a whole. With respect to the existence of these
tubes, the key questions are: how relevant are they for the dynamics of the ow? What role do
they play in the energy budget? How are they related to intermittency? For these purposes, the
crucial step is the evaluation of the volume fraction :vt occupied by the vortex Alaments. From
the estimation that :vt ∼ Re#−2 , it appears that the vortex tubes give negligible contributions
to the kinetic energy as well as to the total dissipation and the total enstrophy of the ow.
In terms of statistics, the e8ects of the vortex Alaments on velocity gradient statistics and on
velocity structure functions are negligible for low-order statistics (say for n 6 4) but dominant
for high-order statistics (n ¿ 4), as discussed in the conclusion of Jimenez and Wray [51].
The interesting conclusion of these works is that the observed deviations of high-order statis-
tics from Kolmogorov predictions could be attributed to the existence of special small scale
intense structures, such as vortex Alaments.
5.6. Simpli?ed images of turbulence and Lagrangian models
In this subsection, we put forward a simple description of turbulence and we present a

Lagrangian point of view in which turbulence is addressed as a N -particle problem. The de-
scription tries to include some of the recent ideas or Andings on turbulent ows while remaining
simple enough so that tractable models can be derived (or justiAed) from it. This somewhat
crude image is therefore meant as a compromise between the complexity of some advanced the-
oretical concepts in turbulence and the necessary simpliAcations inherent to most models. The
purpose of this subsection is to show how some of these concepts can be used even for mod-
elling issues and also to introduce a Lagrangian modelling point of view that will be adopted in
the following sections. As such, this subsection provides a link between the theoretical-oriented
presentation of the physics of turbulence and the modelling-oriented issues that will be addressed
in the rest of this paper.
5.6.1. A two-fold picture of turbulence

We have seen that most of the di@culties in the theory of turbulence (in particular in Kol-
mogorov theories) come from the phenomena of small scale intermittency. Intermittency is
responsible for the deviations of statistics from Gaussianity and can be seen as a manifestation
of an underlying order in turbulent ows. The recent developments described in Section 5.5.2
have revealed that this order could be related to intense vortex Alaments. Of course, these vor-
tex tubes are just one of several typical structures that are bound to exist in turbulent ows.
They correspond to the most intense small scale vorticity events and it is quite probable that
there exists a whole range of structures with di8erent properties. Yet, they suggest the following
model picture of turbulence. In this simple image, turbulent ows are described as being made
up by the presence of two completely di8erent regions
(a) a random and structureless background which occupies most of the ow (its volume fraction
:bg is very close to one). In this random background, correlations between small scales
quantities at di8erent locations, such as !2 (x)!2 (x + r), are small and the overall statistics
are well described by Kolmogorov K41 theory (or perhaps K62 reAnements).
(b) a collection of intense vortex Alaments which occupy only a very small volume fraction
(of the order of Re#−3=2 or Re#−2 . These vortex tubes correspond to regions of strong spatial
correlations and are responsible of the deviations of high-order moments from Kolmogorov
predictions.
In that simple picture, it is for example assumed that the anomalous Re#1=2 scaling of the
variance of the pressure-gradient terms is mainly due to the contributions of the intense coherent
structures.
5.6.2. A Lagrangian point of view

From this point of view, we consider turbulent ows as being made up by a large number
N of ‘ uid particles’. This corresponds already to a discrete vision of a turbulent ow rather
than a continuous one. This point of view is a statistical one in which one tries to describe
the N -point pdf and from it the discrete approximation of statistical quantities. Each particle
can be thought of as having the same mass for the sake of simplicity and have location xn
and velocity Un . The N di8erential equations that give the evolution in time of the Lagrangian
properties are written from the Navier–Stokes equations as
d xin
= Uin ; (177)
dt
d Uin
= Fp + Fv ; (178)
dt
for n = 1; : : : ; N and where Fp and Fv stand for the pressure-gradient and the viscous forces,
respectively,
1 9P
Fp; i = ; Fv; i = QUi : (179)
9xi
The pressure-gradient and viscous terms that enter the time evolution equation for one particle
labelled n depend upon the values of all other particles, so the set of equations describes
indeed a coupled N -particle problem. From Kolmogorov theory, we know that Fv is actually
a short-range force whereas Fp is a force which has both short- and long-range e8ects. The
pressure-gradient force is a crucial term, particularly in a Lagrangian formalism since it connects
even widely separated particles. This can be further brought out by reformulating the Poisson
equation satisAed by P, Eq. (165). Using the three small scale invariants, +, ’ and C deAned
in Section 5.5.1 and the relations given in Eqs. (174), we can write

QP = (’ − +) = (C − +) = (180)
and by inversion of the Poisson equation, the pressure-gradient force is given by

1 1
Fp = − (t; y) d y : (181)
4( |x − y|2
This formulation reveals an interesting analogy with classical electrostatic. It is seen that
the uid particle interact through Coulombian elementary forces where plays the role of the
electric charge. At each point, and thus for each particle, the di8erence between the enstrophy
C and the mechanical dissipation + creates a non-zero charge at that point. When the enstrophy
is in excess over the mechanical dissipation, the charge is positive and this leads to attractive
forces between the particles. It is thus seen that stable coherent structures must correspond to
low-pressure events (or points when QP ¿ 0) and to high vorticity regions, which are indeed
found in the vortex Alaments.
The particle or Lagrangian point can help to clarify the di8erent meaning between the three
small scale invariants. If we consider the total energy W received by a particle as the result
of the work performed by the surface forces acting on that particle (nj is a normal unit vector
directed outward)

9
W = Ui $ij nj d S = (Ui $ij ) dV ; (182)
S V 9xj
where $ij is the stress tensor

9Ui 9Ui
$ij = −Pij + + : (183)
9xj 9xj
The total work (per unit mass) is thus given by the sum of two contributions
DUi
W = W1 + W2 = Ui + +: (184)
Dt
The Arst term, W1 represents the change of kinetic energy of the particle while the second
term, W2 represents the change of internal energy of the particle. We have therefore that
W = ’ + + ; (185)

QP = [’ − +] : (186)
which suggests that ’ and + do not play the same physical role: + is the rate of increase of a
particle internal energy while ’ (actually the di8erence with +) appears as the rate of energy
transfer between uid elements of particles. This could be related to the observed di8erent
distributions of these invariants in homogeneous turbulence as discussed in Section 5.5.1.
Fig. 8. Sketch of the force created by one particle on other uid elements.
It may be instructive (and perhaps also amusing) to re-derive usual Kolmogorov estimations
from this Lagrangian point of view. For this purpose, let us evaluate the energy transfer through
the work performed by the pressure-gradient force. We consider one particle, which has a small
volume, say V0 an associated charge 0 , a characteristic velocity u0 and a typical length d0 .
These ‘particles’ which are in fact small uid elements having a certain coherence are not
stable. They are subject to viscous stabilizing e8ects which act with a typical time scale of
the order of $v ∼ d2 = and to perturbation which act with a typical time scale of the order
$p ∼ d=u. Particles are only stable when $p 6 $v , that is when the Reynolds number based on
the particle length d is less than one. In other words, particles are only stable when d ∼ @.
We therefore associate to each particle a characteristic lifetime, say $(d). The single particle
that we are considering (and which is labelled with the index 0) creates a force on all uid
elements, see Fig. 8.
The force density at the distance r from the reference particle is given by
1
f(r) = − 0 V0 (187)
4(r 2
and a small volume element dV around the point M is subject to the force
d F(r) = f(r) dV : (188)
The small volume element will then have a typical velocity induced by the force created by
the reference particle, say u(r) that we can write as
u(r) = f(r) $0 ; (189)
where $0 is the characteristic time during which the force will be applied on the small volume
dV at location M. The work performed by the force is
d P = d F(r) u(r) = T0 f(r)2 dV (190)

and the total work, or in other words the total energy lost by the reference particle labelled 0
per unit mass becomes
∞
1 1 1
W= P= T0 02 4 V0 4(r 2 d r : (191)
V0 d0 (4()2 r
We then obtain the simple expression of the energy transfer rate for a given uid particle
(and dropping now the label 0)
W ∼ $(d) d2 2 : (192)
Since the ‘charge’ is also expressed by = !2 − s2 by Eqs. (174) and (180), we can write
W ∼ $(d) d2 !4 : (193)
The simplest estimation for ! and $(d), for particles with a typical length greater than the
Kolmogorov scale, are
u d
!∼ ; $(d) ∼ : (194)
d u
This yields that W ∼ u3 =d and if we assume that the energy transfer for the pressure-gradient
force is of the order of the characteristic energy transfer rate for the ow as a whole, thus of
the order of +, we Anally retrieve Kolmogorov scaling that is
u3
∼ + : (195)
d
The simple two-fold description of turbulence put forward in the preceding subsection and
the derivation of the energy lost by work of the pressure-gradient force can be used to suggest
modelling ideas for this pressure-gradient term. If we leave out the (small) region involv-
ing the coherent structures and if we consider only the structureless background, then with
Eq. (181) and using the assumption that the charge density (x) is nearly uncorrelated in space
(x)(x + r)1, we obtain that the pressure-gradient Fp should be close to a Gaussian random
variable as the consequence of the Central Limit Theorem. Using a di8erent terminology, we
can say that in the random background, pairwise interactions between uid particles are weak
and are similar to ‘grazing collisions’ of particle physics for which the Bolztmann equation is
sometimes replaced by a Fokker–Planck equation.
These two points, loss of energy through the transfer towards all other uid particles and a
near Gaussian form when coherent structures are ignored, suggest to consider the simple me-
chanical models often retained for the motion of a charged particle in classical electrodynamics
d2 x dx
m + < + kx = Fext : (196)
dt 2 dt
In classical electrodynamics, a charged particle which accelerates (in a general sense this means
its velocity is not constant) creates an electromagnetic Aeld and therefore a force Aeld that acts
on all other charged particles. This force Aeld corresponds to a transfer of energy from the
charged particle that we are considering to the others. In that sense, it is said that an acceler-
ating charged particle ‘radiates’ energy: its own energy E decreases due to the transfer written
as −d E= d t to all other particles. In the simple mechanical model, the friction coe@cient < in
Eq. (196) is meant to represent the radiative damping coe@cient, thus

1 dE
<=− : (197)
E dt
We can use similar ideas for the pressure-gradient term building on the above-mentioned analogy
with electrodynamics. In an homogeneous ow, where the mean velocity U is zero, this
analogy suggests to model Fp by
Fp = −<U + fp ; (198)
where the friction coe@cient is expressed as
W
<∼ 2 ; (199)
u
with W the energy transfer and u2 the particle kinetic energy. Using the classical estimations
in the K41 picture, W ∼ +, we obtain
+ 1
<∼ 2 ∼ ; (200)
u TL
where TL is the Lagrangian integral time scale deAned in Section 5.2 (see also Eq. (134)).
Furthermore, we can take the uctuating term fp as a Gaussian random term in the structureless
background as proposed above. We then obtain a model equation which has the form of a
Langevin equation, and generalising to non-zero mean velocities, this model can be written as
1
Fp ∼ − (U − U ) + G ; (201)
TL
with G being a Gaussian white noise.
These ideas are of course just simple local models and should just be regarded as crude
representations. Nevertheless, they are not necessarily without any connections to the physics
of turbulence and they still retain some of the essential aspects of Kolmogorov theory. It will
be seen in the following sections that they form the basis of present pdf models.
5.7. Closing remarks
A great body of work has accumulated over the years on turbulence, but the subject has
retained its mysteries. At that point, it may be useful to repeat that di8erent objectives can
actually be pursued when dealing with turbulent ows. To somewhat simplify the picture, we
can distinguish between a theoretical point of view and a modelling point of view. From the
theoretical point of view, one looks for universal features and the concern is mainly on small
scales, scaling exponents, intermittency and high-order statistics. The central issue is then to
remedy to the deAciencies of Kolmogorov theories. From a modelling or ‘engineering’ point of
view, the emphasis is more on mixing and transport phenomena which are mainly governed by
the large energy-containing scales.
The two points of view are not completely separated, and, as explained in the introduction
of the paper, the purpose of the present work is actually to And a middle-road approach and
a compromise between the two. An example may be the Arst and simple modelling steps
presented in Section 5.6.2. It is believed that theoretical improvements or new results, such as
the determination of small scale statistics, can help even application-oriented models. However,
from the modelling point of view, it is clear that high-order scaling exponents is an issue which
is not of Arst importance. The most important aspects are well identiAed in Kolmogorov theories
and in the description of the energy cascade.
Even the Arst K41 theory does not describe a system in thermodynamical equilibrium, but
rather a system maintained out of equilibrium by a constant ux. A Arst-importance issue is
to determine the energy transfer rate from the large to the dissipative scales. The uctuations
of this variable are important for practical concerns as well as for theoretical aspects (see the
discussion of recent results [45] in Section 5.5.1). The determination of the energy transfer rate
is a very di@cult point since the large scales are not isotropic and are not universal. It is thus
seen that the turbulence problem is not, in that respect, only due to the large number of degrees
of freedom but to the strong interactions between them, in particular between the large scales.
Another main di@culty is that, at the moment, no small parameter has been identiAed from
which successive approximations could be rigorously derived. Depending on the point of view,
small parameters do appear but they only concern partial aspects of the whole problem. For
example, by adopting a Lagrangian formalism, we have seen that there exists a separation
of scale (of characteristic time scales) between uid particle velocity and acceleration. This
suggests already a Lagrangian point of view and the small parameter Ta =TL (or even $@ =Qt).
Yet, deriving a local or one-particle model remains di@cult since one has to model (for instance
as in Section 5.6.2) the interactions of the large scales. These models are then uncontrolled
approximations, or, in other words, guesses. On the other hand, one should not overlook their
practical interest as we will see in the next sections. The discussion related to large scale direct
interactions is taken up again in Section 9.3.2.
6. One-point pdf models in single-phase turbulence

The mathematical tool of stochastic processes (particularly, di8usion processes) and the gen-
eral modelling ideas that have been developed so far can now be applied for turbulent ow
modelling issues. The objective of the present paper is to formulate a pdf approach for two-phase
ows, but it is useful to consider only single-phase turbulent ows as a Arst step before ad-
dressing the two-phase ow problem. Presentation of the pdf approach for single-phase turbulent
reactive ows can be found in previous works, for example [6,10,8,9] or [54]. Therefore, we
do not try to give a comprehensive presentation, but rather choose to insist on certain aspects
of the approach. In particular, the emphasis in this section is put on
(i) clarifying the purpose of a pdf description in turbulence, with respect to other particle
methods and with respect to classical approaches in turbulence,
(ii) detailing the formalism, especially the notions of Lagrangian and Eulerian pdfs,
(iii) explaining the reasoning behind the choice of a Lagrangian description, of a precise state
vector and of di8usion processes as models,
(iv) outlining the physical content of present state-of-the-art stochastic models and their range
of assumed validity.
Some of these aspects are not always covered in the previously cited works, or may complement
them. Details on the formalism can already be found in Pope [6] but are presented here from a
slightly di8erent point of view. The general formalism and the stochastic models used for the
two-phase ow modelling issue are actually extensions of those given in this section.
In the following, · will denote the classical Eulerian averaging operator (whose exact math-
ematical deAnition will be properly given in Section 6.4).
6.1. Motivation and basic ideas
As explained in Section 5, a turbulent ow displays far too many degrees of freedom: the
range of scales can cover several decades, i.e. L=@ and T=$@ 1, and is therefore too extended
to allow a direct calculation even with computers of the foreseeable future. Thus, although the
basic equations are deterministic, the Arst modelling step consists in adopting a statistical point
of view and in regarding the solutions of the basic equations as being random or stochastic
processes. This is actually a classical step in statistical physics where probabilistic arguments
are used in (deterministic) systems involving a very large number of degrees of freedom. This
step goes hand in hand with the fact that we are not interested in the full description of the
ow in time and space but rather in some limited information about some characteristics of
the Aelds. In the language of mathematics, we would say that we are interested in a weak
approximation (see Section 2.1.2). In the language of statistical physics, we are interested in a
reduced or contracted description of continuous Aelds.
6.2. Coarse-grained description and stochastic modelling
At that point, it is worth recalling that the basic equations, the Navier–Stokes equations, have
precisely been obtained through such a procedure, e.g. Balescu [22] and this is an outstanding
example of the success of a reduced description. Their derivation follows the steps:
molecular equations : microscopic description
↓
Boltzmann equation : kinetic description
↓
Navier–Stokes equations : macroscopic description :
In this procedure, the microscopic equations of motion are not treated exactly but are bluntly
replaced by a probabilistic model (where the assumption of molecular chaos is input). Once
this is done, the macroscopic equations of motion are derived from the kinetic equation. The
downward orientation of the arrows indicates a contraction of the information and an evolution
towards less detailed descriptions of the system. The kinetic equation approach is called a
mesoscopic description. In turbulence modelling, the need to limit ourselves to a reduced set of
degrees of freedom shows that we are faced with a similar task. The di8erence lies in the starting
point which is now the very hydrodynamical equations. What is regarded as ‘macroscopic’ in
the classical kinetic approach is now taken as being the ‘microscopic’ level. The procedure can
be sketched as
Navier–Stokes equations : microscopic description

↓
‘model’ equations : mesoscopic description
↓
mean Reynolds equations : macroscopic description :
Here, the adjectives of microscopic and macroscopic lose their meaning of small and large
from a geometrical point of view and refer more to Ane and coarse descriptions in terms of
the number of degrees of freedom involved. The idea of the present approach is to introduce
a model at some intermediate level between the exact Navier–Stokes equations and those for
the mean moments in which we are interested. The construction of a reduced state vector can
be achieved by a coarse-graining procedure where the system is described on a ‘large enough
scale’ to eliminate some degrees of freedom. Information is therefore lost and this lack of
complete knowledge will be re ected by the use of a stochastic description for the remaining
degrees of freedom. Resorting to a statistical description is common to all turbulence models.
However, the key point is that we will not try to write directly a model in terms of macroscopic
variables but, following the above sketch, we will try to introduce the model at an upstream
level, or, using the same terminology as above, at a mesoscopic level. In other words, the aim
is to have a pdf description through the Aeld of probabilistic density functions, and not simply
the knowledge of a limited number of moments at each point (usually not more than two).
6.3. Relations to classical approaches
First of all, present pdf models should not be confused with other particle methods, such as
Vortex Methods or S.P.H. (smoothed particle hydrodynamics) in their basic forms. Indeed, in
random vortex methods one interprets the Navier–Stokes equations (written in the vorticity form)
as pdf equations to be solved by a particle method. This corresponds exactly to the probabilistic
interpretation of PDEs (here Navier–Stokes) mentioned in Section 2 and the particles used in
this method are ‘computational particles’ whose distributions give the solutions of the Navier–
Stokes equations. As such, this is equivalent to a direct numerical simulation with particles.
It is also useful to contrast Lagrangian stochastic models with classical turbulence approaches.
The classical approach starts by applying some averaging or Altering operator to the exact
equations. We obtain exact but unclosed ‘mean’ equations in which closure relations are then
introduced. Closed ‘mean’ equations result. For example, in the moment approach one writes
the mean Navier–Stokes equations (we assume constant density ows for the sake of simplicity)
9Ui 9Ui 1 9P 9ui uj

+ Uj =− + QUi − ; (202)
9t 9xj 9xi 9xj
in which the unknown Reynolds stress tensor ui uj has to be expressed. The mean momentum
equation can be closed by assuming a constitutive law for the Reynolds stresses (this is the
spirit of the k–+ model) or by writing their own exact equation

9ui uj 9ui uj 9ui uj uk
+ Uk =−
9t 9xk 9xk

9Uj 9Ui
Pij −ui uk − uj uk
9xk 9xk

1 9p 1 9p
Hij − ui − uj
9xj 9xi

’ij + ui Quj + uj Qui : (203)
The closure problem has only been shifted to the rate of change of ui uj and one has now to
come up with closures for the triple correlation ui uj uk , the pressure rate of strain correlation
Hij and the work of the viscous forces ’ij . The latter can be decomposed as

92 ui uj 9ui 9uj
’ij = −2 ; (204)
9xl2 9xl 9xl
where the last term represents twice the pseudo-dissipation tensor written as +ij . Much of the
current research in second-order modelling so far has focused on the closure of the Hij terms
(whether or not this is fully justiAed). Yet, closure expressions for the di8erent Hij are not
only di@cult (since limited information is available), but as a result of the approach itself, it is
also di@cult to be sure that they are coherent among themselves. This is called the realizability
problem. More than the particular details of certain models, it is important to underline the
steps that are taken in this classical approach:
Navier–Stokes equations
↓
open or unclosed mean Reynolds equations
→ introduction of a model: closed mean equations .
Therefore closure is attempted directly at the macroscopic level, and when it is performed,
available information is of course strictly limited to the very macroscopic variables that have
been explicitly retained in the second step of the procedure. Compared to this, in the pdf
approach, the introduction of a model is made at an ‘upstream’ level, as indicated in the sketch
in Section 6.2, where far more information is still available (since we model a probability
density function) and has not yet been eliminated. As a result, pdf approaches are particularly
attractive if
(i) detailed information is needed to address a problem, at least more than the mere knowledge
of a few moments,
(ii) it is too di@cult to close directly at the macroscopic level through constitutive relations
between macroscopic variables.
The Arst item is related to the fact that, depending upon the problem involved, one may
be interested in more than one or two mean values. A clear example of the second item will
be given in Section 6.5.3 for reactive ows. The di8erence can be further illustrated by the
following representation of the pdf approach

Navier–Stokes equations
↓
open or unclosed pdf equations
→ introduction of a model: closed pdf equations
↓
closed mean equations .
where as above, a horizontal arrow stands for the introduction of a model closure at the same
level of description, while a vertical arrow means that we move from one level of description
to a coarser one.
6.4. Probabilistic description of continuous ?elds
We have referred to classical kinetic theory and to the Boltzmann approach in order to
bring out the ideas and the purpose of present pdf models for turbulent ows. However, the
probabilistic description needed in the pdf approach is more complex than in the Boltzmann
approach and it requires that the notions of particles and Aelds, or Lagrangian and Eulerian
points of view, be clearly speciAed.
In classical kinetic theory, there is a clear di8erence between the meanings and the way with
which the notions of particles and of Aelds enter the theory. We are dealing with an ensemble
of ‘real’ particles and the system on which we apply a probabilistic description is discrete. It
is therefore not surprising to use a particle point of view in the probabilistic description and
to handle a Lagrangian probability density function or distribution function. There is no reason
in that context to use a di8erent point of view. On the other hand, the resulting local mean
values or moments derived from the pdf (or kinetic) description are Aelds: the solutions of the
Navier–Stokes equations. Thus, there is a clear di8erence between the two notions of particles
and of Aelds in classical kinetic theory. The microscopic level, which is made up by discrete
particles, is described from a Lagrangian point of view, and the macroscopic level, which is
made up by the Aelds which are solutions of the Navier–Stokes equations, is described from an
Eulerian point of view [22].
In the present pdf approach for turbulent ows, there is no such clear-cut separation between
the two notions. We do not give a statistical description of a discrete system but instead a
probabilistic description of Aelds using stochastic processes. This can create some confusion
with respect to the notion of Lagrangian and Eulerian descriptions, or particles and Aelds.
Indeed, in this case, the system considered (the microscopic level, now represented by the
solutions of the Navier–Stokes equations) can be described either from a Lagrangian or from
an Eulerian point of view. The latter appears natural in the context of continuum mechanics,
but the former can also be adopted to characterize the system. As a result, the probabilistic
description can either be performed in an Eulerian or in a Lagrangian framework. Yet, the
outcome of the whole approach, which are the di8erent mean values or the local moments of
the variables of interest, will still be Aelds. In other words, the resulting macroscopic quantities
will be expressed in an Eulerian frame, but the road leading to them can be either a Lagrangian
or an Eulerian one.
The purpose of the following subsections is to deAne the Eulerian and Lagrangian pdfs and
the way they are related.
6.4.1. Dimension of the state vector

The following deAnitions and relations between probabilistic quantities will be developed with
a certain expression of the state vector. For this we slightly anticipate in Section 6.6 where the
choice will be discussed, and we already use a state vector. That state vector corresponds to
a one-particle description and to a one-particle state vector which includes particle location,
velocity and a number of scalars denoted by in physical space or in sample space, see
Section 3
Z = (y; V; ) : (205)
At present, the meaning of the variables can be left undeAned, standing for any particle
properties, and the state vector Z remains therefore fairly general.
6.4.2. Eulerian and Lagrangian descriptions

First of all, the exact one-point pdf equation satisAed by pL (t; y; V; ) can be derived by
writing the Navier–Stokes equations and a scalar equation in a Lagrangian formulation. The
probability to And the reduced system—a ;uid particle—in the state [y; y + d y], [V; V + d V]
and [ ; + d ] is given by
pL (t; y; V; ) d y d V d ; (206)
where the superscript L is introduced to emphasize that we are dealing with a Lagrangian
formulation. The two possible points of view (Eulerian or Lagrangian) di8er essentially by the
choice of the independent variables (or parameters). It is of common knowledge that in the
Lagrangian description, attention is focused on ‘labelled’ uid particles as they move through the
ow (initial position and time as parameters, position, velocity and scalars as variables) whereas
in the Eulerian approach (Aeld description), all ow properties are by deAnition monitored as
functions of time and a Axed point in space (time and space coordinates as parameters, velocity
and scalars as variables). Therefore, we deAne the Eulerian pdf pE (t; x; V; ) where
pE (t; x; V; ) d V d (207)
is the probability to observe in the ow Aeld a state in the range [V; V + d V] and [ ; + d ]
at time t and position x. By doing so, we have deAned a Aeld of distribution function since
for each point (t; x) of the time-physical space, a distribution function of velocities and scalars
has been associated. To emphasize the distinction between the two descriptions, a semi-column
is introduced to separate the parameters from the variables, i.e. pE (t; x; V; ) and pL (t; y; V; ).
Note that we also distinguish between phase space and physical space: (y; V; ) ↔ (x; U; ) for
the Lagrangian description and (V; ) ↔ (U; ) for the Eulerian one.
To complete this formalism, we need to deAne physically the notion of ;uid particles. A
uid particle is a small element of uid whose characteristic length scale is smaller than the
Kolmogorov length scale, Eq. (135) (which is the smallest length scale of uid motion) but
much larger than the molecular mean free path. The uid particle (which can be deformed) has
a mass m(t; ), a volume V (t) where (t; ) = m=V and a velocity U(t) equal to the value of
the Eulerian velocity Aeld at the location of the uid particle, U(t) = U(t; x(t)). This notion is
in fact a direct extension of the particle (point) notion in classical mechanics. In the case of
particles of constant volume (the arbitrary choice that we make from now on), the ;uid particle
object is fully deAned by the set of following variables: (m; y; V; ). Therefore, for a complete
description, it is convenient to introduce a mass density function F L (t; y; V; ) where
F L (t; y; V; ) d y d V d ; (208)
represents the probable mass of uid particles contained in an element of volume d y d V d in
phase space. The mass density function is consequently normalized by the total mass of uid
M (which is chosen to be constant in time for the sake of simplicity)

M = F L (t; y; V; ) d y d V d : (209)
The Lagrangian mass density function is given by

F L (t; y; V; ) = M pL (t; y; V; ) : (210)
6.4.3. Relations between Eulerian and Lagrangian pdfs

We have previously introduced the notion of Eulerian and Lagrangian pdfs and it has been
explained why in the case of compressible or reactive ows, the proper pdf to be considered
is the mass density function F L and not the pdf itself pL (which is of course the right choice
in the incompressible case since all uid particles have a constant mass for a given volume).
Attention is now focused on the possible relations between the two points of view. Indeed in
order to derive partial di8erential equations veriAed by the mean moments, one has to be able
to deAne the proper Eulerian quantity to construct an operator which gives the expected values
(moments). The techniques presented in Section 2 are ‘Lagrangian tools’ and moment equations
which are Aeld equations can only be derived by means of ‘Eulerian tools’. The question to be
answered is: how are Eulerian and Lagrangian quantities related?
Following Balescu [22], the correspondence between the Eulerian and the Lagrangian de-
scriptions is given by

F (t; x; V; ) = F (t; y = x; V; ) = F L (t; y; V; ) (x − y) d y ;
E L
(211)
where F E is the Eulerian mass density function. This relation simply expresses the fact that,
when in phase space y = x, there is equivalence between the two points of view since we
consider the same event (in the incompressible case this relation is veriAed by pE (t; x; V) and
pL (t; y; V)). By integration of the previous equality over phase space (V; ) and physical space,
we can write

M = F E (t; x; V; ) d x d V d : (212)
This constraint imposes that the integral of F E over phase space (V; ) is the expected density
at (t; x) (the probable mass of particles in a given state per unit volume). The expected density,
denoted (t; x), is of course deAned by

(t; x) = ( ) pE (t; x; V; ) d V d ; (213)
(the integral of pE over the (V; ) phase space equals one since pE is a pdf) and since the
integral of the expected density (t; x) over the whole physical space is of course the total
mass of uid, the Eulerian mass density function is deAned by
F E (t; x; V; ) = ( ) pE (t; x; V; ) : (214)
The relation between both mass density functions has now been deAned, Eq. (211), and the
expression of the Eulerian mass density function is known, Eq. (214). The remaining task is
to And the relations between the pdfs. Intuitively, one might think that the Eulerian pdf equals
the conditional (conditioned by the position) Lagrangian pdf. Let us investigate this matter.
Integration of both mass density functions over the (V; ) phase space gives

F L (t; x; V; ) d V d = M pL (t; x) ;

F E (t; x; V; ) d V d = (t; x) ; (215)
which gives pL (t; x) = (t; x)=M . The conditional expectation pL (t; V; | x) can then be eval-
uated as follows (using the previous results):
pL (t; x; V; ) F L (t; x; V; ) ( )
pL (t; V; | x) = = = pE (t; x; V; ) : (216)
p (t; x)
L (t; x) (t; x)
Therefore, in a compressible ow (and also in a turbulent reactive ow) the Lagrangian pdf
conditioned by the position is not the Eulerian pdf but the Favre pdf. Finally, the relation
between the mass density function and the Lagrangian transitional pdf can be worked out from
the deAnition of the Lagrangian pdf using the transitional pdf

p (t; x; V; ) = pL (t; x; V; | t0 ; x0 ; V0 ; 0 ) pL (t; x0 ; V0 ; 0 ) d x0 d V0 d 0 :
L
(217)
By multiplying each side by the total mass M and using the identity given by Eq. (211),
we obtain

F (t; x; V; ) = pL (t; x; V; | t0 ; x0 ; V0 ; 0 ) F E (t; x0 ; V0 ; 0 ) d x0 d V0 d 0 :
E
(218)
This relation is of extreme importance: it shows that the mass density function is ‘propagated’
by the transitional pdf, or in the language of statistical physics, the transitional pdf is the
propagator of an information which is the mass density function.
Before, we carry on, let us rewrite the results derived in this section in the particular case
of an incompressible ow and from now on, only this type of ows will be studied. When
the ow is incompressible, uid particles have a constant mass (density is constant) and all
the information is contained in the pdfs. Eq. (211) shows then that pE and pL are related by
(with = M= V where V is the volume of the physical space occupied by the ow)

1 E
p (t; x; V) = p (t; y = x; V) = pL (t; y; V) (x − y) d y :
L
(219)
V
The probability to And a uid particle at a given position x is associated to the marginal
pL (t; x) = 1= V. This result is physically sound since in the case of incompressible ows mass
is equally distributed in space and all events are equiprobable. The Eulerian pdf is, in the
incompressible case, the Lagrangian pdf conditioned by position, cf. Eq. (216),
pL (t; x; V)
pL (t; V | x) = = pE (t; x; V) : (220)
pL (t; x)
At last, for the incompressible case, Eq. (218) is veriAed by pE

p (t; x; V) = pL (t; x; V | t0 ; x0 ; V0 ) pE (t; x0 ; V0 ) d x0 d V0 ;
E
(221)
which means, as mentioned previously, that the transitional pdf is the propagator of an Eulerian
information which is, in this particular case, the Eulerian pdf.
6.4.4. Discrete representation and weak approximation

The di8erent mdfs and pdfs have been presented so far in a continuous framework, and as
being continuous densities or measures. In actual simulations, these measures are approximated
by discrete measures using a Anite number of particles, and practical implementations require
to manipulate these discrete mdfs. Nevertheless, it appears preferable to separate the handling
of these approximate densities from the deAnitions of the actual densities (the Lagrangian and
Eulerian mdfs and pdfs), so as to keep the presentation of the key notions as clear as possible.
In a practical simulation, a Anite number of particles are followed in time. Each of these
particles have a particular value of its attached variables, namely x(t); U(t) and (t). The
discrete approximation of the Lagrangian mass density function is therefore given by
N
FNL (t; y; V; ) = Qm (y − xi (t)) ⊗ (V − Ui (t)) ⊗ ( − i (t)) ; (222)
i=1
using N particles with equal mass Qm. When particles have di8erent masses, the discrete
Lagrangian mdf has the form
N
FNL (t; y; V; ) = mi (y − xi (t)) ⊗ (V − Ui (t)) ⊗ ( − i (t)) : (223)
i=1

The total expected mass in the volume occupied by the ow is then M = Ni=1 mi or, in the
case of equal particle mass M = N × Qm.
The approximation of a mean Eulerian quantity (Favre averaged) at a given point in space
x and at time t, H̃ (t; x) can be obtained from the above discrete expression of FNL . Indeed, the
density-weighted integral is

(t; x)H̃ (t; x) = () H (U(t; x); (t; x)) = H (V; ) F E (t; x; V; ) d V d : (224)
Using Eq. (211) where the delta function in space is replaced by (y − x) 1=Vx when
y ∈ Vx , Vx being a small volume around point x, we obtain
Nx
1
(t; x)H̃ (t; x) mi H (Ui (t); i (t)) : (225)
Vx
i=1
With the local (discrete) mean density being given by

Nx i
m
(t; x) i=1 ; (226)
Vx
it is seen that the discrete approximation, through the ensemble average over the Nx particles
present in the small volume Vx around x, approximates the Favre-average mean quantity H̃
Nx i
m H (Ui (t); i (t))
H̃ HN = i=1 Nx : (227)
i=1 m
i
In other words, the Favre-average mean value of any function of the local Eulerian velocity
and scalars, is obtained by a Monte Carlo calculation from the local number of particles. The
procedure is valid in the general non-stationary and non-homogeneous case, but is actually based
on a local homogeneity hypothesis. A small volume Vx is introduced around point x, and the
Nx particles which are located in this small volume are regarded as independent realizations
and samples of the mdf at point x. This amounts to assuming spatial homogeneity within the
small volume Vx .
Convergence of the discrete approximation is ensured by the Central Limit Theorem which
shows that there exists a constant C such that
C
HN = H̃ and (H̃ − HN )2 6 : (228)
Nx
It is therefore seen that the discrete distribution FLN does not tend towards FL in a strong sense
but in a weak sense, or to be more precise in distribution (see Section 2.1.2), since in fact it
is the mean value of functions of the stochastic process Z that converges as Nx → +∞ where
Nx stands for the simulated number of samples of Z
HN = H (ZN ) → H (Z) : (229)

N →∞
This notion of weak convergence and of weak approximation is fully consistent with the
overall aim of the pdf approach where, as explained in Section 6.1, the interest is to obtain
information on various statistics of the ow.
In practice, the challenge is to reach a satisfactory compromise between spatial errors (gov-
erned by the size of Vx ), time discretization errors (governed by the time step Qt used to
integrate the trajectories of the process, see Section 2.10) and statistical errors (governed by
Nx1=2 ) for a tractable total number of particles. This constitutes the important Aeld of practi-
cal Monte Carlo methods, see Kalos and Whitlock [55] for example and specialized articles
[6,54,56].
6.5. Choice of the pdf description
6.5.1. The Lagrangian stochastic point of view

From the previous section, it appears that the central notion is the transitional Lagrangian
pdf from which Lagrangian and Eulerian mass density functions are derived. Consequently,
the probabilistic description is best performed using a Lagrangian point of view that will be
followed from here onwards. From that point of view, the Navier–Stokes equations are regarded
as expressing directly the time-evolution equations of a large number of uid particles. These
exact equations are replaced by models which (hopefully) produce the same statistics as those of
real uid particles. Following the reasoning of Sections 6.1 and 6.2, these models are stochastic
models. In turn, these stochastic models can be developed and expressed from two points of
view, either a pdf point of view or a trajectory point of view, see Section 2. The second
important choice that is made is to use mainly the trajectory point of view. In a way, we can
say that we ‘merge’ two notions into one, the particle or Lagrangian description in turbulence
on the one hand and the trajectory point of view for the expression of stochastic processes on
the other hand.
A somewhat condense presentation of these steps would be to say that the exact instantaneous
equations are replaced by modelled but still instantaneous ones.
6.5.2. PDF equation in single-phase turbulence

Let us recall the original problem, i.e. which is the formulation of the exact one-point pdf
equation satisAed by pL (t; x; V; | t0 ; x0 ; V0 ; 0 ). We start by writing the Navier–Stokes equa-
tions and a scalar equation in a Lagrangian formulation (for a given uid particle)
d xi+ = Ui+ d t;
+
1 9P
d Ui+ = − + QUi dt ;
9xi
+ +
d l = >Q l dt + Sl (+ ) d t : (230)
Note that the subscript ‘+’ has been used to distinguish between the exact equations and the
modelled ones. By applying for example the techniques presented in Section 2 (other techniques
can also be used), one obtains (where pL+ stands for the transitional pdf associated to the exact
trajectories)

9pL+ 9pL+ 9 1 9P 9
+ Vi =− − Z = z pL+ − [ QUi | Z = z pL+ ]
9t 9yi 9Vi 9xi 9Vi
9 9
− [>Q l|Z = z pL+ ] − [Sl ( ) pL+ ] : (231)
9 l 9 l
In this equation, A|Z = z represents the average value of A conditioned on the values of
the vector state Z = z, cf. Section 3. Then, Eqs. (217) and (218) show that the same equation
is satisAed by the Lagrangian pdf and by the Eulerian mass density function. From the latter,
mean moment equations can be expressed (see Section 6.7).
6.5.3. Interest of the pdf approach

The two main features of Eq. (231) are that convection and the scalar source term appear
in closed form. No modelling assumption is required to get a closed form for these terms. First
of all, treating convection without approximation means that whatever expression coming out
of the convection term, in any moment equation, does not need to be modelled. Therefore,
the closure di@culties that we mentioned with the classical moment approach, due to ui uj or
ui uj uk are not met in our case. This is already very attractive since, from our discussion of
statistical closures and our presentation of modelling principles, one can expect that replacing
correlations arising from the convection term (and Reynolds stresses are nothing but that) by
accurate models is di@cult.
The second feature is even more noteworthy. However complicated and non-linear the source
term may be, it is in closed form in the present approach. On the contrary, in the classical
approach to turbulence modelling (the moment approach), one has to express S() directly
in terms of available information, which is limited to () and ()2 for complex functions
S. Such a direct closure at the macroscopic level is hopeless, unless speciAc and restrictive
assumptions are made (fast chemistry, etc.) and this is a very clear example of the second
interest for pdf descriptions as emphasized at the end of Section 6.3. Indeed, the calculation of
the mean source term is handled correctly since it is given by

S() = S( ) pE (t; x; ) d ; (232)
where pE (t; x; ) d is now known. This success explains the great interest of present models
for problems involving similar source terms such as in combustion.
These advantages are easily explained by the present Lagrangian point of view. Following
particles ensures that convection is treated without approximation. Furthermore, since we keep
track of instantaneous values, any local source term such as S() is also treated without as-
sumption. This is easily seen by the Monte Carlo evaluation of the mean source term using
the Nx discrete particles which are located in a small volume around the point x at which the
integral is evaluated as
Nx
1 (i)
S() S()Nx = S( ): (233)
Nx
i=1
On the other hand, the terms involving the pressure-gradient and the molecular transport co-
e@cients are not in closed form. This is not surprising from the particle equation of motion:
these terms represent the instantaneous forces or actions exerted by the other particles (other
elements of uid). This expresses the BBGKY hierarchy of unclosed pdf equations explained
in Section 3.
In order to develop a practical model in a pdf framework, the state vector and its dimension
must be chosen. If we adopt the picture of a turbulent ow as a N -particle problem (the
continuum is retrieved by taking N → ∞), we must choose the values of N and of p, see
Section 3. One-point models can only provide one-point information (all mean moments) but
no space correlations at a given time, since these correlations are in fact contained in a two-point
description. However, at present, two-particle models are not as developed as one-particle ones,
especially in the general case of non-homogeneous non-stationary ows. We therefore consider
only one-point or one-particle models in the following (in the notations of Section 3, we have
s = 1). The remaining choice is the one-particle state vector.
6.6. Present one-point models
Once the pdf stage is set, remains the question of the proper choice of the state variables that
will be kept in the state vector and those that will be eliminated in turbulence modelling. From
the Kolmogorov’s hypothesis described in Section 5.3, uid particle accelerations are close to
white-noise processes. Thus, the uid particle acceleration is a good candidate to be replaced
by a model and there is some hope to derive a one-point model by restricting the state vector
to particle locations and velocities. This justiAes the choice of the one-particle state vector, that
we have already used namely Z = (y; V; ). In this section, models for uid particle location
and velocity are presented. Models for scalar variables are left out and can be found in Pope
[6], Fox [9] or Dopazo [8]. This could be surprising since one of the main interests of pdf
models, for single-phase turbulent ows, is precisely the treatment of reactive scalars. However,
the aim of the present paper is the presentation of pdf models for two-phase turbulent ows
where particle velocity stochastic models have similar interest. The stochastic models described
here will be used as starting points in later sections.
6.6.1. Stochastic model for ;uid particle velocity

A model is now derived for pL (t; x; V). From the instantaneous particle equation of motion
Eq. (230), the two forces acting on a uid particle, the pressure-gradient force and the vis-
cous force, have to be expressed as functions of local variables (one-point closure). A global
model can be proposed for the sum of these two forces and analysed with respect to classical
second-order modelling [7,10]. Another approach is to build a model in two steps, by modelling
separately the viscous term and the pressure-gradient term, relying furthermore on arguments
from Statistical Physics rather than on macroscopic mean equations. The starting point is to
reformulate the exact one-point pdf equation, Eq. (231). We decompose the pressure P into a
mean component P and a uctuating one p , and it can be shown that the viscous term can
be re-expressed as the sum of two contributions [6,11]

9pL+ 9pL+ 1 9P 9pL+ 9 1 9p
+ Vi = + Z = z pL+
9t 9yi 9xi 9Vi 9Vi 9xi
92 [ pL+ ] 92
+ − [+ij |Z = zpL+ ] ; (234)
9yi2 9Vi 9Vj
where +ij is the pseudo-dissipation tensor deAned in Section 6.3. By neglecting the third term
involving molecular viscosity at high Reynolds numbers and by assuming an isotropic form
for +ij using only the unconditional dissipation of the turbulent kinetic energy +, we obtain the
working form of the one-point pdf equation

9p L 9p L 1 9P 9pL 9 1 9p L 92 1
+ Vi = + Z = z p − +pL : (235)
9t 9yi 9xi 9Vi 9Vi 9xi 9Vi 2 3
The superscript L+ has been replaced simply by L since we are already dealing with a model
equation. It is interesting to see that the only remaining trace of the molecular viscosity is
through the Anite and non-zero mean dissipation rate, +, in line with Kolmogorov theory,
and that we end up with a second-order term in the pdf equation, however with a negative
sign. A complete pdf model is worked out by putting forward a model for the uctuating
pressure-gradient force as a function of the particle velocity and local mean quantities. A recent
proposal is to resort to Onsager’s hypotheses [11] and to write a Langevin equation for the e8ect
of the uctuating pressure-gradient (an external force in the one-point pdf description since this
is a force created by all the other uid particles in the ow). Apart from showing that present
pdf models can be more than just rough guesses and indications of some interesting links
with other physical Aelds, this connection is also useful to reveal the interests and the inherent
limitations of present closure relations. The real issue is to write a model to describe what is
essentially a non-equilibrium statistical problem. Onsager’s hypotheses are valid mainly in the
near-equilibrium domain, and their use reveal that present models cannot claim to fully describe
the complete problem, and particularly that far-from equilibrium phenomena such as coherent
structures may not be captured with present closure proposals. Extensions of the stochastic
models or perhaps multi-point pdfs may be needed to include explicitly the statistical signature
of these structures. The Langevin model for the uctuating pressure-gradient force is combined
with the deterministic mean pressure-gradient and the viscous term to build a complete Langevin
model for uid particle velocities. The derivation is also an example of the equivalence and
the interest of the two points of view (trajectory and pdf) in stochastic modelling, since both
frameworks are used in the course of the construction. Details on the modelling steps can be
found in other works [54,11] and only the resulting global model is presented here.
The complete model consists in retaining the instantaneous positions and velocities in the
state vector Z = (x; U) and in using a general di8usion process to simulate its time rate of
change
d xi = Ui d t (236a)
1 9P
d Ui = − d t + Di d t + C0 + d Wi : (236b)
9xi
The drift vector is given by the expression
Ui − Ui
Di (x; U) = − + Gija (Uj − Uj ) ; (237)
TL
where TL stands for a time scale given by
1 k
TL = 1 3 : (238)
( 2 + 4 C0 ) +

It is thus seen that the uid velocity equation has the form of a Langevin equation. The drift
coe@cient has actually a very simple form, involving only return-to-equilibrium terms (where
the mean velocity at particle locations acts as the local equilibrium value), and it seems di@cult,
apart from forgetting turbulence altogether, to obtain simpler stochastic models. The resulting
model has indeed limitations but contains already interesting turbulent features [54,11]. When
the matrix Gija is put to zero, which yields the simplest model, the time scale TL represents also
the time scale of velocity correlations.
This is how the model appears from the trajectory point of view. In the pdf point of view,
it consists in saying that the pdf equation is modelled by a Fokker–Planck equation
9p L 9p L 1 9P 9pL 9 1 92
+ Vi = − [Di (x; V)pL ] + [C0 +pL ] : (239)
9t 9xi 9xi 9Vi 9Vi 2 9Vi 2
6.6.2. Stochastic model for the dissipation rate

To obtain a self-su@cient model, information about +, the mean dissipation rate of turbulent
energy at particle location, is needed. + is given by

9ui 9ui
+ = : (240)
9xl 9xl
In a one-particle approach, instantaneous gradients cannot be derived from available information.

They remain external to the description and must be provided by another source of information.
Although just + is strictly needed in the particle velocity equations written above, a model
for the instantaneous values of + along the particle trajectories is developed. The present model
is constructed, not directly in terms of +, but rather in terms of the frequency rate !=+=k whose
mean is the inverse of the time scale. The derivation of the model is explained in detail in other
papers [57,58] and is based on Kolmogorov’s third hypothesis, namely that in homogeneous
turbulence ln(+) is log-normally distributed.
In non-homogeneous turbulence, the complete form of the model is [57]
d ! = −!!S! d t + !2 h d t

! ! !
− !!CK ln − ln dt + ! 2CK !2 d W ; (241)
! ! !
where 2 is the variance of ln(!= !) and is taken here as a constant. The drift term involving
h is added to represent the mechanism through which laminar particles become turbulent and
plays a role at the edges of free shear ows. The second drift term involving S! represents
the normalized decay rate of the mean frequency and is modelled by reference to the standard
equation of +
P 9Ui
S! = (C+2 − 1) − (C+1 − 1) where P = −ui uj : (242)
+ 9xj
The di8erent parameters, CK ; C+1 and C+2 are constants of the model. Apart from providing the
needed value + at each point, the introduction of instantaneous particle values of ! allows
external and internal intermittencies to be simulated (see [59]). Another model for the simulation
of the instantaneous values of ! can be found in [60].
With the stochastic model for !, the complete vector state is now Z = (x; U; !) and the
general pdf follows a Fokker–Planck equation in the corresponding sample space.
6.7. Mean ?eld equations
The mean equations that correspond to the present Lagrangian stochastic models can be
explicitly written. Once again, there are two possible ways to derive them. The Arst one is
by writing the pdf equation and by integrating over all sample space after multiplication by
the proper variable and the second one is a derivation directly from the particle stochastic
di8erential equations (trajectory point of view).
6.7.1. pdf point of view

The procedure developed here is identical to the one which is used in Kinetic Theory to
obtain the Navier–Stokes equations, cf. e.g. [22,21], but at another scale as it was explained
at the beginning of this section. The transport equation for pE (the kinetic equation in Kinetic
Theory) is used together with an averaging operator to obtain the macroscopic equation, the
mean equations (the Navier–Stokes equation in kinetic theory). In the case of an incompressible
ow (the procedure can be easily extended to the compressible case), it is straightforward to
prove, using Eqs. (219) and (239), that pE veriAes the following di8erential equation:
9p E 9p E 9 1 92
+ Vi = − [Ai (x; V; P ) pE ] + [C0 +pE ] ; (243)
9t 9xi 9Vi 2 9Vi 2
where Ai (x; V; P ) is given by
1 9P
Ai (x; V; P ) = − + Di (x; V) : (244)
9xi
In order to obtain the (mean) Aeld equations, a standard procedure is used, in analogy with
the derivations which can be found in kinetic theory [20,21], as explained at the beginning of the
section. Given any function H(V) (it is one component of the tensor of order n; Vi1 Vi2 : : : Vin ),
the following expectation : (averaging operator) is deAned

H(t; x) = H(U(t; x)) = H(V)pE (t; x; V) d V : (245)
This corresponds to a simpliAed case (since is constant) of the deAnition of mean variables
already used in Eq. (224).
Let us multiply Eq. (243) by H(V) (denoted H for the sake of simplicity) and apply the
previously deAned operator. With
9p E 9H E
[HAi pE ]; H ; p → 0 (246)
9Vi 9Vi Vi →±∞
(by construction pE and 9pE = 9Vi converge to zero when, at least one component of the velocity
goes to inAnity, Vi → ±∞) and if we assume that all generalized integrals converge, after some
algebra, one can obtain the following equation:
9 9 9H 1 92 H
H + Vi H = Ai + C0 + ; (247)
9t 9xi 9Vi 2 9Vi 2

provided
that uniform convergence is achieved (so that one can write 9= 9t = 9= 9t and
9= 9xi = 9= 9xi ). By choosing H = 1, the mean continuity equation, 9Ui = 9xi = 0 is obtained,
and with H = Vi , Eq. (247) yields the mean momentum (Navier–Stokes) equation,
9Ui 9Ui 9ui uj 1 9P
+ Uj + =− : (248)
9t 9xj 9xj 9xi
The mean Aeld equations of higher order cannot be obtained directly by the procedure which
has just been introduced. As a matter of fact, a change of coordinates in phase space is necessary,
Vi = Ui (x; t) + vi (velocity is represented in terms of the uctuating component, v = v(V; U ).
By noticing that pE (t; x; v) d v = pE (t; x; V) d V, the mean moment of order n is deAned by

n
ui1 : : : uin (t; x) = vik pfE (t; x; v) d v : (249)
k=1
The procedure developed so far with a function H(V) is now repeated with another function
H(v) (it is one component the tensor of order n; vi1 vi2 : : : vin ), whose expected value is deAned
by

H(u(t; x) = H(v)pE (t; x; v) d v : (250)
Eq. (243) is Arst re-written is the new phase space. The time and spatial derivatives become
(the velocity derivatives are not changed)
9pE (V) 9pE (v) 9Ui 9pE (v)
= − ; (251)
9t 9t 9t 9vi
9pE (V) 9pE (v) 9Uj 9pE (v)

= − (252)
9xi 9xi 9xi 9vj
and consequently, the Fokker–Planck veriAed by pE (t; x; v) is
d pE 9p E 9 1 92
+ vi = − [Ai (x; V; P )pE ] + [C0 +pE ]
dt 9xi 9vi 2 9vi2
dUi 9pE 9Uj 9pE

+ + vi ; (253)
d t 9vi 9xi 9vj
where d = d t = 9= 9t + Ui 9= 9xi .
Let us multiply the previous equation by H(v) and make the same assumptions as in the
derivation of Eq. (247) (that is Eq. (246) is veriAed with pE (v), all generalized integrals
converge and uniform convergence is achieved). By doing so and after some algebra, one can
write
d 9 9H 1 92 H
H + vi H = Ai + C0 +
dt 9xi 9vi 2 9vi2
dUi 9H 9Uj 9
− − (vi H) : (254)
dt 9vi 9xi 9vj
Inserting H = 1 or vi in the previous equation, one obtains the mean continuity equation and
the mean Navier–Stokes equations, respectively. With H = vi vj , the transport equation for the
Reynolds stresses becomes
9ui uj 9ui uj 9ui uj uk 9Uj 9Ui
+ Uk + = −ui uk − uj uk
9t 9xk 9xk 9xk 9xk
+ Gik uj uk + Gjk ui uk + C0 +ij : (255)
6.7.2. Trajectory point of view

Pursuing our trajectory point of view, we present a derivation directly from the particle
stochastic di8erential equations. This is a nice exercise for the application of stochastic calculus.
In the pdf point of view, the normalization condition of pE yields immediately the zero
divergence equation. In the particle point of view, the condition of mass conservation is directly
enforced to calculate the mean pressure-gradient. Therefore, by construction, we have 9Ui = 9xi =
0. The mean momentum equation is simply obtained by applying the averaging operator to the
particle velocity equation (236b)
1 9P
d Ui = − dt : (256)
9xi
Using the relation between the instantaneous substantial derivative and its Eulerian counter-
part, d · = d t = 9 · = 9t + Uj 9 · = 9xj , we obtain
9Ui 9Ui 9ui uj 1 9P
+ Uj + =− : (257)
9t 9xj 9xj 9xi
Thus, the high Reynolds form of the mean Navier–Stokes equation is satisAed. This should
not be too surprising since convection is treated without approximation by the Lagrangian
point of view and since the mean pressure-gradient, which represents the mean value of the
acceleration of a uid particle, is properly taken into account in Eq. (236b). Contrary to the
Eulerian approach, no model is needed for the Reynolds stress tensor.
The second-order equations are more interesting. First of all, one has to write the instantaneous
equations for the uctuating velocity components along a particle trajectory. This is done by
writing ui = Ui − Ui and consequently

d ui d Ui 9Ui 9Ui 9Ui
= − + Uj − uj : (258)
dt dt 9t 9xj 9xj
We now write the equation in an incremental form to properly handle the stochastic terms,
which using the mean Navier–Stokes equation is
9ui uk 9Ui
d ui = d t − uk d t + Gik uk d t + C0 + d Wi : (259)
9xk 9xk
The Arst two terms on the rhs are exact and are independent of the form of the stochastic
model. It is seen that, for non-homogeneous turbulence, the mean value of the uctuating
velocity increments is not zero. Failing to include that term is equivalent to mishandling the
mean pressure-gradient term. This may lead to non-physical e8ects, such as spurious drifts
unfortunately met in most two-phase ow models, see Section 7.5.2. The di8erent SDEs are
deAned in the Itô sense and the derivatives of the products ui uj are obtained from Itô’s formula
d (ui uj ) = ui d uj + uj d ui + C0 + d tij : (260)
The mean second-order equations are then
9t 9xk 9xk 9xk 9xk
+ Gik uj uk + Gjk ui uk + C0 +ij : (261)
The mean convective terms and the triple correlations arise naturally from the average of the
derivative along the instantaneous trajectory and are therefore exact. The turbulence production
terms on the rhs stem also from convection and, more precisely, from the second term on the
rhs of Eq. (259). Since these terms come from exact manipulation, the production terms are
treated without approximation. The e8ect of the model appears on the second line and is seen to
correspond to a model for the pressure rate of strain correlation Hij . By using the decomposition
of the matrix G already introduced

1 3 +
Gij = − + C0 ij + Gija ; (262)
2 4 k
a more explicit form is obtained
9t 9xk 9xk 9xk 9xk

a a 3 + 2 2
+ Gik uj uk + Gjk ui uk − 1 + C0 ui uj − kij − +ij : (263)
2 k 3 3
Several remarks can be made at that stage. The Arst one is that these second-order equations
are the Arst level in the moment hierarchy where the model (through the matrix G) manifests
itself. This re ects the fact that the stochastic model represents a model for the joint e8ects of
the uctuating pressure gradient and the uctuating viscous term. The Arst mean equation where
these e8ects appear is the second-order one through the mean work performed by these forces.
The particular form of the second-order equation is of course dependent on the expression of
the matrix G or G a . For di8erent forms, we get di8erent models of Hij while with the simplest
form, G a = 0, the Rotta model (simple return-to-isotropy term) is retrieved. Through di8erent
constitutive laws for G a , one can get various turbulence models. This connection between La-
grangian stochastic equations and Reynolds stress modelling has been comprehensively detailed
in some papers [10,61] and these works are referred to for further details.
The mean equation picture is completed by writing the equation satisAed by the mean fre-
quency rate !. Following the same derivation, one gets
9! 9! 9uj !
+ Uj + = −!2 (S! − h) : (264)
9t 9xj 9xj
6.7.3. Compressible ;ows

Mean equations for variable density and compressible ows are derived from the stochastic
equations (provided the necessary supplementary models for scalars and other quantities entering
the chosen models are introduced) with the same procedure. In that case, the proper quantity
to handle is the Eulerian mass density function F E which satisAes the same equation as the
Lagrangian transitional pdf. The mean values obtained from this mdf are the Favre-averaged
means deAned by

(t; x)H̃(t; x) = H(V; )F E (t; x; V; ) d V d : (265)
6.8. Physical and information contents
In this paragraph, we provide a short summary of the main ideas and we discuss physical
aspects of the modelling steps as well as the information content of present models. It is
important to be aware of the relation between a choice of a state vector and of a stochastic
model on the one hand and the corresponding loss of information on the other hand. This point
is discussed in the last part of this subsection.
6.8.1. Summary of the modelling steps

Brie y speaking, we can merge the Lagrangian and the trajectory point of view and say that
the exact instantaneous equations are replaced by modelled ones (stochastic models) which still
describe the instantaneous behaviour. This is expressed by the following sketch:
 + +

 d xi = Ui d t
  d xi = Ui d t

+ ⇒ : (266)
 1 9P  1 9P
 d Ui+ = − + QUi dt  d Ui = − d t + Di d t + C0 + d Wi
9xi 9xi
The complete model consists therefore in a stochastic di8usion process in terms of the state
vector Z = (x; U) (the stand-alone model contains an equation for the dissipation rate and the
vector state is extended to Z = (x; U; +) but we leave out this last model in the present section).
The trajectories of the process are continuous and a linear law is used for the drift vector Di as a
function of the instantaneous particle velocities. This translates, in turbulence modelling, classical
arguments from Statistical Physics. However, the matrices G and G a can be any function of
mean quantities and the resulting pressure rate of strain model in the second-order equations
can be of any form. The precise expression for G a is not provided by the present derivation
and a constitutive law still has to be assumed to get a closed expression. The preceding section
has shown that there is a strong connection between the present class of Lagrangian stochastic
models and second-order equations [7] and this connection is even often put forward as a
justiAcation of the Lagrangian models. In the present document, another route has been followed.
We have worked our way from the Navier–Stokes equations by directly injecting a model
for the instantaneous variables which are considered. This is indeed a mesoscopic model in
agreement with the general approach described at the beginning of this section. We have used
the Kolmogorov theory to help us make a physically based choice of the variables retained in
the state vector and to suggest that, at high Reynolds numbers, the uid particle acceleration
was the good variable to eliminate.
6.8.2. Physical content

We can try to outline the physics accounted for or left out of the present approach by refor-
mulating the modelling steps with a slightly di8erent language. The uid particle acceleration
A is in fact split into three contributions,
1 9P
A=− + G(U − U) + : (267)
9x !"#
!" # As
Al
The sum of the Arst two terms on the rhs, denoted by Al may be regarded as representing the
pressure-gradient due to the large scales. In the present one-point framework, this term has to
be modelled and is here subdivided into a mean (in the spirit of Reynolds decomposition) and
a return-to-the-mean term. This is also a weakness of present one-point formulations since a
satisfactory model for the rapid pressure term remains an open issue. A better idea would prob-
ably be to try to calculate directly these large scale part of the interactions between particles,
in the spirit of the decomposition performed in large eddy simulations (LES). Proposals along
that line of reasoning and suggestions on how to couple present methods with other particle
methods such as S.P.H. will be put forward in Section 9.3.2. Yet, in spite of their current lim-
itations, present stochastic models have a crucial advantage over classical approaches including
the more-advanced LES method: they explicitly simulate all the scales at a given point within
the ow and not simply the Arst two moments as Reynolds stress models, see Section 6.3,
or just the larger scales as in LES models. This is manifested by the explicit simulation of
As = for each particle and not just their indirect in uence on the average terms, such as A
or Ai Uj . The direct consequence is that local source terms and particularly those that depend
upon the entire range of scales, such as chemical reactive source terms, are treated without
approximation, see Section 6.5.3. On the contrary, even LES methods in spite of their interest
for large scales predictions are faced with the same di@cult closure requirement for the small
scales. Doing a poor job at that stage, or neglecting the sub-grid scalar uctuations on the
source terms, can result in predictions that can be completely inaccurate as was shown recently
in simple mixing ows [62,63].
In the language of Statistical Physics, the present modelling step, Eq. (266), can be seen
as a kind of mean-Aeld approximation. We have replaced the real problem of N interacting
particles by N particles that interact with a mean Aeld. The particles do not interact directly
but create a mean Aeld or ‘potential’ that is applied to each one. It is also called a ‘weak
interaction’ approximation, an expression which highlights already some of its limitations in
turbulence modelling. The last term in the acceleration decomposition, , represents small scale
uctuations. At high-Reynolds, is treated as a fast process and is replaced by a white-noise
term. Indeed, since it represents small scale e8ects, it can be seen as a (real) process whose time
scale is of the order of the Kolmogorov time scale $@ and whose variance is from Kolmogorov
hypotheses
+
()2 ∼ : (268)
$@
Therefore, we have when Re → ∞
$@ → 0; ()2 → ∞ with ()2 × $@ → D = + : (269)
This is fully consistent with the reasoning presented in Section 4 to justify the shift from a real
process to a white-noise process. Such a move is therefore justiAed and mathematically-supported.
Furthermore, the Anite trace which is left when the fast process is eliminated is the expression
of one keystone of Kolmogorov theory which states that, as → 0 or Re → ∞, the dissipation
rate of turbulent kinetic energy tends towards a Anite and non-zero limit. The closure model for
is written even in the general case of non-homogeneous turbulence. In that case, the model
is local in space

dt → C0 +(t; x) d W : (270)
Re→∞
This is also in line with the ideas of Section 4 and with the notion of slaving variables. The
fast variable is slaved by the slow variable, here the position x, and is replaced by its limit
value. This is one way to express the ideas of the (local) equilibrium of the small scales.
In summary, we can say that there is about as much physics in present pdf models as in
Reynolds-stress models, as far as the predictions of mean velocity and=or temperature Aelds
are concerned. The main interest is to provide more local information on the ow and, in
particular, on small scales. On the one hand, phenomena governed by small scales as well as
large scales are still correctly treated and deviations from Gaussianity can be captured (since the
information contains higher-order moments). On the other hand, there is no instantaneous Aeld
in these methods and, as such, cannot pretend to simulate coherent structures. These questions
will be addressed again in Sections 9.3.1 and 9.3.2. Numerical examples are presented below
in Section 6.9 in order to illustrate the previous points by numerical outcomes and to give an
idea of how the method works in practice.
6.8.3. Information content

It is also useful to emphasize the information content of present models: what is the kind of
information available and what is lost? Indeed, a modelling step, such as Eq. (270), in which a
di8erentiable process is replaced by a non-di8erentiable process (a white noise) has important
consequences. From the considerations developed in Section 4, it is clear that such a move
implies an irreversible loss of information. In our case, acceleration is eliminated from the state
vector which is valid provided the system (a uid particle) is observed on a ‘large enough time
scale’, that is provided we have
$@ d t T : (271)
As a consequence, terms related to the acceleration or governed by what happens in the range
d t $@ in which the model is not valid may not be treated correctly. A good example is the
behaviour of the autocorrelation near the origin. This quantity is of importance in dispersion
models for two-phase ows (it will be discussed in Section 7 and in particular in Section
7.5.3). Let us consider, for the sake of simplicity, homogeneous stationary turbulence when
present models have the simple generic form
U √
d U = − d t + < d t with < d t = K d W : (272)
TL
The notations have been chosen so as to agree with those used in Section 4.3. From the results
given in that section, we know that when the limit of a white-noise term is taken as in
Eq. (270), the autocorrelation is an exponential function

U (t0 )U (t0 + s) s
Rf (s) = = exp − : (273)
U 2 (t0 ) T
Then, the derivative of Rf (s) at the origin is

d Rf (s) 1
Rf (0) = =− ; (274)
ds s=0 T
instead of zero as it should be for a real process, see Section 5. However, this is not really
a new element and it cannot be used to criticize the Langevin model. Indeed, the slope of
Rf (s) when s → 0 is governed by the acceleration, or in other words by the behaviour of the
increments of uid velocities over time steps in the range d t $@ , that is outside the range of
validity of the model. This can be seen by considering increments of Rf (s) around s = 0 for
small values of s
1 1 <(0)U (0)
d Rf (s) = Rf (s) − Rf (0) = U (0) d U (s) = − d s + ds : (275)
U
2 T U 2
√
When < is treated as a white noise (details on the acceleration are lost), i.e. < d s = K d W ,
then from the rules of stochastic calculus, we have
1 1
<(0)U (0) = 0 ⇒ d Rf (s) = − d s or Rf (0) = − : (276)
T T
Yet, when acceleration remains a di8erentiable process, the rules of classical calculus apply.
From the conservation of energy, U 2 we have
U 2 U 2
dU 2 = −2 d t + 2<U d t = 0 ⇒ <U = (277)
T T
and, in that case, we obtain the correct derivative for Rf (s), Rf (0) = 0. In consequence, if one is
interested in the behaviour of Rf (t) near the origin, then particle acceleration must be properly
handled in the modelling steps. From the discussion in Section 4.3, a satisfactory answer is to
include the acceleration in the state vector and to reject the model to the time rate of change
of the acceleration. For example, in the last process presented in Section 4.3, Eqs. (109), is
not a white noise but a coloured noise. Thus, the acceleration exists (U is now a di8erentiable
process). Such a model may be useful to simulate uid velocity even when d t $@ by assuming
that the characteristic time scale of , that is $ in Eqs. (109), is equal to the Kolmogorov time
scale $ = $@ . From the results of Section 4, the form of the velocity autocorrelation is
1 $
Rf (s) = e−s=T − e−s=$ ; (278)
1 − $=T T
which does respect the two constraints Rf (0) = 0 and Rf (0) = 0. It is also clear from the above
expression, that the correct limit is a question of how the limit is taken when both s and $ go
to zero. If for a Axed s, we Arst take the limit $ → 0, then we retrieve the Langevin model for
uid velocities and in consequence the slope is not correct. On the other hand, if we take Arst
the limit s → 0 for a Axed $ which means that we Arst calculate Rf (0) when uid acceleration
still exist, and then $ → 0, we have the correct limit.
The point emphasized by this example is that one should be aware of the resulting loss of
information implied by the necessary modelling steps such as in Eq. (270). A clear physical
analysis must then be performed beforehand in order to identify what variables are needed for
speciAc issues.
6.9. Numerical examples
In the last part of this section, we present and discuss numerical simulations based on pdf
models. These numerical examples illustrate how the method works in practice and the kind of
information that can be extracted from present models.
Present pdf or particle stochastic models can be applied di8erently. First of all, pdf models
can be coupled to conventional Eulerian solvers in various ways. In some applications, the pdf
approach is limited to scalars variables (in order to treat reaction sources terms correctly) while
the Aelds of mean velocity, Reynolds stresses and mean pressure are calculated by solving their
PDEs (partial di8erential equations) on a mesh using classical numerical methods such as Anite
volume. Thus, an Eulerian solver provides a particle (or pdf) solver with these mean Aelds, and
in return the particle solver sends back the value of the mean source terms and of the mean
density to the Eulerian solver. In other numerical methods, the moment and pdf approaches are
also coupled for the solution of the dynamical variables. For example, one can compute the
mean Navier–Stokes equation with a classical Eulerian solver, but where the Reynolds stresses
are calculated from the particle set instead of being modelled as in k–+ models. This coupled
numerical method was applied by Haworth and El Tahry in an interesting industrial application
[64]. A new coupling procedure has recently been put forward [65], in which the Eulerian and
Lagrangian solvers are coupled in a consistent way (the introduction of this article provides an
up-to-date overview of the various coupling strategies). The coupling of pdf models to Eulerian
solvers is not a necessity and a second class of numerical methods makes use only of particles.
There is no Eulerian solver in the background and everything (all the necessary or useful Aelds)
are computed from the set of particles. This is called a stand-alone pdf code. This method is
by construction fully consistent since there is only one approach (the Lagrangian one using
stochastic particles). From a strictly practical point of view, this stand-alone approach may not
be the most e@cient in terms of computational costs [65]. However, a stand-alone simulation
represents a more stringent numerical test compared to coupled approaches. Since there is no
Eulerian calculation performed with classical models, any numerical bias or ill-posed numerical
algorithm that could be present in the pdf solver is clearly revealed whereas it could remain
hidden in a coupled numerical solution. The simulations presented below have been obtained
with such a stand-alone approach.
Various applications have been described by Pope and di8erent co-workers over the years.
These are summarized in a speciAc chapter (Chapter 12) of Pope’s textbook on Turbulent Flows
[27]. A detailed analysis of numerical errors and performances of the related stand-alone code
has been given by Xu and Pope recently [56]. Another stand-alone code has been developed
by the Arst author of this paper in collaboration with Jacek Pozorski (IMP, Polish Academy of
Science, Gdansk) and the simulations described below have been obtained with this code. Details
on the numerical algorithm have been provided in a recent publication along with one speciAc
application [66]. A comprehensive discussion of the overall algorithm or of speciAc numerical
Fig. 9. Weak approximation of the pdf.
steps is not within the scope of the present paper (which is devoted mainly to two-phase ows),
but it may be useful to give the main lines:
• the ow is represented by a large number of particles. These particles correspond to samples

of the one-point pdf, or represent di8erent realizations of the ow,
• a number of variables (position, velocity, turbulent frequency, scalars, etc.) are attached to
each particle. The particles are statistical models of real uid particles and the time evolution
equations of particle variables are (generally) stochastic equations.
• the meaningful quantities are statistical averages and are calculated locally as ensemble av-
erages from the set of particles found in a small volume around the point of interest, see
Fig. 9. This corresponds to a weak approximation of the underlying one-point pdf, as indi-
cated in Sections 2.1.2 and 2.10, with the exact pdf being approximated by
N
1 i
p( ) pN ( ) = ( − ); (279)
N
i=1
where i is the value of the variable attached to the particle labelled i and is the
corresponding sample-space variable.
For a given application, the domain is Arst covered with a mesh and is thus divided into small
cells. Although the stand-alone approach is in spirit a grid-free method, a mesh is introduced
for practical reasons. The mesh is used to locate particles and to calculate statistical averages
from the set of particles present in each cell (or perhaps in neighbouring cells also depending
upon the chosen method) and also to compute the mean pressure Aeld required to satisfy
the mean continuity equation (which is therefore satisAed at the level of the size of a cell)
[66]. The global numerical method falls therefore in the category of Monte Carlo particle=mesh
approach. A large number of particles are distributed continuously in the domain. At each time
step, particle properties are updated by integrating the stochastic di8erential equations in time.
Boundary conditions are applied and particles may leave or enter the domain depending upon
the case considered. Then, particle locations and velocities are corrected so as to ensure the
Fig. 10. Sketch of a mixing layer.
mean continuity equation [66]. Finally, statistical quantities, such as the mean velocity Aeld,
Reynolds stresses,: : : ; are computed in each cell as local ensemble averages.
6.9.1. Mixing layer

The Arst example described is a mixing layer, see Fig. 10. This is a typical free shear ow
which has been well studied over the years. A mixing layer is a turbulent ow obtained by
mixing two streams of di8erent velocities, say Ul and Uh (with Ul 6 Uh ). The characteristic
scales are indicated in Fig. 10: a longitudinal scale L which scales as x, a transverse scale l, a
velocity scale Us = Uh − Ul and a velocity scale for turbulence u. We deAne the characteristic
width of the ow by = y0:95 − y0:05 where y0:05 is the location at which we have U (y) =
Ul + 0:05Us and y0:95 the location at which we have U (y) = Ul + 0:95Us .
As other free shear ows, mixing layers are evolving ows and the transverse distributions
of the di8erent variables change with the downstream position. However, an experimentally
supported assumption is to regard these ows as self-preserving: the di8erent variables retain
the same form and become independent of the longitudinal coordinate x once they are scaled by
the corresponding scales (which grow as a function of x). For a mixing layer, the driving force
Us remains constant. The turbulent velocity scale u satisAes u=Us = O(=L)1=2 . The characteristic
width of the ow grows linearly with x and consequently the ratio =L is constant. Then,
u is a constant fraction of Us and is also constant. Experimental evidence indicate that the
entrainment parameter
U + Uh d
S= l (280)
Uh − Ul d x
is constant S 0:056.
We present some results for a mixing layer with Ul = 1 m= s and Uh = 1:5 m= s. Further
details can be found in a proceeding paper which describes the computation results [59]. The
ratio Ul =Uh = 0:67 is close to one, and thus the present case corresponds approximatively to
a temporal mixing layer. For this calculation, a speciAc version of the general algorithm was
used. Computations were performed with the boundary-layer algorithm [6] in which particles
represent a Axed amount of axial momentum instead of a Axed amount of mass and are marched
downstream until a self-similar state is reached. The numbers of particles simulated varied from
Fig. 11. ProAle of the mean axial velocity. Comparison with the experiments of Wygnanski and Fiedler (•),
Patel (?) and Champagne et al. ( ).
about 15 000 at the beginning of the computations to about 100 000 at the end. The overall
calculation took around 30 –35 mns for 1000 time steps on a 40 MEGAFLOPS HP workstation.
It must be noted that the pdf model used in the calculations correspond to the reAned Langevin
model [58] in which the di8usion coe@cient in the velocity equation is written in terms of the
instantaneous dissipation rate instead of the mean value. The detailed form of this model is more
complicated compared to the models presented in Section 6.6 with many additional variables
that increase the computational costs with respect to the simpler SLM (simple Langevin model).
The calculated spreading rate d = d x is found to be 0:036 whereas the experimental formula
predicts a value of 0:037. It is Arst assessed that a self-similar state is reached by checking
that proAles plotted as a function of @ = y= collapse on the same curves. Then, the proAles
of mean quantities are compared to the experimental measurements of Patel [67], Champagne
et al. [68] and Wygnanski and Fiedler [69]. The mean velocity and the non-zero components of
the Reynolds stress tensor are shown in Figs. 11 and 12. Higher-order moments which are not
accessible for classical turbulence models are easily calculated from the set of particles with
nearly no extra computational costs. For example, triple correlations and skewness and atness
factors of the velocity components are displayed in Figs. 13 and 14.
The following Agures illustrate the type of information that can be extracted from the model.
Fig. 15 is a scatter plot of the instantaneous streamwise velocity of a selection of particles (of the
order of 10 000 particles). The low-speed and the high-speed sides are clearly visible; particles
are in a laminar state and have nearly the same velocity which collapses on a single line. In
the core of the mixing layer, the ow is turbulent and instantaneous velocities are scattered. At
a given lateral location, the spread is representative of the axial velocity variance uu1=2 . The
next Agure is very instructive (Fig. 16). It displays a scatter plot of the instantaneous value of
the logarithm of the relaxation rate log ! for the same group of particles. At the centre of the
mixing layer (@ = 0), values of the random variable are spread around a central value. Only
one group is visible and the level of log ! is a Arst hint that they are all turbulent particles.
At the edges of the layer (for example, @ = y= = 0:15), a di8erent behaviour is evident: there
is clearly a bimodal distribution. Particles which are located in the corresponding cell can be
divided into two groups. The Arst group is made up of particles with roughly the same level of
Fig. 12. ProAles of the Reynolds stress components. Comparison with the experiments of Wygnanski and Fiedler
(•), Patel (?) and Champagne et al. ( ).
Fig. 13. Various third-order moments. Comparison with the experiments of Wygnanski and Fiedler (•). The solid
line is to be compared with the Alled symbol while the dotted line is to be compared with the empty symbols.
log ! than those which are in the centre of the layer. Compared with the particles which are in
the centre, less particles constitute this Arst subset. The second subset is made up of particles
having the same low value of !, ! 0, indicative of laminar particles. These two subsets
represent turbulent and laminar particles, respectively, and their simultaneous presence is the
Fig. 14. Skewness and atness factors. Comparison with the experiments of Wygnanski and Fiedler (•) and
Champagne et al. ( ).
Fig. 15. Scatter plot of axial instantaneous particle velocities.
Fig. 16. Scatter plot of the logarithm of the instantaneous relaxation rate of an ensemble of particles.
translation of the intermittent nature of the ow. In order to bring out this intermittent behaviour
in a more quantitative way, the pdf of the local relaxation rate can be derived. Two cells have
been considered, one in the centre of the mixing layer where the uid is fully turbulent and
one at the edge of the layer where the ow is highly intermittent. By considering the ensemble
of particles present in these cells and by sorting the value of ! into bins, it is possible to
plot the pdf of the random variable !. Fig. 17 presents the result in the centre of the layer.
Fig. 17. Distribution of the pdf of the dissipation rate ! in the centre of the mixing layer.
Fig. 18. Distribution of the pdf of the dissipation rate ! at the edge of the mixing layer.
Only one group of particles is present (turbulent particles, < 1) and the distribution follows a
log-normal law. Such an outcome should not be regarded as a prediction of the model. Indeed,
the model is built upon the reAned Kolmogorov hypotheses [58] and therefore assumes that the
relaxation rate is lognormally distributed. However, this Agure re ects an important physical
behaviour: at one location, even when the ow is fully turbulent, dissipation is not given by a
simple value + but is a random variable. In a homogeneous Aeld, instantaneous snapshots of
the dissipation would reveal regions of high turbulent activity (high value of +) concentrated in
small volumes of the ow (low probability of these events). This spotty picture becomes more
evident as the Reynolds number increases and is the signature of internal intermittency.
Another type of behaviour is brought out by drawing similar results with the cell near one
edge of the layer (Fig. 18). As described above, there are two groups of particles. Particles
belonging to the laminar subset have all the value ! 0 therefore building a Dirac at the
origin. Particles in the turbulent subset have scattered values and give rise to the second part of
the curve. Although not obvious from the graph, the instantaneous values within the turbulent
subset follow a log-normal law. The typical log-normal distribution is here attened since tur-
bulent particles represent a small fraction of the whole set. The relative importance of the two
distributions (Dirac versus log-normal) manifests the relative importance of the two subsets and
represents directly the intermittent factor <. It is here a result of the present approach and proves
that the model is able to simulate external intermittency. The ability of pdf models to simulate
naturally external intermittency, and to give access to conditional statistics (statistics calcu-
lated only with ‘turbulent’ particles) as well as unconditional statistics is an attractive feature.
A detailed physical analysis of the external intermittency coe@cient and its relation with vari-
ables of the model (in particular the dissipation-weighted kinetic energy) was proposed in [59].
The comparison between calculated and experimental intermittency coe@cients is shown in Fig.
19. Other results showing the deviation of the pdf of velocity components from Gaussianity
were also presented in the same work [59].
Fig. 19. External intermittency coe@cient. Comparison with the experiments of Wygnanski and Fiedler (•). The
solid line represents a direct computation based on the fraction of turbulent particles in each cell. The dotted line is
the evaluation of < based on the expression the ratio k= k̃ of the kinetic energy over the dissipation-weighted kinetic
energy.
Fig. 20. Sketch of the turbulent channel ow with an indication of typical boundary conditions.
6.9.2. Channel ;ow

Another class of ow concern wall-bounded turbulent ows. A typical example is the channel
ow. A sketch of the geometry is given in Fig. 20.
Compared to free shear- ows, computations of wall-boundary conditions require proper par-
ticle boundary conditions. These conditions have been developed in a recently published paper
[66]. In this work, a complete 2D algorithm was detailed and results obtained on a high Reynolds
channel ow have been presented including an analysis of numerical errors and the importance
of variance reduction techniques. The independence of results with respect to the choice of the
mesh and to the choice of the number of particles per cell was also demonstrated [66].
Fig. 21. Mean streamwise velocity and Reynolds stress as a function of the normalized cross-stream coordinate.
Time-averaged results are presented below. They represent a typical pdf calculation of a high
Reynolds channel ow (Re = 120 000 based on the channel half-width and the bulk velocity,
or Re$ = 4800 based on the friction velocity) and compared to the experimental results of
Comte–Bellot. Numerical computations took 5 mns to compute 1000 time steps with 25 000
particles with a 10 × 25 mesh on a HP785=C3000 workstation. Since detailed numerical results
are well described in [66], we limit ourselves to two main outcomes. These results have been
obtained with the SLM model instead of the RLM (reAned Langevin model) model used for
the mixing layer case and the equations of the model correspond to the models described in
Section 6.6. The corresponding second-order model is the Rotta model which includes only
a return to isotropy term. This is not the best model to use to obtain the most satisfactory
agreement with experimental data. However, the purpose of the computations presented here
is more to illustrate the approach and to validate the overall numerical algorithm rather than
to obtain the best possible results. The plots in Fig. 21 present mean streamwise velocity as
well as components of the Reynolds stress tensor Rij . The limits obtained in the simulations for
the values of the Reynolds stress components at the wall are in line with the analytical values
derived from the choice of the model in the logarithmic layer [66].
Higher-order statistics have also been computed, for example the skewness and the atness
of velocity components which are useful to analyse the deviations of velocity pdfs from Gaus-
sianity. They are shown in Fig. 22.
6.9.3. Heated channel ;ow

Finally, we report computational results for scalar variables. The Arst two cases presented
above concerned only dynamical variables. The interest in pdf models increases when more
complex physics come into play, since their inclusion represent only a small overhead. For
Fig. 22. Skewness and atness factors of velocity components as a function of the normalized wall distance.
Comparison with the experiment of Comte–Bellot.
Fig. 23. Sketch of the heated channel ow with an indication of typical boundary conditions.
example, to simulate a turbulent ow with heat exchange one has to extend the particle state
vector to scalar variables for which modelled time-evolution equations have to be written.
Typical models for scalars, as well as related issues, are discussed in Section 9.3.3. As a direct
follow-up of previous calculations, we present below results for a heated channel ow where
temperature is treated as a passive scalar with constant heat ux at the walls. A sketch of the
problem with particle boundary conditions is shown in Fig. 23.
This calculation is a recent computation obtained with a full velocity-scalar pdf stand-alone
approach and with the numerical code developed with Jacek Pozorski (IMP, Polish Academy
of Science, Gdansk). Results were Arst presented in a conference poster paper [70]. Yet, the
Fig. 24. Temperature pdf in the core region of the heated=cooled channel. Left: scatter plot of instantaneous particle
temperatures. Right: resulting pdf and histogram.
Fig. 25. Temperature pdfs in the core region of the heated=cooled channel. Comparison of computed pdf
(solid line) and Gaussian pdf (dotted line).
case is still being investigated and we only describe here preliminary results. Fig. 24 represents
a scatter plot of instantaneous particle temperature values in a small volume located near the
core region of the channel. The pdf corresponding to this temperature distributions is deduced
simply by bin-counting and is also shown in Fig. 24. It is clear from this result that the pdf is
non-Gaussian and this is further revealed in Fig. 25 by comparing directly the calculated pdf
with the Gaussian form. It is seen that the model captures a deviation from Gaussian statistics
in this non-homogeneous case.
7. One-point particle pdf models in two-phase 7ows
Most of the necessary preliminary work has been performed and we are in a position
to develop the pdf approach to two-phase ows. Indeed, the mathematical tools were ex-
plained in Section 2, the relations between various state vectors and the hierarchies of pdf
equations have been revealed in Section 3 and the physical meaning of using SDEs has
been proposed in Section 4. Furthermore, Section 6 has shown how to apply these con-
cepts for single-phase pdf modelling, already introducing all the ideas behind the pro-
babilistic description of turbulent ows. All these tools and results will now be used
directly.
The pdf approach to two-phase ow modelling will be divided into two sections, the present
one and the following one. The following one will deal with the complete formalism for the
two phases, the uid and the particle phases, while the present section adopts a pdf point of
view only for the particle phase. This is done for two main reasons. First of all, this two-step
approach towards the complete pdf formalism greatly simpliAes the theoretical and probabilis-
tic tools. We will then be able to provide an in-depth discussion of some of the physical
issues involved without being impeded by the mathematical framework. A second reason is
that, by making this choice, the approach presented in this section falls into the rather clas-
sical Lagrangian, also called particle-tracking approach for which a vast literature exists, see
for example one of the latest reviews by Stock [12] and the references quoted inside. In this
literature, the modelling problem is addressed directly through an heuristic use of stochastic
models and without making much use of the mathematical background. Although this short-cut
method may allow one to obtain quickly numerical answers to certain problems, it is be-
lieved that paying not enough attention to the theoretical framework has several drawbacks
and quite often leads to severe shortcomings. For instance, a lack of understanding on the as-
sumptions behind stochastic modelling brings about confusion on the nature of the approach.
Moreover, the fact that many models actually belong to the same class is missed and these
models are believed to be di8erent (for example, the presentation of Markov chains versus
random walks as if they were completely di8erent mathematical objects or the fact that cur-
rent Lagrangian models are pdf models is not understood). Finally and even more importantly,
some di@culties are created that actually do not exist (one such example is the notion of the
so-called spurious drifts, see Section 7.5.2) while important open questions do not receive
enough attention.
With respect to that context, the objectives of the present section are
(i) to precise what a pdf description is, as well as its relation with macroscopic approaches
and its interest,
(ii) to give an idea of the physical content of present state-of-the-art models and to emphasize
the real modelling issues,
(iii) to show that, once mathematical properties and the physical assumptions behind stochastic
models are clearly explained, a number of di@culties disappear,
(iv) to present numerical examples that illustrate how pdf models work in practice and the kind
of information they provide.
7.1. Fundamental equations and modelling approaches
The case of dispersed two-phase ows is now considered, i.e. ows where a continuous
phase (a gas or a liquid) is carrying discrete particles (solid particles, droplets, bubbles, etc.),
so that, for instance, cases like wavy or slugging two-phase ows are outside the scope
of the present work. We will also assume that the characteristic length scale of the
discrete particle is much smaller than the characteristic length scale of the continuous
phase. New physical points, related to motion of discrete particles in turbulent ows, are intro-
duced in this section and are worth detailing. The form of discrete particle equa-
tions is Arst discussed before considering various modelling approaches that can be
followed.
7.1.1. Particle equation of motion

The starting point of the statistical approach is to write the exact equations of motion of
the discrete particles. Loosely speaking, these equations are the equivalent of the fundamental
equations for the uid phase, that is the Navier–Stokes equations. Yet, the situation is more
complex: the equations of motion for a discrete particle in a turbulent ow Aeld do not have
the same level of validity as the Navier–Stokes equations and the exact form remains a subject
of current research.
This question has a long history. Stokes Arst worked out the resistive drag force for a steady
creeping ow in 1851. Basset (1888), Boussinesq (1903) and Oseen (1927) then extended the
equation to the case of a particle accelerating in a uid at rest. Tchen, in 1947 [71], was the
Arst to generalize this equation for a particle in a turbulent ow. Since then, various contributors
have addressed the question and have proposed modiAcations of the expression of the forces,
however often in an ad hoc manner. The derivation of the forces was analytically carried out
from Arst principles by Maxey and Riley [72] and more rigorously (in our opinion) by Gatignol
[73]. In the following, we Arst indicate the main results and then discuss more at length speciAc
issues.
For negligible relative Reynolds numbers, Rep = dp |Ur |= f based on the particle diameter dp
and on the local instantaneous relative velocity between the uid and the particle Ur = Us − Up ,
the equation has the form
d xp
= Up ; (281a)
dt
d Up
mp = F1 + F2 : (281b)
dt
Here, mp = p ((d3p =6) is the particle mass, F1 accounts for the so-called pressure-gradient and
the buoyancy forces whereas F2 stands for the drag, added-mass and Basset forces
(d3p DUs (d3p

F1 = + (p − f )g ; (282a)
6 f Dt 6
F2 = 3(dp f f (Us − Up )
t
(d3p DUs d Up 3 2 √ d d$
+ f − + dp f ( f (Us − Up ) √ : (282b)
12 Dt dt 2 −∞ d $ t−$
In these equations, Us = U(xp (t); t) is the uid velocity seen, i.e. the uid velocity sampled
along the particle trajectory xp (t), not to be confused with the uid velocity Uf = U(xf (t); t)
denoted with the subscript f. The expressions above involve particle and uid accelerations,
respectively d Up = d t and DUs =Dt. The precise form of the ‘ uid acceleration’ is still dis-
cussed. As will be seen below, that question is not important for heavy particles. It is how-
ever of signiAcance for lighter particles, such as bubbles, and will be discussed later on in
Section 7.5.6. The division of the forces exerted by the uid on the particle into two terms
has some physical meaning. In the course of the mathematical derivation, it is convenient to
write the instantaneous velocity Aeld surrounding the particle as the sum of an ‘undisturbed’
Aeld (the velocity Aeld that would exist if the particle was not present) and a ‘disturbance’
Aeld which represents the in uence of the particle. Such a division is possible since dropping
the inertia term (thanks to the assumption of small relative Reynolds number) transforms the
problem into a linear one. The ‘undisturbed’ Aeld manifests itself through the pressure-gradient
and buoyancy forces. On the other hand, the drag, added-mass and Basset forces arise from
the ‘disturbance’ Aeld (evidenced by the presence of the relative velocity in the mathematical
expressions of the forces) and are expressed as a function of the ‘undisturbed’ velocity at the
centre of the particle (which is the precise deAnition of the velocity of the uid seen Us ). It is
worth noting that it is the mathematical treatment which Arst yields the above equations which
are then physically interpreted.
The analytical results stated above rely upon the assumption that Rep 1. For higher Rep ,
when exact calculation cannot be performed anymore, it is assumed that the di8erent forces
already isolated are still present, but with a generalized expression. For example, the drag force
is generalized with the help of a drag coe@cient CD . The situation is more complicated for the
added-mass and Basset forces. However, one can propose [74]
d Up
mp = F1 + F2 ; (283)
dt
where
1 (d2p
F2 = CD |Us − Up |(Us − Up )
2 4 f
t
(d3p DUs d Up 3 2 √ d d$
+ − + dp f ( f (Us − Up ) √ : (284)
12 f Dt dt 2 −∞ d $ t−$
The added-mass and Basset forces are left unchanged while the drag force has now a quadratic
form. The drag coe@cient is an empirical coe@cient that can be estimated through experiments.
Various expressions have been put forward, cf. Clift et al. [75], among which an often retained
form is

 24 [1 + 0:15Rep0:687 ]

if Rep 6 1000 ;
CD = Rep (285)


0:44 if Rep ¿ 1000 :
For heavy particles where p f , the drag and gravity forces are the dominant forces and the
particle equation of motion is reduced to
d Up 1
= (Us − Up ) + g : (286)
dt $p
The drag force has been written in this form to bring out the particle relaxation time scale
p 4dp
$p = : (287)
f 3CD |Ur |
In Eq. (286), $p appears as the only scale, and is the time necessary for a particle to adjust to
uid velocities. In the limit when Rep 1, it is seen from the expression of CD in that range
that
p d2p
$p = (288)
f 18 f
which is the Stokes value. Even in that limit regime, the particle relaxation time scale is already
a non-linear function (here quadratic) of particle properties (the particle diameter dp ). Outside
the Stokes regime, the dependence of $p on particle properties and variables, such as Us and
Up , is more complicated.
Actually, the fact that the added-mass and Basset forces can be neglected with respect to
the drag force, when p f , is not so obvious from the expressions of the di8erent forces in
Eq. (284) since the particle density is nowhere present on the right-hand side of the equation.
This can be justiAed by going back to the analysis of the basic equations, see [73]. The Navier–
Stokes equation for the ‘disturbance’ Aeld, say W, around the solid particle is in the creeping
regime,
9Wi 1 9p 92 Wi
=− + f 2 : (289)
9t f 9xi 9xi
The boundary conditions on the particle surface and at inAnity are

W = −Uf + Up on the particle surface ;
(290)
 (W; p) → (0; 0) when r → ∞ :
The important step is dimensional analysis. We introduce the particle diameter dp as the rele-
vant length scale, Wr as a relevant scale for the relative velocity and $0 as the relevant time
scale. With these typical scales, the Navier–Stokes equation is now, using a star to indicate
non-dimensional quantities
9W ∗ 9p ∗ 92 W ∗ d2p
(Rep St) ∗i = − ∗ + ∗ i ∗ ; Rep St = : (291)
9t 9 xi 9xi 9xi f $0
Obviously, the choice of the time scale is crucial to the problem. If the time scale $0 is much
larger than the viscous time scale, $0 d2p = f , the uid derivative can be neglected and the
Navier–Stokes equation is reduced to the Stokes problem around a particle (stationary creeping
ow). The force exerted on the particle is then limited to the drag force. On the other hand,
if $0 is of the same order of magnitude as the viscous time scale, $0 d2p = f , then the uid
derivative must be retained and this leads to the unsteady terms, the added-mass and Basset
forces. Consequently, everything relies on the evaluation of the time $0 . Now, we are interested
in the particle motion and it seems reasonable to take $0 as the characteristic time for particle
velocity changes, that is as the particle relaxation time scale $0 =$p . At this point of the analysis
$p is still unknown, but can be worked out as follows. Let us Arst assume that when p f ,
$p is very large with respect to d2p = f . Then, the added-mass and the Basset forces may be
forgotten as explained above. Consequently, the particle equation of motion is reduced to
d Up 1 (d2p
mp = CD |Us − Up |(Us − Up ) + mp g (292)
dt 2 4 f
or even
d Up
mp = 3(dp f f (Us − Up ) + mp g ; (293)
dt
since we are in the small Reynolds number regime. From this equation, as already mentioned,
we can isolate the particle relaxation time scale, Eq. (288). Since p f , the relevant time
scale $0 that enters the dimensional analysis is indeed much larger than the viscous time scale
and the assumption is conArmed. This result is only valid for heavy particles, for when p f ,
the reasoning fails to single out a particular time scale. The unsteady terms are of the same
order of magnitude as the stationary drag force and the only characteristic time is the viscous
di8usion time d2p = f . In the following, we mainly limit ourselves to the case of heavy particles
(the problem of bubbles or sediments is addressed in Section 7.5.6). The fundamental equations
that describe heavy particle motion in turbulent ows are therefore made up by Eqs. (281a),
(285), (286) and (287).
When particle loading is not too small, other e8ects come into play. Particle–particle inter-
actions or collisions have to be taken into account and the exchange of momentum and of
energy between the uid and the particles can be expressed by additional source terms in the
Navier–Stokes equations. The above form of the drag coe@cient is essentially for a single par-
ticle embedded in a turbulent ow. When the particle loading increases and we move into the
realm of dense (but still dispersed) two-phase ows, the drag coe@cient for a particle may
be modiAed by the presence and the in uence of other particles. This re ects hydrodynam-
ical forces between discrete particles, see for example [76]. For example, one particle being
in the wake of another particle may well experience a somewhat di8erent drag force com-
pared to the upstream one. The hydrodynamical e8ect remains a di@cult question to take into
account without explicitly simulating the exact behaviour of the uid and the N -interacting
particles.
7.1.2. Various approaches for the dispersed phase

Supplemented with the Aeld equations for the continuous phase, Eqs. (117), the discrete
particle equations given above, Eqs. (281a), (285) – (287) form the set of equations needed to
describe the complete problem. Unfortunately, in practice knowledge of the exact equations of
motion (microscopic level) are not the end of the story. One can argue that an ‘exact approach’
(in the spirit of DNS) is possible: one can solve the local instantaneous Navier–Stokes equations
in which a source term, that represents the exchange of momentum with particles, is added and
the particle trajectories can then be computed since there are no unknowns left, e.g. [77].
However, in the case of a large number of particles and of turbulent ows at high Reynolds
numbers, the number of degrees of freedom (the dimension of the state vector) is huge and
one has to reduce this dimension, or, in the language of statistical physics, to come up with a
contracted description (probabilistic arguments have to be used). As explained in the introduction
of this section, we do not consider here the complete issue of a reduced description through
a unique formalism that includes both the uid and the particle phase (this will be done in
Section 8). We Arst limit ourselves to an hybrid approach where the uid phase is described
only by classical macroscopic methods in single-phase turbulence, such as k–+ or RSM models,
see Section 6.3. This already implies that, for these practical reasons, some information is
disregarded. For example, the hydrodynamical e8ects mentioned above cannot be explicitly
calculated and, if present, would have to be introduced directly through modiAed constitutive
relations for the drag coe@cient CD . In this simpliAed approach, the remaining issue is therefore
to derive a reduced description of the particle phase.
In two-phase ow modelling, two di8erent approaches can be followed for that purpose.
In practice, one of the two possible ways to deal with the problem is the so-called Eulerian
point of view. In this approach, mean Aeld equations are written for both phases expressing the
evolution in time and in space of statistical properties of the uid and of the particles. These
Aeld equations are transport equations involving a limited number of mean properties, at best
the two Arst moments of each phase [78,79]. The other possible approach is the Lagrangian, or
particle-tracking approach. The philosophy of this statistical approach is to consider the solution
of the exact equations as random processes and therefore some statistical closures have to be
introduced on the uid velocity seen, Us . This is achieved by looking at the process at a
mesoscopic scale, that is by replacing the exact instantaneous equations of motion by modelled
ones in the spirit of what was done for single-phase ow turbulence in the previous section
(equations are written for a number of stochastic particles and therefore the particle-tracking
approach is basically a Monte Carlo simulation of an underlying pdf [80]). Since the continuous
phase is then described by classical macroscopic methods, the Lagrangian approach is therefore
a mixed Eulerian=Lagrangian method or, from a numerical point of view, a grid=particle method.
The Eulerian and Lagrangian approaches are often compared directly. Yet, it should be
pointed out that such a comparison is often misleading if one fails to take into account that the
two methods do not belong to the same class of models. Actually, the terms of Eulerian and
Lagrangian do not help to clarify the issue. The central di8erence between the Eulerian and the
Lagrangian approaches does not come from the chosen variables used to write continuum Aeld
equations (the Lagrangian or Eulerian descriptions), but rather from the level of information
contained in each approach. Most of what has been explained in Sections 6.2 and 6.3 can be
applied here. The Eulerian approach is in fact a macroscopic approach: at any point in space, the
Eulerian approach gives at best the two Arst moments of the di8erent variables. The Lagrangian
approach (which should be called instantaneous Lagrangian or stochastic Lagrangian approach)
is a mesoscopic model: it provides the actual pdf (probability density function) everywhere in
the domain, see Section 8.2.7. Consequently, to compare directly for example the computational
costs of the two methods is pointless. One must judge the interest, the di@culty and the inherent
costs of an approach with respect to the amount of information that is supplied.
7.2. Interest of the pdf approach
Even though the di8erence between the two approaches is accounted for, one question
remains: what is the interest of going to a pdf description in two-phase ows?
First of all, even if one is only interested in the two Arst moments of some variables,
it may be useful to develop Arst a Lagrangian model, and then to derive the macroscopic
equations satisAed by the moments which are of interest, such as the mean velocities and the
kinetic energies. This follows strictly the steps described in Section 6.3 for single-phase ows.
That methodology is particularly attractive since closing the moment equations directly at the
macroscopic level through constitutive relations is di@cult in two-phase ows [81]. Furthermore,
the resulting macroscopic models are realizable by construction.
A second reason is related not to particular models, but simply to the level of detail of the
reduced description. For many engineering problems, the macroscopic approach does not supply
enough information to address certain questions. It is very often the case that one is interested
in knowing conditional statistics, for example the mean temperature or the mean velocity of
particles that enter the domain by one speciAc inlet section. Another common concern is to
have indications on the particle residence time distribution within the ow. At a given point
and at a given time, one would be interested in having more information than the sole volume
fraction occupied by particles. For example, one would like to be able to separate the particles
into subclasses depending upon their di8erent residence times or their histories. In some nuclear
concerns, one is interested in knowing how many particles present at a certain point have, at
least once, entered a given zone.
A third reason and by far the most important one, is that there are situations where the
particle-tracking approach resolves closure issues in a way which is very similar to the question
of the reactive source terms, Section 6.5.3. Indeed when particle diameters vary considerably
from particle to particle or when we are confronted with a situation where particles have
completely di8erent histories (highly complicated but local laws), deriving partial di8erential
equations for mean quantities is a thorny issue. The case of complicated source terms happens
whenever we want to have particle evaporation of combustion with complex expressions in
terms of individual particle properties, and is identical to the issue of single-phase source terms
in Section 6.5.3. When dealing with a distribution of particle diameters, one is faced with
the problem of expressing, as a function of mean velocities Us ; Up and the mean particle
diameter dp , quantities such as
Us Up
; : (294)
$p $p
These are complicated functions, due to the complex dependence of $p on particle diameters dp
and also on particle and uid velocities, Eqs. (287) and (285). In theses cases, the Lagrangian
approach is attractive since it treats these phenomena without approximation while the deriva-
tion of closed moment equations is next to impossible unless very crude simpliAcations are
introduced.
In practical calculations, the pdf approach is generally more demanding in terms of com-
putational costs compared to the moment or Eulerian approach. As explained in the previous
subsection, this is not surprising since far more information is resolved. It is not easy to come
up with precise Agures concerning computational overheads, memory requirements for any cal-
culation. Indications and illustrations of the approach will be provided through a discussion of
a number of practical computations in Section 7.6 after the introduction of current pdf models.
Yet, the point made in the present subsection is that, in spite of its current limitations (theoret-
ical and computational), the pdf approach appears at the moment as the only candidate if one
is to simulate ows involving the above-mentioned ‘complex physics’ terms.

The pdf description of particle properties in turbulent ows will be developed from a La-
grangian point of view and using stochastic processes to simulate the variables which are retained
in the state vector. In other words, we adopt a Lagrangian stochastic point of view. This mirrors
the similar choice made in Section 6.5 for the probabilistic description of single-phase turbu-
lent ows. For single-phase ows, since one is dealing with a continuous Aeld, the Lagrangian
description may be surprising and the further notion of a Lagrangian stochastic point of view,
which in fact collapses the two concepts of the trajectory point of view (see Section 2) and
of a uid–particle notion into one idea, has to be explained. In dispersed turbulent two-phase
ows on the contrary, the Lagrangian point of view seems a natural choice since one is dealing
with an ensemble of ‘real’ particles embedded in a ow. Consequently, this choice is not often
discussed. Yet, this should not be passed over too quickly: the Lagrangian stochastic point of
view adopted here is a more involved concept and the explanation given in Section 6.5 remains
valid. We will be handling stochastic particles and we will be representing their behaviour in
time since the transitional pdf is the central notion, as will be detailed in Section 8.
At last, it is worth underlying the interest of the Lagrangian point of view repeatedly put
forward in previous sections. The whole stochastic approach is contained in the replacement of
the exact instantaneous particle equations, Eqs. (281), by modelled but still instantaneous ones.
7.3.2. Choice of the state vector

The present pdf description of particle properties is limited below to one-particle models,
or s = 1 in the notation of Section 3. Higher-order pdfs (two-particle, or even s-particle pdfs)
would require statistical information on the underlying uid at a number of separate spatial
locations for general ows and this remains too di@cult at the moment given current models
for single-phase turbulence. The one-point particle pdf model imposes the Arst constraint on the
number of degrees of freedom (d = p) and the remaining problem is to specify the dimension
of the state vector, p. That choice is very important for modelling purposes and governs the
chances of deriving a satisfactory model, as it was explained in Sections 3 and 4. The discussion
proposed there and the interplay between the choice of the one-particle state vector and the
resulting modelling task takes its full interest for our present need to develop pdf models for
two-phase ows. A direct illustration is that, depending on the number of variables retained in
the one-point pdf approach, several proposals have been made.
The Arst one follows the work of Reeks [82,83], who has proposed, in analogy with the
Kinetic Theory, to retain only position and velocity to address the problem, Z=(xp ; Up ) (kinetic
equation). The uid velocity seen is therefore an external variable and the major challenge is
to express its statistical e8ect. For particles in turbulent ows, this closure is far from being
trivial since history terms are present and one has to use functional calculus to evaluate them.
The proposed closure is developed in sample space, that is following the pdf point of view for
p(t; yp ; Vp )
9p 9 9 Vp; i 9 1
+ [Vp; i p] = p − Us; i |yp ; Vp p ; (295)
9t 9yp; i 9Vp; i $p 9Vp; i $p
where the unknown ux due to the uid seen is modelled by a gradient hypothesis involving
two di8usion tensors #ij and Dij (whose expressions can be found in [82,83])
9p 9p
Us; i |yp ; Vp p = Uf ; i p − #ij − Dij : (296)
9xp; j 9Vp; j
The contracted term Us |yp ; Vp is a short-hand notation for Us |(xp = yp ; Up = Vp ) and
represents the following conditional expectation:

Us |yp ; Vp p(t; yp ; Vp ) = Vs p(t; yp ; Vp ; Vs ) d Vs ; (297)
which is the expected uid velocity seen by a discrete particle, conditioned on the fact that the
discrete particle is at a given position yp with a given velocity Vp .
This particular choice of a state vector seems to be made mainly by analogy with classical
molecular dynamics where it has its justiAcation and where models can be written directly with
these variables (the Boltzmann equation). However, in that case the driving mechanism is mainly
due to kinetic e8ects and there is no underlying phenomenon. For turbulent ows, particles are
carried around by a uid and it is therefore natural to consider whether variables related to
uid properties should be included in the state vector. Indeed, if we consider the limit case of
particles having small inertia, which means that particles nearly behave as uid elements, we
have seen in Section 6 that it is much better to replace uid–particle accelerations by a model
rather than uid–particle velocities. Broadly speaking, uid–particle accelerations are governed
by small scales which have a better chance of showing some universal characteristics whereas
uid–particle velocities are more likely to be problem or ow dependent. Therefore, building
from the uid case, it appears preferable to include uid velocities in the state vector. Since
the present pdf description is limited to particle properties, these uid velocities should be the
ones entering the particle momentum equation, Eq. (281). A second choice for the one-particle
state vector is thus
Z = (xp ; Up ; Us ) : (298)
That choice is in fact common to most Lagrangian models [84] and is also retained here.
Fig. 26. Fluid element and discrete particle motions.
Fig. 27. Fluid element and particle paths.
7.3.3. Unclosed pdf equations

From the choice of the one-particle state vector, the exact pdf equation for p(t; yp ; Vp ; Vs ) is
obtained by applying the techniques of Section 3

9p 9 9 Vs; i − Vp; i 9 $ %
+ [Vp; i p] + p + ;s; i |(yp ; Vp ; Vs )p = 0 ; (299)
9t 9yp; i 9Vp; i $p 9Vs; i
where s stands for the time rate of change of the uid seen along particle trajectories. To
obtain a closed form, a model must be proposed for s .
7.4. Present models
7.4.1. Modelling issues

We restrict ourselves to situations where only particle dispersion is the important issue (other
issues such as turbulence modulation and particle collision are left out in this section for the
sake of simplicity). The modelling problem is sketched in Fig. 26. The issue is to model not
the successive velocity of a uid element but rather the successive uid velocities which are
sampled or ‘seen’ by the discrete particles (either solid particles, droplets or even bubbles)
as they move across the ow. This quantity is denoted by Us to emphasize that we are not
necessarily dealing with the characteristics of the same uid element (in Fig. 26, these velocities
would be the velocity of the uid particle at location F1 at time t1 , then the velocity of the
uid particle located at F2 at time t2 , and so on) and this variable is not a pure Lagrangian
quantity in the general case.
The problem is more complicated than pure di8usion models. Indeed, compared to a uid
particle, the determination of the uid velocity seen is further compounded by particle inertia
($p ) and the e8ect of an external force Aeld (gravity in our case g). Both e8ects induce a
separation of the uid element and of the discrete particle which are located near the same point
at the beginning of the time interval. This is represented in Fig. 27 between two discrete time
steps tn and tn+1 . In the absence of gravity (or other external force) and for small particle inertia,
$p → 0, the separation e8ect disappears and, in that limit, the modelling issue is to represent the
successive velocities of a uid particle, for which the stochastic models developed in Section 6
Fig. 28. Typical uid and discrete particle locations.
can be applied. For that reason, dispersion models (simulation of (Us )t ) are extensions of
di8usion models (simulation of (Uf )t ).
That sketch is often taken as a faithful description of the statistical picture. Most models are
then built in two steps (see Fig. 27): a Lagrangian one (the uid particle from F(t) to F(t + d t))
and an Eulerian one (the two uid particles from F(t + d t) to F (t + d t)). In that approach, there
is no clear separation between the e8ects due to particle inertia and to mean drifts. Furthermore,
by sticking to this sketch in the stochastic model, one is led to writing a dispersion model as a
function of the instantaneous velocity di8erence between the discrete particle and one realization
of the velocity of the surrounding uid element, since we have r = (Up − Uf ) d t. This has been
shown to lead to spurious de-correlation between the successive values of the velocity of the
uid seen, Us (t) and Us (t ), and consequently to an artiAcial decrease of the integral time
scale of the velocity of the uid seen, see [84]. This is not an evident e8ect and it may go
unnoticed unless carefully checked. Its origin may be traced back to the Eulerian step of the
approach. First of all, it can be illustrated in an extreme but illuminating situation. Let us
imagine the case of very heavy particles in a turbulent ow in the absence of gravity and
any other external forces and when the uid characteristic uctuating velocity is much larger
than the particle characteristic velocity. If we are dealing with an homogeneous ow without
mean velocities, thesecharacteristicvelocities are typically given by the root mean squares of
the kinetic energies, U p and U 2 s . The Tchen’s formulae to be given in Section 7.5.5
2
will show that this corresponds to cases where the particle relaxation time scale is much larger
than the uid Lagrangian time scale, say TL $p . The particle dispersion problem can then be
represented as in Fig. 28.
Since the discrete particle kinetic energy is smaller than the uid kinetic energy, at the next
time step tn+1 = tn + d t, the discrete particle P that is considered is nearly at a stand-still and
has not moved very far from its previous location at time t = tn . We can then expect that the
discrete particle will see a new uid velocity which is essentially correlated with the one that
exists at its previous location at the new time tn+1 . In other words, the discrete particle will
typically sample Eulerian uid velocities which have a characteristic time scale, say TE , which
is of the same order than the Lagrangian one TE ∼ TL . This is represented in Fig. 28 by the
direct arrow labelled [1]. Even with a time step d t that is small with respect to the discrete
particle inertia $p but can be comparable to TL , the uid particle F can be located at the next
time step relatively far from its previous location. In the approach usually followed to derive the
velocity of the uid seen, one Arst simulates the Lagrangian step (indicated by the arrow labelled
[2a: step L] in Fig. 28) which implies a correlation factor typically expressed by exp(−d t=TL )
(the exact form of the coe@cient will be explained by the use of Langevin models, see Section
7.4.2, and the resulting autocorrelations, see Section 7.5.3). The Eulerian step (indicated by the
arrow labelled [2b: step E] in Fig. 28) will typically involve a similar factor which will be
exp(−r=LE ), or since r ∼ U 2 s d t, also of the order of exp(−d t=TL ) for the situation sketched
in Fig. 28. And since the two steps are considered independently in this approach, it is seen
that the resulting total correlation factor between the two successive velocities of the uid seen
by the discrete particles (between F at time tn and F at time tn+1 ) will be about exp(−2d t=TL )
and we end up with a characteristic time scale of the velocity of the uid seen of around TL =2
instead of TE . The key point in this construction and the source of the resulting shortcoming
is that the second step does not exactly correspond to an Eulerian step. Actually, an Eulerian
step consists in simulating the correlated velocities of two uid elements located, respectively,
at a point x and at a point x + r, regardless of their previous history and their respective
trajectories. The factor exp(−r=LE ) is only meant to represent (it is just a rough estimation) the
typical correlation for the complete class of pairs of uid particles with one member located at
x and the other member of the pair located at x + r. However, if we go back to the illustrative
Fig. 27, it is seen that we need to correlate the velocities of two uid particles but conditioned
on the fact that one of them was located at the discrete particle position at the previous time step.
Thus, we are not actually dealing with an Eulerian correlation problem but with a conditional
Eulerian problem. We need to correlate pairs of uid particles that form only a subclass of all
the possible pairs of uid particles located at x and at x + r. That problem remains an open
issue at the moment.
Based on that analysis and in order to work out a tractable model that nevertheless avoids the
previous shortcoming, a somewhat di8erent approach has been proposed [84]. In that approach,
the construction of the velocity of the uid seen by the discrete particles is still obtained in
two steps, but these steps have a di8erent purpose and do not have the same meaning:
(i) the Arst one accounts only for the e8ect of particle inertia in the absence of any external
force such as gravity. The model for the successive velocities Us (t) is based on the chosen
model for uid particle velocities but with a modiAed time scale. This modiAed time scale,
say TL∗ , is a function of particle inertia, as manifested in the particle relaxation time scale
$p and varies between the uid Lagrangian time scale TL and the Eulerian time scale, TE .
Indeed, discrete particles with negligible inertia $p → 0 tend to follow their surrounding
uid elements and therefore ‘see’ velocities which are correlated in a time interval of the
order of TL . On the contrary, discrete particles with very high inertia $p 1, are nearly at a
stand-still with respect to motion of uid elements, and as explained above (see Fig. 28),
will tend to ‘see’ uid velocities at about the same point whose integral time scale is TE .
In between, the time scale of the uid velocities seen by the discrete particles TL∗ can be
regarded as changing continuously between these two asymptotic limits as a function of $p .
(ii) the second step accounts for the e8ect of external forces. These external forces induce
a mean drift between the discrete particles and the surrounding uid, and therefore
a separation of the average trajectories of the discrete and of the uid elements. This results
Fig. 29. Mean uid and particle paths.
in a decorrelation of the velocity of uid seen with respect to the velocity of uid particles,
and is called the crossing-trajectory e8ect (CTE). In that analysis, the crossing-trajectory
e8ect should not be confused with the separation e8ect mentioned above. The separation of
the trajectories of uid and discrete particles is always present as soon as particle inertia is
not negligible or a mean drift exists, whereas the crossing-trajectory e8ect is only present
when there is a mean relative velocity between the uid and the discrete particles.
In the following, we will assume that the Eulerian time scale is of the same order as the
Lagrangian one, TE TL , and that in the absence of gravity or similar external forces, the
modiAed time scale of the velocity of the uid seen can be taken as the uid Lagrangian one.
In other words, we will neglect the Arst e8ect described above due to particle inertia, and write
TL∗ (g=0) TL . That choice is mainly made for the sake of simplicity and in order to concentrate
on the important modelling of the crossing-trajectory e8ect. Detailed proposals for the e8ect of
particle inertia on TL∗ can be found in Pozorski and Minier [84]. The key point in the above
analysis of the crossing-trajectory e8ect is its origin in a mean drift and not in an instantaneous
drift. The complete description of the dispersion modelling issue can be represented as follows
in Fig. 29.
That Agure does not claim to be a representation of the instantaneous picture, but is simply
a sketch drawn to illustrate the modelling steps that will be taken below. At the end of this
discussion on modelling issues, a few general comments can be made. It must be emphasized
that the derivation of a satisfactory model (that is respecting a number of well-established
constraints) for particle dispersion remains an open and di@cult issue that still calls for new
ideas and approaches. First of all, there is no such well-established theoretical constraints against
which the validity of proposed models can be checked. Secondly, the extension from the models
retained for the velocity of uid particles to models for particle dispersion, which is with our
choice of the one-particle state vector is equivalent to a model for the velocity of the uid
seen Us , involves a number of supplementary choices. At the moment, there is no theoretical
satisfactory route for the derivation of such particle dispersion model starting from uid di8usion
results. As an example of this situation, one possible route to the derivation of Lagrangian uid
di8usion models is to propose a stochastic model and to use what is then considered as given
second-order mean equations. In particular a certain expression of the pressure rate of strain
correlation Hij can be chosen and the form of the matrix Gij of the stochastic model can be
guessed to be consistent with that choice, see [10] and see Section 6.7. That approach cannot
be followed in the two-phase ow case since the mean equations are not known or given. One
seeks precisely to derive them from the particle stochastic equations, and furthermore in the
general case of polydispersed ows, a closed form of the mean equations is extremely di@cult,
see Section 8. At the moment, a number of results have been gathered from experiments and
numerical simulations, and these results are used to propose models for particle dispersion,
more in an ad hoc manner. Or to describe the modelling situation in other words: even if the
Langevin equation for uid particle velocities were taken as exact, the simulation of the velocity
of the uid seen by discrete particles in turbulent ows Us would still require a model. Work
remains to be done to improve present state-of-the-art models, an example of which is detailed
below.
7.4.2. Langevin models

In the present subsection, the trajectory point of view is followed and a stochastic model
is written to describe the time increments of the velocity of the uid seen along the discrete
particle trajectories. An attractive approach is to use a Langevin equation, as an extension of
the Langevin models developed for uid particle velocities in Section 6.6, for Us .
In Section 5.3, Langevin models, or in mathematical terms stochastic di8usion processes, were
justiAed by the application of Kolmogorov hypotheses to uid Lagrangian quantities which show
that, in high Reynolds ows, the velocity of a uid particle is well approximated by a random
walk in velocity sample space. In the two-phase ow case, similar application of Kolmogorov
hypotheses supplies also some support for a Langevin model for the velocity of the uid seen.
The crucial step in that respect is that, in our present approach, the di8erence between uid
particle models and models for the velocity of the uid seen is due to crossing-trajectory e8ects
which are determined by the existence of a mean drift and not an instantaneous drift. Indeed, if
we write the time increment of the velocity of the uid seen using the assumptions described
in the previous subsection and represented in Fig. 29, we have for a time increment of d t
d Us = v(d t; Ur d t) ; (300)
where Ur = Up − Us is the mean relative velocity between the discrete particle and the
surrounding uid element. In that equation, v represents the uid velocity Aeld relative to the
motion of one uid particle, as in the general Kolmogorov theory, see Section 5.3, and in our
case the chosen uid particle is the uid particle that was located at the particle location at
the beginning of the time step. With our present description of the crossing-trajectory e8ect, it
is thus seen that the statistics of the time increment of Us depends only on d t and on some
statistics (here the mean relative velocity), as well as on the key variables of Kolmogorov
theory + and , but not explicitly on the actual uid and particle velocities. The Kolmogorov
theory can then be applied as in Section 5.3 to show, Arst that the statistics of d Us do not
depend on the values of Us (t), and second that in high Reynolds number ows and for a time
increment d t that belongs to the inertial range, we have
d Us; i d Us; j = Dij (d t) ; (301)
where the matrix Dij is determined by the two scalars functions D and D⊥ through
Dij = D⊥ ij + [D − D⊥ ]ri rj : (302)
The situation is analogous to the case of statistics of Eulerian velocity di8erences, see [25], with
the separation vector r being in the direction of the mean relative velocity r = Ur = |Ur |. The
functions D and D⊥ correspond to the values of the correlation for the velocity components
aligned with the separation vector r or transverse to r. Dimensional analysis yields that in the
inertial range, we have

|Ur |2 |Ur |2
D (d t) = + d t : ; D⊥ (d t) = + d t :⊥ ; (303)
+ d t + d t
where : and :⊥ are regarded as two universal functions for which there is no exact prediction.
The form of these functions can be obtained in two limit cases. When the mean relative velocity
is small, small meaning here that |Ur | is small with regard to (+ d t)1=2 for a given time
interval d t, then we expect the statistics of the velocity of the uid seen to be close to the uid
ones, and thus
|Ur |2
1; ⇒ : :⊥ C0 : (304)
+ d t
On the other hand, when the relative mean velocity is large (larger than (+ d t)1=2 ), we can
resort to the frozen turbulence hypothesis. In that case, we obtain that
D (d t) C(+Ur d t)2=3 ; D⊥ (d t) 43 C(+Ur d t)2=3 ; (305)
which shows that, in that limit, the two functions : (x) and :⊥ (x) vary as x1=3 . Due to this
variation of the functions : and in particular to the explicit presence of the time step d t in the
argument of :, the situation is more complex than in the uid case. In particular, the non-constant
value does not directly support a Langevin model as in the uid case, see Sections 5.3 and 6.6.
Nevertheless, a useful approximation can be proposed. Indeed, if we freeze the values of the
functions : and :⊥ for a certain value of the time interval, say Qtr and write

|Ur |2 |Ur |2
D (d t) + d t : ; D⊥ (d t) + d t :⊥ ; (306)
+Qtr +Qtr
we have now a linear variation of D (d t) and D⊥ (d t) with respect to the time interval d t.
A reasonable choice for the reference time lag may the Lagrangian time scale which is the time
scale over which uid velocities are correlated. And since +TL k, we have

|Ur |2 |Ur |2
D (d t) + d t : ; D⊥ (d t) + d t :⊥ : (307)
k k
As for the uid case, this result suggests to use a Langevin equation model which consists in
simulating Us as a di8usion process. From the discussion above, it is clear that, as such, a
Langevin model is only an approximate model having less support than in the uid case. The
Langevin model does not yield the correct spectrum (in the limit of large relative velocity or
frozen turbulence). However, it must be remembered that the objective is more limited: the
purpose of a Langevin model is to remain a somewhat simple and still tractable model while
still respecting the integral scales (here the integral time scale of the velocity of the uid seen,
discussed at length in Section 7.4.1). Indeed, for macroscopic behaviour such as the di8usion
coe@cients, the important properties are the integral time scales rather than the precise form
of the spectrum, see Section 4. Thus, Langevin models, are simply ‘reasonable compromises’
between simplicity and physical accuracy at the moment. It is also clear that much work remains
to be done to improve stochastic models.
The general form of the Langevin model chosen for the velocity of the uid seen consists in
writing
d Us; i = As; i (t; Z) d t + Bs; ij (t; Z) d Wj ; (308)
where the drift vector A and the di8usion matrix B have to be modelled. The complete Langevin
equation model can therefore be written as
d xp; i = Up; i d t ; (309a)
d Up; i = Ap; i d t ; (309b)
d Us; i = As; i (t; Z) d t + Bs; ij (t; Z) d Wj ; (309c)

where the particle acceleration is Ap; i = (Us; i − Up; i )=$p + gi . This formulation is equivalent to
a Fokker–Planck equation given in closed form for the corresponding pdf p(t; yp ; Vp ; Vs ) which
is, in sample space
9p 9 9 9 1 92
+ [Vp; i p] + [Ap; i p] + [As; i p] = [(Bs BsT )ij p] : (310)
9t 9yp; i 9Vp; i 9Vs; i 2 9Vs; i 9Vs; j
Closure relations for the drift vector and the di8usion matrix will be detailed. These relations
have been proposed in a previous paper, Minier [85], but will be developed here since they
are recent and di8erent from usual proposals and since they will illustrate the modelling issues
described above. A complete model is built by closing successively the drift vector and the
di8usion matrix, and the two closure relations are considered separately.
Closure of the drift term. In the uid case, the drift term entering the stochastic di8erential
equation for a uid particle is (considering only the simplest proposal where Gija = 0)
1 9P Uf ; i − Uf ; i
− − ; (311)
f 9xi TL
showing that the drift term is the sum of a mean term and a uctuating term. In the two-phase
ow case, these two terms need to be modiAed to account for the crossing-trajectory e8ect. We
retain the idea of a decomposition into a mean and a uctuating term. Based on the modelling
ideas developed above and on the sketch in Fig. 29, the mean term can be obtained from the
uid case by performing a Arst-order Taylor development for small d t and thus small mean
relative displacement Ur d t
1 9P 9Uf ; i
− + (Up; j − Us; j ) : (312)
f 9xi 9xj
Other forms have also been suggested [81], but the present one, although postulated, is consistent
with the general description of the crossing-trajectory e8ect. Then, the uctuating term which
is added to the mean one is still written as a return-to-equilibrium term but with a modiAed
time scale TL∗ . The proposed drift term has therefore the following expression:
1 9P 9Uf ; i Us; i − Us; i
− + (Up; j − Us; j ) − : (313)
f 9xi 9xj TL∗
The linear form of the drift term can be justiAed. For example, in homogeneous turbulence
where the di8erent coe@cient and time scales are constant, a linear drift term implies that the
resulting one-point pdf of Us is Gaussian as obtained in numerical simulations, Deutsch [31].
Then, from the results of Section 4.3, the autocorrelation of the velocity of the uid seen is
found to be an exponential R∗L ($) = exp(−$=TL∗ ), showing that TL∗ is indeed the integral time
scale of the velocity of the uid seen. The exponential form of the velocity autocorrelation has
also received support from numerical simulations [31], apart from the vicinity of the origin, this
behaviour is actually quite understandable as in the uid particle case, see the explanation of
Section 6.8. According to Csanady’s analysis, the integral time scale of the velocity of the uid
seen di8ers from the uid Lagrangian time scale TL , due to crossing-trajectory e8ects when a
mean drift between particles and the uid is present. Assuming for the sake of simplicity that
the mean drift is aligned with the Arst coordinate axis, the modelled expressions for the time
scales are, in the longitudinal direction
TL
TL;∗ 1 = & (314)
|U |2
r
1 + M2
2k=3
and in the transversal directions (axes labelled 2 and 3)
TL
TL;∗ 2 = TL;∗ 3 = & ; (315)
|U |2
r
1 + 4M2
2k=3
where M is the ratio of the Lagrangian and the Eulerian time scales of the uid M = TL =TE . The
distinction between the longitudinal and the transversal directions (with respect to the mean
drift) implies that, even for the simplest model, the drift term is not isotropic and involves
di8erent time scales for di8erent directions contrary to the uid case.
The expression of the time scale TL∗ is in line with the discussion above on the justiAcation
of a Langevin model. Indeed, from the expressions retained for the approximate second-order
velocity structure functions Eqs. (307), and using a simple uctuation–dissipation argument,
we have

k |Ur |2
+: ; (316)
TL∗ k
where the indexes and ⊥ have been skipped for the sake of simplicity. The precise
√ form of
Csanady’s formulas corresponds to choosing the functions : and :⊥ as :(x) C 1 + x.
Closure of the diCusion term. The complete Langevin equation model is obtained by closing
the di8usion term in Eqs. (309). An expression for Bs; ij is worked out in several steps, by
considering Arst a simple case and then by gradually working our way up to general situations.
Case a: we Arst consider the simplest case of stationary isotropic turbulence, when mean
velocities can be taken as zero. The set of SDEs that constitute the model are written in a 1D
form for the sake of simplicity (for a given coordinate, leaving out the index)
d xp = Up d t ; (317a)
1
d Up = (Us − Up ) d t ; (317b)
$p
Us
d Us = − ∗ d t + Bs d W ; (317c)
TL
where, by direct application of stochastic calculus, the stationarity constraint implies that Bs and
TL∗ are related by Bs2 = 2Us2 =TL∗ . The time scale of the uid seen is expressed as a fraction
of the uid one as TL∗ = TL =b, where b is the correction factor from Csanady’s formulae, Eqs.
(314) – (315) in the corresponding direction. Using the isotropic assumption and the expression
of TL in the stationary case 4k=3C0st +, where C0st represents the value of the proportional-
ity constant in the stationary case [11], whose relation with the previously used constant C0
is given below (this expression of TL is easily obtained by basic stochastic calculus using
Eq. (236b) for example), one gets
4 1
Bs2 = kb = C0st b+ ; (318)
3 TL
provided that there is no statistical bias between the uid turbulent kinetic energy and the
turbulent kinetic energy of the uid seen, i.e. Uf2 =Us2 . This closure of the di8usion coe@cient
ensures that correct dispersion coe@cients are obtained that is Dp = Df =b, as it should be in
Csanady’s analysis (this result is shown in Section 7.5.4). Thus, in isotropic and stationary
turbulence, a Arst proposal for the uid velocity seen is (putting back the index i of the
coordinate)

Us; i TL
d Us; i = − ∗ d t + C0st +bi d Wi ; bi = ∗ : (319)
TL; i TL; i
Case b: we now consider the case of stationary uid velocity seen, however not necessarily
isotropic (for example, homogeneous turbulence). In that case, the contributions coming from
the drift and di8usion terms must still balance in the equation for the time evolution of the
kinetic energy of the uid seen, or in other words dus2 = 0. The above closure for Bs; ij is now
not satisfactory, since in the two-phase ow case, the drift vector is not isotropic. To resolve
that di@culty, a new kinetic energy is introduced
3
3 i=1 bi uf2; i
k̃ = 3 : (320)
2 i=1 bi
This represents the normal energies weighted by the corresponding Csanady’s factors, bi .
Since these factors vary from direction to direction, the weighted kinetic energy k̃ di8ers from
the plain one k. However, if all the factors become identical, i.e. bi = b, then k̃ = k. This is of
course the case when uid particles are considered, or when no crossing-trajectory e8ects come
into play, since bi = 1. Another case where there is no di8erence between k̃ and k is isotropic
turbulence

2 2 3 3i=1 bi
uf2; i = k ⇒ k̃ = k × 3 =k : (321)
3 3 2 i=1 bi
Using this weighted uid kinetic energy (and supposing as done in Case a that us2 = uf2 ),
the di8usion coe@cient is modiAed and the Langevin equation model is written with the proper
expression of the uid Lagrangian time scale (TL = 4k=3C0st + with TL;∗ i = TL =bi , see Case a),
&
st
3C + k̃
d Us; i = − 0 bi (Us; i − Us; i ) d t + C0st +bi d Wi : (322)
4k k
This proposal is called formulation 1. Indeed, in the above model, the drift term was left
unchanged while the di8usion coe@cient was modiAed (through the introduction of k̃=k) to
obtain the correct macroscopic behaviour (that is dus2 = 0 in the stationary case).
Another possibility is to modify the drift term or the time scale of the uid seen, leading to
formulation 2
3C st +
d Us; i = − 0 bi (Us; i − Us; i ) d t + C0st +bi d Wi : (323)
4k̃
It should be noted that the modiAcation of the integral time scale of the uid seen is not
apparent in isotropic conditions.
Case c: the next step is to consider homogeneous but non-stationary turbulence, for example
isotropic decaying turbulence. This is much closer to real situations and we expect that the
turbulent kinetic energy of the uid seen satisAes the following equation
1 dus2
= −+ : (324)
2 dt
The di8usion coe@cient is modiAed by taking into account this constraint (that is dus2 =
−2+ d t in the terms of stochastic calculus). In the non-stationary case, the expression of TL
is slightly modiAed, see Eq. (237) for example. The steps of the derivation follow the ideas of
Section 6.6 and similar steps taken in the derivation of the uid Langevin model, see [11]. As in
the uid case, the viscous dissipation term can be accounted by adding a negative term, −2=3+,
within the square root of the di8usion coe@cient. For the model referred to as formulation 1,
we have
&
st
3C + k̃ 2
d Us; i = − 0 bi (Us; i − Us; i ) d t + C0st +bi − + d Wi : (325)
4k k 3
Following what is done in the uid case, we introduce the constant C0 still deAned by C0st =
C0 + 2=3 and we obtain the Langevin model written in that case as

1 3 +
d Us; i = − + C0 bi (Us; i − Us; i ) d t + Bs; i d Wi ; (326)
2 4 k
with Bs; i given by

' ' ((
k̃ 2 k̃
Bs;2 i = + C0 bi + bi − 1 ; (327)
k 3 k
assuming that the rhs is indeed positive.
The general form of the Langevin equation model can also be developed for formulation 2
and gives

1 3C0 +bi
d Us; i = − + (Us; i − Us; i ) d t + Bs; i d Wi ; (328)
2 4 k̃
with Bs; i given by
Bs;2 i = +(C0 bi + 23 (bi − 1)) ; (329)
where now the right hand side is always positive since bi ¿ 1.
The derivation of the di8usion coe@cient made above completes the expression of the
Langevin equation model in the general case. Using for example formulation 1, the complete
model is obtained by adding the drift and the di8usion terms developed in the two previous
subsections
1 9P 9Uf ; i
d Us; i = − d t + (Up; j − Us; j ) dt
f 9xi 9xj

1 3 +
− + C0 bi (Us; i − Us; i ) d t
2 4 k
&
2
+ + C0 bi k̃=k + (bi k̃=k − 1) d Wi : (330)
3
Similar expressions are obtained with formulation 2 for the time scale of the uid seen
and the di8usion coe@cients. Whatever the formulation, it is seen that the resulting Langevin
equation, which is believed to represent the simplest model for two-phase ow, contains a
diagonal but non-isotropic di8usion matrix, Bs; ij = Bs; i ij . It is also worth emphasizing that, the
closure relations put forward just above, re ect modelling choices. For instance, the closure of
the di8usion coe@cient proposed to satisfy the correct decrease of turbulent kinetic energy is
only one possibility among di8erent choices. From Kolmogorov’s theory, the di8usion matrix is
thought to be an isotropic matrix (actually simply a di8usion coe@cient). In the two-phase ow
case, the isotropic form cannot be obtained anymore, but it is chosen to select among di8erent
possibilities a diagonal di8usion matrix. This allows to go back to the uid particle case when
bi = 1 and still have a simpliAed form compared to a full di8usion matrix.
Expression of the model in general coordinates. The complete model, Eq. (330), has been
obtained in a special coordinate system since we have assumed that the mean drift, or the mean
relative velocity Ur , was aligned with the Arst axis of the reference system. The Langevin model
is generalised for the case where Ur has any orientation with respect to the coordinate system
as follows.
We Arst introduce the two timescales of the velocity of the uid seen, still following Csanady’s
analysis, TL;∗ and TL;∗ ⊥ which correspond to the values in the longitudinal direction (aligned
with Ur ) and in the transversal direction, respectively. They are given by
TL TL
TL;∗ = ; TL;∗ ⊥ = : (331)
1 + M2 |Ur |2 =2k=3 1 + 4M2 |Ur |2 =2k=3
We deAne the coe@cients b and b⊥ by the ratio between TL∗ and TL , b = TL =TL;∗ and b⊥ =
TL =TL;∗ ⊥ , and r as the unit vector aligned with Ur , in other words r = Ur = |Ur |. The general
form of the Langevin model can be written as
1 9P 9Uf ; i
d Us; i = − d t + (Up; j − Us; j ) d t + Gij (Us; i − Us; i ) d t + Bij d Wj : (332)
f 9xi 9xj
The matrix Gij entering the drift coe@cient is
) *
1 1 1
Gij = − ∗ ij − − ri rj : (333)
TL; ⊥ TL;∗ TL;∗ ⊥
Given the expression of the (isotropic) Lagrangian uid time scale TL , Gij can be re-expressed
as

1 3 +
Gij = − + C0 Hij ; (334)
2 4 k
where
Hij = b⊥ ij + [b − b⊥ ]ri rj : (335)
The di8usion matrix Bij is deAned as the solution of the matrix equation (for example, Bij is
obtained by a Cholewski decomposition)
(BBt )ij = Dij ; (336)
where Bijt denotes the transpose matrix of Bij . The symmetric matrix Dij appearing on the right
hand side of the matrix equality is expressed in the general coordinate system by
Dij = D⊥ ij + [D − D⊥ ]ri rj ; (337)
with the coe@cients D and D⊥ given by
D = +(C0 b k̃=k + 23 (bi k̃=k − 1)) ; (338)
D⊥ = +(C0 b⊥ k̃=k + 23 (bi k̃=k − 1)) : (339)

When the vector r is aligned with one of the coordinate, the matrix Dij is diagonal and then
Bij is also a diagonal matrix formed by the square root of the coe@cient D and D⊥ as can be
seen in Eq. (330). In the above equations, the new kinetic energy k̃ is deAned as
3 Tr(HR)
k̃ = ; (340)
2 Tr(H )
where Tr(H ) denotes the trace of the matrix Hij , and where R denotes the Reynolds stress
matrix Rij = ui uj . In the special case when r is aligned with one of the coordinate, it is easily
seen that the matrix Hij is diagonal and that Eq. (320) is retrieved. It can also be checked
that with these general expressions, the correct mean transport equation for the turbulent kinetic
energy is respected.
7.5. Properties of present class of models
The models proposed in the previous subsection, as well as other possible variants apart from
the so-called formulations 1 and 2, form a class of models that can be named Langevin models.
The derivation detailed above helps to outline the present modelling state and the whole approach
that is followed from uid di8usion to particle dispersion as well as the di8erent assumptions
that one needs to make in the course of the derivation. This reveals the limitations of present
expressions. Nevertheless, Langevin models have already a number of interesting properties that
will be presented below.
Most of the characteristics analysed here are not due to a particular choice of the drift
or di8usion coe@cients, but belong to the class of Langevin models. They have therefore an
interest which goes beyond the selection of one particular model. The purpose of this subsection
is actually to use Langevin models as convenient tools to clarify as much as possible a number
of issues which may be regarded as obscure when addressed form a di8erent point of view.
More speciAcally, our aim is to stress that, by choosing the one-particle state vector which
includes the velocity of the uid seen Z = (xp ; Up ; Us ), and by choosing a Langevin equation
model for Us which has a ‘proper’ form, interesting physics is already captured while simple
mathematical manipulation of the stochastic model both avoids some pitfalls and simpliAes
considerably the derivation of macroscopic relations.
7.5.1. Gaussian and non-Gaussian pdfs

The Arst property concerns the resulting form of the pdf of the velocity of the uid
seen that comes out of Langevin models. A reference to this form has already been made
in Section 7.4.2, we follow up that question here. We can write the general form of a Langevin
model as
d Us; i = As; i d t + Bs; ij d Wj ; (341)
where the drift vector As; i and the di8usion matrix Bs; ij correspond to the terms in Eq. (330) for
example. In that case, and for other models that respect the characteristics put forward below,
we have the following property.
For homogeneous turbulence and constant mean drifts, the uid turbulent quantities, such as
k; + and the mean gradients are constant. As a result, the drift term is linear with respect to Us
and the di8usion coe@cient is constant. It is well known that the resulting stochastic process
Us is Gaussian, see [15] or [16]. However, this result is only valid in the simpliAed case of
homogeneous turbulence. In the general case of non-homogeneous turbulence, the di8erent mean
quantities entering the drift and the di8usion coe@cients of the stochastic di8erential equation
of the trajectories of Us become space dependent. We must then consider the joint process Z of
all the variables contained in the state vector, and even if the statistics of the discrete particle
velocity were known and constant, we would still have to consider the joint process of (xp ; Us ).
In terms of the joint process, the stochastic di8erential equations, Eq. (341), are now non-linear
with respect to the variables of the joint process. Consequently, the resulting one-point pdf
for the velocity of the uid seen is not Gaussian anymore. Nothing is assumed beforehand
with regard to this deviation from Gaussianity, this is a consequence of the mixing at a given
location of trajectories or of particles which have di8erent histories. In other words, Langevin
models do not suppose Gaussian behaviour: Gaussian pdfs obtained in homogeneous turbulence
and deviations from Gaussianity in non-homogeneous turbulence are results of the model. An
example of this property was displayed in a turbulent mixing layer, a non-homogeneous ow,
for uid particles, see [59], where the simulated pdfs of uid velocity components were found
to have a non-Gaussian forms roughly in line with experimental Andings.
There is nevertheless, built within Langevin models, an assumption of a Gaussian form. This
is due to the increments of the Wiener process, d W which are independent Gaussian variables.
In the general case, this does not imply anything on the stochastic process Us . All that can be
said is that Langevin models do assume a Gaussian term, but for the conditional increments of
Us . Indeed, if we consider the increments of the velocity of the uid seen over a small time
interval, and for particles that come from a given location xp = xp0 and with a given discrete
particle velocity and a given velocity of the ;uid seen, Up = Up0 and Us = Us0 , we can write that
d Us; i |(xp0 ; Up0 ; Us0 ) = As; i (xp0 ; Up0 ; Us0 ) d t + Bs; ij (xp0 ; Up0 ; Us0 ) d Wj : (342)
Consequently, the conditional increments are Gaussian variables since in the above equation
As; ij and Bs; ij are now constant. Yet, this does not imply Gaussianity for the unconditional
velocity of the uid seen.
7.5.2. Spurious drifts

The issue of the so-called spurious drifts is recurrent in the discussion of two-phase ow
models. The question refers to the limit case of particle tracers, or to the limit behaviour of
discrete particles when their inertia becomes negligible. Indeed, when $p → 0, it can be shown
that the discrete particle velocity Up becomes identical to the uid one Us . We are in fact
dealing with an ensemble of marked uid particles and the particle dispersion problem reverts
to the uid di8usion one. Then, for an incompressible ow, it derives from the mass continuity
constraint (the velocity Aeld is of zero divergence), that if we start with a uniform concentration
for the marked particles (which behave as uid tracers) in any ow, the concentration must
remain uniform in the domain. In other words, since we are dealing with an ensemble of marked
uid elements, which can be thought of as an ensemble of small uid elements with equal mass,
we cannot have concentration build-ups. Failure to respect that constraint is referred to as the
‘spurious drift e8ect’, since with models that su8er from this drawback, particles behave as if
they were drifting from certain regions of the ow domain.
This a very serious shortcoming for a given model. It simply expresses that mass continuity
is not ensured and that the mean Navier–Stokes equation is not satisAed. It was shown to a8ect
most Lagrangian two-phase ow models in numerical simulations of non-homogeneous turbulent
ows, see Mc Innes and Bracco [86]. Actually, that issue was Arst addressed at the beginning
of the eighties in the Arst Lagrangian models that were developed to deal with environmental
di8usion questions. Among other works, it was resolved by Pope [87], but surprisingly these
works appear to have gone unnoticed in the two-phase ow community.
That issue can be further clariAed with our present class of models, and with the stochastic
tools developed in Section 6. Actually, everything needed to understand the origin of the problem
in some models and the easy way out has been laid out in Section 6.7.2. For discrete particles
in the limit of vanishing inertia, the equations are in fact already described in Section 6.6 for
uid particles, since in that case Us = Uf
d xf ; i = Uf ; i d t ; (343a)
1 9P Uf ; i − Uf ; i
d Uf ; i = − dt − d t + C0 + d Wi (343b)
f 9xi TL
and thus the mean value of particle velocity increments is indeed equal to the local value of
the mean pressure-gradient
1 9P
d Uf ; i = − dt : (344)
f 9xi
This result, as shown in Section 6.7.2, indicates that the mean Navier–Stokes equation is indeed
satisAed. Consequently, by the very form of the stochastic model itself, the Langevin models
are free of any spurious drifts.
This explanation may appear as deceitfully simple (there is actually nothing complicated in
that question), so it is perhaps worth supplying further details. The Langevin model itself is not
a key element in the discussion. What is important is that, Arst we are dealing in a Lagrangian
formulation (all the usual terms arising from convection in the Navier–Stokes equation are
implicitly contained in the Lagrangian derivative) with the instantaneous particle velocity, and
second the mean pressure-gradient is properly included in the particle velocity time evolution
equation.
To even further emphasize that nothing else (but nothing short) than these two features is
actually needed to avoid spurious drifts, we could generalize and consider a general model
equation written as
d xf ; i = Uf ; i d t ; (345a)
1 9P
d Uf ; i = − d t + M(xf ; Uf ) ; (345b)
f 9xi
where M(xf ; Uf ) stands for any model in terms of particle properties, (xf ; Uf ), that respects
the constraint that, at a given location xf = x0 , we have
M(x0 ; Uf ) = 0 : (346)
Then, by the same reasoning applied for the Langevin model, it is seen that the mean Navier–
Stokes equation is veriAed. In the above general form, it is crucial that Uf represent the
instantaneous velocity. However, the same model can be re-expressed as a model for particle
uctuating velocity uf , see Section 6.7.2, and we have

d xf ; i = (Uf ; i + uf ; i ) d t ; (347a)
9uf ; i uf ; k 9Uf ; i
d uf ; i = d t − uf ; k d t + M(xf ; uf ) : (347b)
9xk 9xk
Both forms are strictly equivalent, and the mean pressure-gradient term in the time evolution
of the instantaneous velocity equation, Eq. (345b), has been replaced by the two terms on
the right hand side of the time evolution equation of the uctuating velocity, Eq. (347b).
Therefore, if one of these two terms is not properly taken into account in a model for uid
particle uctuating velocities, this is equivalent to mishandling the mean pressure-gradient term
in the corresponding equation for the instantaneous velocities and, consequently, this leads to
the existence of spurious drifts.
Most particle-tracking models proposed for two-phase ow simulations are often Arst devel-
oped in the case of homogeneous turbulence without mean gradients and the Arst two terms
in Eq. (347b) are zero. Unfortunately, when moving to the general case of non-homogeneous
turbulence ows, these terms are forgotten, see [86]. The Arst term on the rhs of Eq. (347b) is
indeed crucial since this is a mean non-zero term which prevents any concentration build-up.
The second term in Eq. (347b) does not play a key role in the spurious drift e8ect, since this
is a term of zero mean, but its absence would mean that the production term in the mean
second-order equations would not be obtained, see Section 6.7.2.
7.5.3. Form of the autocorrelations

The form of the autocorrelations of the velocity of the uid seen Us and of the discrete
particle velocity Up is an important property to assess current models. That property is best
considered in the simpliAed and ideal case of stationary isotropic turbulence. The discussion
concerning the velocity autocorrelations can, of course, be extended to other, and more realistic
cases, for example to the case of homogeneous turbulence with a constant velocity mean gradient
(simple-shear ows). The most meaningful quantity is the autocorrelation of the particle velocity
uctuations, whose equations are now slightly more complicated since velocity components are
linked, and where the time scale is typically modiAed by the mean velocity gradients. However,
for the sake of simplicity, we will limit ourselves to the isotropic case.
For our present class of Langevin models, these forms are readily obtained by making direct
use of the results of Section 4.3. Indeed, there is a clear correspondence between the set of
stochastic equations in the two-phase ow case, written in 1D without axis index
d xp = Up d t ; (348a)
Us − Up
d Up = dt ; (348b)
$p
Us
d Us = − ∗ d t + Bs d Ws (348c)
TL
and the last model discussed in Section 4.3 for Brownian particles where the acceleration is
included in the one-particle state vector. The acceleration-based model proposed in that section
has the form (slightly changing the notations of Section 4.3 to avoid confusion between the
di8usion coe@cients)
d x = U dt ; (349a)
U
dU = − dt + < dt ; (349b)
T
<
d < = − d t + B d W : (349c)
$
The two sets of stochastic di8erential equations are similar if one makes the following replace-
ments:
Up ↔ U ;
$p ↔ T ;
Us ↔ T< ;
TL∗ ↔ $ : (350)
The autocorrelations given in Section 4.3 for typical stochastic processes are thus easily trans-
formed for our present purpose. It is seen that the autocorrelation of the velocity of the uid
seen is an exponential, as already discussed in Section 7.4.2,

∗ Us (t)Us (t + s) s
RL (s) = = exp − ∗ ; (351)
Us (t)2 TL
while the autocorrelation of particle velocities Rp (s) is

Up (t)Up (t + s) 1 s TL∗ s
Rp (s) = = exp − − exp − ∗ : (352)
Up (t)2 (1 − TL∗ =$p ) $p $p TL
Two general comments can be made at that stage. First of all, the forms of the autocorrelations
obtained here are consequences of the choice of Langevin models and are derived after the
complete model has been built. They represent properties of the model in a very special case
(the ideal case of isotropic stationary turbulence) and manifest therefore, in the present approach,
only a part of the physics contained in the Langevin model. In most particle-tracking approaches
on the contrary, the form of the autocorrelation of the uid seen plays a leading role [86]. Most
developments start by assuming a certain form for R∗L and then propose a stochastic model
that respects that form. The resulting model appears therefore more as a statistical trick that
happens to respect a macroscopic relation. This approach is still in the spirit of the ‘weak
approximations’ explained in Section 6 and at the beginning of the present section, since we
are after all interested in modelling and in approximating statistics of the uid and of the
particles. However, the autocorrelation of the velocity of the uid seen is only one particular
statistic among others and it may be too restrictive to isolate only that one. This approach
to model development is similar to one approach mentioned in Section 6 for the construction
of stochastic models for uid particles, where some proposals are being put forward only in
order to respect a given form of the pressure-rate of strain correlation Hij . The situation is
somewhat safer in the case of single-phase uid particle models where we consider only some
terms in the uid particle velocity equation (the terms that are meant to replace the uctuating
pressure-gradient and the viscous term) and where we know in advance the mean Navier–
Stokes equation which acts as a guideline. There is no such safe guideline in two-phase ow
modelling, and by putting too much emphasis on a quantity (the autocorrelation) which takes its
full value in isotropic turbulence, some di@culties related to the extension to the general case
of non-homogeneous turbulence ows may then be missed, for example the terms that lead to
the existence of spurious drift e8ects described above. There are also some similarities with the
issue of Gaussian pdfs discussed in Section 7.5.1: the exponential form of the autocorrelation
(if it is an acceptable form in the inertial range) is a result of Langevin models in homogeneous
turbulence. In non-homogeneous turbulence, conditioned on one location, the autocorrelation is
more di@cult to express and is bound to deviate from the simple exponential form. Yet, it
is explicitly calculated from Langevin models while the above-mentioned approach would still
have to assume a certain form beforehand leaving doubts as the validity of this form and of the
resulting uid velocities. Furthermore, the physics contained in the Langevin equations may be
hidden or simply missed altogether. The general approach promoted in the present work, either
for single-phase uid particle models and for discrete particle models, is di8erent. We have
tried, as much as possible, to show that the successive steps are based on physical analysis: (1)
why do we retain certain variables in the one-particle state vector? (because uid acceleration
appears as the best candidate to be replaced by a model) (2) why do we use a Langevin model
for the velocity of the uid seen (description of the crossing-trajectory e8ect and reference to
Kolmogrov hypotheses) and (3) how do we close the drift and di8usion coe@cients?
Secondly, as a consequence of this Arst remark, it is believed that the present point of view is
more helpful: it indicates the physics already contained in the models and consequently points
to their limitations or even shortcomings. The main interest is that it helps to avoid certain
pitfalls. One example is the critic found regularly on the exponential form of the autocorrelation
of the uid velocity seen, which does not respect the zero value of the derivative at the origin.
If the model is addressed directly with the exponential form of R∗L , then this is a puzzling
question. However, when addressed from the equations of the trajectories of the process and
with the explanation of the physical ideas behind present models, see Section 4, the origin and
the meaning of the non-zero value of the derivative of R∗L is clear. The detailed discussion
put forward in Section 6.8 is totally applicable here. Then, if a satisfactory behaviour of R∗L
is deemed necessary, the solution is obvious. One can replace the white-noise term in the
uid velocity equation d W by a coloured-noise, thus following completely the procedure of
Section 4.3. This simply amounts to shifting the introduction of the model one step further and
propose a general model which in 1D can be written
d xp = Up d t ; (353a)
Us − Up
d Up = dt ; (353b)
$p
Us
d Us = − ∗ d t + < d t ; (353c)
TL
<
d < = − d t + B< d W : (353d)
$
The uid velocity seen is then a di8erentiable process and its autocorrelation will respect the
zero derivative constraint at the origin.
Finally, there is one situation when the present exponential form for R∗L is clearly limited.
For particles having very large mean drift with respect to the uid |Ur |1, then the correlation
between velocity components transversal to the mean drift direction tend towards the Eulerian
cross correlation denoted g(r), see [26]. This is in fact the Taylor hypothesis of frozen turbu-
lence. It is then known that g(r) has negative loops for continuity reasons, see [26]. This is
clearly outside the possibility of present Langevin models since the exponential form remains
positive. However, that case is only met in an asymptotic limit, where due to the very large
drift we have that TL∗ is very small and the value of the autocorrelation is already very small. In
other words, the prediction is wrong but for small numbers. This characteristic is not considered
too problematic, at least not the limiting problem at the moment.
7.5.4. Dispersion coeIcients

In the stationary isotropic case, Eq. (317), the long-time dispersion coe@cient is given by
Dp = Tp Up2 where Tp is the discrete particle integral time scale. Tp is given by the classical
formula
+∞
Tp = Rp (t) d t : (354)
0
which gives Tp = TL∗ + $p , see Section 4.3. Using the stationarity hypothesis and Itô’s stochastic
calculus in Eqs. (317), one obtains Up2 = Up Us and Us2 = Up Us (1+$p =TL∗ ). It was previously
shown under the same hypothesis that Us2 = B2 TL∗ =2 and therefore
B2 TL∗ TL∗ =$p
Up2 = : (355)
2 1 + TL∗ =$p
The dispersion coe@cient becomes equal to
B2 TL∗ TL∗ =$p ∗ B2 (TL∗ )2 Uf2 TL
Dp = (TL + $p ) = = : (356)
2 1 + TL∗ =$p 2 b
which simply yields that Dp =Df =b as it should be in Csanady’s analysis. Therefore the closure of
the di8usion coe@cient in Case a (stationary isotropic turbulence) ensures that correct dispersion
coe@cients are obtained.
7.5.5. Tchen’s formulae

When a cloud of particles is put into a box Alled with a homogeneous turbulent ow and
is being agitated by the uid turbulence, then, after a transient period, the statistics of particle
velocities reach equilibrium values. These limit values are of course functions of the (constant)
statistics of the uid (its mean kinetic energy, the Lagrangian time scale, among others). The
relations giving the equilibrium values in terms of the uid statistics are called the Tchen’s rela-
tions. They were Arst obtained by Tchen [71] and later reformulated by Hinze [88]. In Tchen’s
work, the formulation of the problem was di8erent: homogeneous turbulence was not explicitly
considered but it was assumed that particles were ‘seeing’ the same uid element having con-
stant statistical properties as they move across the ow. This is not a realistic assumption in the
general case, due to particle inertia and crossing-trajectory e8ects, see Section 7.4.1. However,
what is important is that the statistics of the uid seen are constant, or that the particle driving
force is a stationary process. The best physical situation where these assumptions are valid is
homogeneous turbulence.
In Tchen or Hinze’s works, the determination of the equilibrium values was obtained through
spectral analysis and manipulation of the uid and particle energy spectra, where the uid
spectrum is assumed to have an exponential form. This derivation can be cumbersome and the
physical meaning of the exponential form is not obvious. On the other hand, the same relations
are derived from the stochastic di8erential equations in a straightforward way. The exponential
form is easily simulated by a simple Langevin model for the uid seen (although not the only
justiAcation of this model) as it transpires from the preceding subsection. Here again, we limit
ourselves to the simpliAed case of isotropic turbulence for the sake of simplicity since we have
actually a 1D formulation. When no mean gradients are present, the model equations have the
simpliAed form, already used in Section 7.5.3
Us − Up
d Up = dt ; (357a)
$p
Us
d Us = − ∗ d t + Bs d Ws : (357b)
TL
After a transient period, all the statistics reach their limit value and the stochastic process
Z=(Up ; Us ) reaches its stationary state. We can then write that dg(Z) =0 for various functions
g using the rules of stochastic calculus explained in Section 2.7. This yields
Us2
dUs2 = 0 ⇒ Bs2 = 2 ; (358a)
TL∗
dUp2 = 0 ⇒ Up Us = Up2 ; (358b)

Us2 1 1
dUp Us = 0 ⇒ − + ∗ Up Us = 0 (358c)
$p $p TL
and thus
1
Up2 = Up Us = Us2 ; (359)
1 + $p =TL∗
which are the Tchen’s expressions [88]. In the original expressions, the uid time scale was
taken as the Lagrangian time scale TL which is in line with the fact that the crossing-trajectory
e8ect was neglected. In the present relations, we have used TL∗ which is the proper time scale
since what matters for the resulting particle statistical properties are the characteristics, not
exactly of the uid particles, but rather of the uid seen as explained in Section 7.4.1.
Tchen’s formulae are algebraic equations relating particle and uid kinetic energies. They
are sometimes used in two- uid approaches or Eulerian approaches as local relations written at
each point across the ow. In that case, Tchen’s relations play the role of a ‘particle turbulence
model’. This is however a very crude model and quite often an inaccurate closure in general
non-homogeneous turbulence. Indeed, as it follows from the discussion above, Tchen’s relations
can only be obtained if particles are agitated by the same statistical driving forces for long
enough times. On physical grounds, we can say that the transient period scales with the particle
relaxation time scale $p . Therefore, these equilibrium relations can only be approximately valid
if particles stay for a time much longer than their characteristics time scale $p in a region
of the ow that must furthermore be considered as locally homogeneous. Even if we take
the largest time scale, thus TL , as a reference for the lifetime of such a locally homogeneous
region, we must have that $p be small with respect to TL . In non-homogeneous turbulent ows
and for particles whose inertia is not negligible, these relations can therefore be expected to be
poor estimates for particle kinetic energies. This is actually not surprising since Tchen’s relations
neglect convective phenomena. Yet, we have already stressed that particle velocities are unlikely
to be easily replaced by a (local) model, contrary to their accelerations. This is precisely the
motivation for the choice of the one-particle state vector Z = (xp ; Up ; Us ), see Section 7.3.2 and
the choice of a Lagrangian approach which treats transport phenomena accurately.
7.5.6. Extension to bubbly ;ows

Up to now, only heavy particles have been under consideration (particles whose density p
is much greater than the uid density f ), and the extension of the present approach to light
particles is now discussed. The Arst problem is to write the instantaneous equation of motion of
a bubble in a turbulent ow. This is a more complicated issue than the similar one for heavy
particles and is still an open question. A general form of the particle momentum equation can
nevertheless be proposed which keeps drag, pressure gradient, added-mass and gravity forces
[73,72] while the history and lift forces are neglected
d xp
= Up ; (360a)
dt

d Up Us − Up f DUs 1 f DUs d Up
= + + Ca − + 1− f g: (360b)
dt $p p Dt 2 p Dt dt p
Due to the separation e8ect described in Section 7.4.1, a uid and a discrete particle which
coincide at a given time do not have the same velocity. Their trajectories separate and two
derivatives can be deAned. The notation d = d t represents the derivative of a quantity along
the discrete particle trajectory. In other words, it is the time rate of change of a quantity sampled
by a discrete particle as it moves through the continuous phase. On the other hand, the notation
D =Dt represents a derivative taken along the uid particle trajectory.
In the particle momentum equation, the pressure-gradient force and the added-mass force are
expressed with the ‘real’ uid particle acceleration DUs =Dt. There is another expression of the
particle momentum equation in which the derivatives are taken along the solid particle trajectory
and the equations are written
d xp
= Up ; (361a)
dt

d Up Us − Up f d Us 1 f d Us d Up
= + + Ca − + 1− f g: (361b)
dt $p p d t 2 p dt dt p
The question of which derivatives should be used has been the subject of some debate [89,74].
In the theoretical derivation of the forces acting on a particle which leads to the notion of drag,
pressure-gradient and added-mass forces, the relative Reynolds number is small and in that case,
the two expressions are of the same order and cannot be distinguished. Further, recent studies
[74] seem to indicate that the Arst form, which uses uid velocity derivatives calculated along
uid particle trajectories, is better founded. Nevertheless, in spite of some of its inaccuracies,
the second expression will be used in the rest of this section. A discussion of the possible
modiAcations induced by the Arst form will be made later on.
We are still concerned with a statistical approach to the problem, as explained in Section 7.1,
and for bubbles, as well as for heavy particles, we have to come up with a model to simulate
the velocity of the uid seen Us . Actually, given the form of the discrete particle (the bubbles)
momentum equation, we need the velocity of the uid seen and its acceleration d Us = d t. We can
then think of the previously described Langevin models to represent the velocity of the uid
seen. At Arst sight, we are faced with a new di@culty that seems to prevent these Langevin
or stochastic di8usion processes from being used directly. Indeed, stochastic di8usion processes
have trajectories which are continuous but nowhere di8erentiable, see Section 2, and the notion
of the derivative d Us = d t does not exist. However, there is a easy way out of this di@culty
following the steps that lead from a ordinary di8erential equation to a stochastic one and which
were explained in the Arst sections of the paper, see Section 2 (in particular, Section 2.6) and
Section 4. The main idea is simply to write the whole set of equations as increments over small
time steps, for example
d xp; i = Up; i d t ; (362a)

1 Us; i − Up; i f 1 f
1 + Ca f d Up; i = dt + 1 − gi d t + 1 + Ca × d Us; i ; (362b)
2 p $p p 2 p
d Us; i = As; i d t ; (362c)
where As is the time rate of change of the velocity of the uid seen. If Us is a di8erentiable
process, then As represents the acceleration. Yet, this formulation in increments is the clue to
a generalization to time rate of change which involves white-noise terms, see Section 2.6. It
is then easily seen that when Us becomes a di8usion process, such as a Langevin model, the
limit set of equations has still a sense (it involves the choice related to the deAnitions of the
stochastic integrals) and has the form
d xp; i = Up; i d t ; (363a)

1 Us; i − Up; i f 1 f
1 + Ca f d Up; i = dt + 1 − gi d t + 1 + Ca × d Us; i ; (363b)
2 p $p p 2 p
1 9P 9Uf ; i Us; i − Us; i

d Us; i = − d t + (Up; j − Us; j ) dt − d t + Bs; i d Wi : (363c)
f 9xi 9xj TL∗
What happens is that as the time scale of the ‘rapid’ part of the uid acceleration goes to zero,
$ → 0, the procedure of elimination of fast-variables described in Section 4 and already used in
Section 6.8 shows that now both the uid and the discrete particle velocity equations become
SDEs at the same time. Then both processes, namely Up and Us have trajectories which satisAes
stochastic equations with the same white-noise term d W in both equations. The third term in the
discrete particle equation represents a model for the pressure-gradient and added-mass forces.
The mean pressure-gradient accounts for the mean acceleration of the uid particle while the
uctuating part including the white-noise term models the uctuating acceleration.
One of the objectives of this subsection was to show that present di8usion models for the
uid velocity seen can be used even for bubbly ows. No supplementary terms have to be
introduced a priori to handle this case, at least for theoretical reasons. However, this fact and
the appearance of the same white-noise term in both the discrete particle and uid velocity
equations are related to the choice of the expressions of the pressure-gradient and added-mass
forces used here. If we had retained the form with the real uid particle acceleration instead
of the acceleration calculated along the solid particle trajectory, the complete model could not
have been derived as above. We would need a model for the acceleration of uid particle which
are sampled by the solid particles along their trajectories. This requires additional assumptions
and developments. In particular, di8erent white-noise terms could enter the di8erent equations,
contrary to the case analysed in this section.
Another purpose of this subsection is to show, perhaps more e8ectively than with the simpler
model for heavy particles, how the equilibrium values (the Tchen’s relations of the previous
subsection) can be readily obtained. As in the previous section, we consider homogeneous
isotropic turbulence and address the question in a 1D formulation. In that case the governing
set of stochastic di8erential equations is
' (
Up 1 b
d Up = − m d t + − ∗ Us d t + bBs d W ; (364a)
$p $m
p TL
Us
d Us = − d t + Bs d W ; (364b)
TL∗
where the coe@cients $m p and b stand for

m 1 f
$p = 1 + Ca $p ; (365)
2 p
' (
1 + 12 Ca f
b= : (366)
1
1 + 2 Ca f =p p
After a transient period, all the statistics reach their limit value and the stochastic process
Z = (Up ; Us ) reaches its stationary state and following the same procedure as in the previous
subsection using the rules of stochastic calculus, see Section 2.7, we get that
Us2
dUs2 = 0 ⇒ Bs2 = 2 ; (367a)
TL∗
' (
Up2 1 b b2 Bs2
dUp2 = 0 ⇒ − m + − U p Us + =0 ; (367b)
$p $m
p TL∗ 2
' ( ' (
1 1 1 b
dUp Us = 0 ⇒ − + Up Us + − ∗ Us2 + bBs2 = 0 (367c)
TL∗ $m p $ m
p TL
which give immediately the equilibrium relations

) *
TL∗ + b$m p
Up Us = Us2 ; (368)
TL∗ + $m p
) *
2
TL∗ + b2 $mp
Up = Us2 : (369)
TL∗ + $mp
In practice, the constant Ca is assumed to be equal to one, [74] and we can see that these
relations contain the ones derived in Section 7.5.5 as limit cases, since when f p we have
b 0 and $mp $p .
7.5.7. From Langevin to Kinetic equations

In the preceding subsections, once the one-particle state vector Z = (xp ; Up ; Us ) has been
chosen and the complete Langevin models have been introduced, we have concentrated mainly
on some characteristics of these models. In this last subsection, it may be interesting to take up
the question of the hierarchy of pdf equations and of descriptions that was discussed at length
in Sections 3 and in 4 and which is very much related to the choice of the state vector. Once
we have a closed pdf equation for p(t; yp ; Vp ; Vs ), we can move down the pdf-equation ladder
and consider the form of the pdf closures for reduced one-particle state vector.
Indeed, in Section 7.3.2, we discuss two main choices, one limited to particle location and
velocity Zr =(xp ; Up ), and the one that was retained which includes also the velocity of the uid
seen Z = (xp ; Up ; Us ). The Arst one is used in the Kinetic Equation approach, see [82,83] and is
brie y presented in Section 7.3.2. The second one has been the basis of the present Langevin
models. The state vector Z is more general than Zr since it contains one extra variable, and
thus the pdf of Zr , that we will write as pr to emphasize in this section its correspondence
with the reduced state vector Zr , is simply the marginal of the pdf of Z. In other words, the
description in terms of Z is a Aner description than the one performed in terms of Zr and
we have

r
p (t; yp ; Vp ) = p(t; yp ; Vp ; Vs ) d Vs : (370)
In Section 7.3.2, we mentioned the closure proposal made in the Kinetic Equation approach
which expresses in sample space the mean conditional value of the velocity of the uid seen,
Eq. (296). However, the closure relations in terms of Z which lead to the Langevin models are
di8erent, and we can ask ourselves, once a Langevin model is chosen, how the resulting model
for the reduced state vector looks like. The interesting issue is to ask whether, after integration
of the extra variable Us , we can retrieve the Kinetic Equation closure from a Langevin model.
The general form of a Langevin model is given by Eqs. (309) which, with a drag force, are
d xp; i = Up; i d t ; (371a)

Us; i − Up; i
d Up; i = d t + gi d t ; (371b)
$p
d Us; i = As; i (t; Z) d t + Bs; ij (t; Z) d Wj (371c)
and the pdf p(t; yp ; Vp ; Vs ) satisAes the corresponding Fokker–Planck equation, Eq. (310), which
is rewritten here explicitly with the expression of the drift term in the discrete particle momen-
tum equation
9p 9 9 Vp; i 9 Vs; i 9
+ [Vp; i p] − p + p + [Ap; i p]
9t 9yp; i 9Vp; i $p 9Vp; i $p 9Vs; i
1 92
= [(Bs BsT )ij p] : (372)
2 9Vs; i 9Vs; j
By integration of the pdf equation over all possible values of the extra variable, Us , we obtain
the reduced pdf equation which is identical to the one already given in Section 7.3.2, Eq. (295),
where it was obtained directly through the use of the techniques of Section 3
9p r 9 9 Vp; i r 9 1
+ [Vp; i pr ] − p + Us; i | yp ; Vp pr = 0 : (373)
9t 9yp; i 9Vp; i $p 9Vp; i $p
Note that implicitly, we have restricted ourselves to cases where $p does not depend any-
more on the extra variable, Us , as it should in the general case, see the discussion of current
expressions of the discrete particle relaxation time scale in Section 7.1. If not, the time scale $p
should be included within the conditional expectation involving the velocity of the uid seen.
More importantly, we see that the third term in Eq. (373) would also involve an unclosed form,
the conditional expectation of the inverse of $p for a given value of (yp ; Vp ). This is actually
another reason for choosing the one-particle state vector Z rather than the reduced one Zr , since
$p = $p (Z). Yet, for the sake of simplicity we leave out that question and assume that $p is
constant in the following discussion. The conditional average of Us is

r
Us | yp ; Vp p (t; yp ; Vp ) = Vs p(t; yp ; Vp ; Vs ) d Vs (374)
and some information on the form of the higher pdf p must be used to work out a closed
expression. This can be done in some cases. In situations such as homogeneous turbulence, the
form of present Langevin models, see Eq. (330) for example, shows that the drift coe@cient
for the velocity of the uid seen, As , is linear with respect to the variables entering the state
vector Z=(xp ; Up ; Us ) and that the di8usion coe@cient Bs is constant. Therefore, if we consider
the set of stochastic di8erential equations for the complete state vector Z written in a general
form as
d Zi = Ai (Z) d t + Bij (Z) d Wj ; (375)
the drift coe@cient A = (Ai ) is linear with respect to Z and the di8usion matrix is constant.
This is the same reasoning as in Section 7.5.1 applied to the complete set of stochastic variables
entering the state vector Z. In that case, the resulting stochastic process Z is Gaussian (this can
be seen also from the Fokker–Planck equation, Eq. (372)). Then, for Gaussian processes, one can
apply a useful result called Gaussian integration by parts [16], which states that for a Gaussian
process made up by (n + 1) centred Gaussian random variables, say (X1 ; X2 ; : : : ; Xn ; Xn+1 ) whose
pdf is pn+1 (y1 ; y2 ; : : : ; yn ; yn+1 ), integration over one variable, say Xn+1 , can be written in terms
of the marginal pdf pn of the reduced n-dimensional process (X1 ; X2 ; : : : ; Xn ) as
n
9pn
yn+1 p(y1 ; y2 ; : : : ; yn ; yn+1 ) d yn+1 = − Xi Xn+1 : (376)
9yi
i=1
A more general form of this theorem is called the Furutsu–Novikov theorem and uses functional
calculus. Application of Gaussian integration by parts in our case yields now
9p r
Us; i | yp ; Vp pr (t; yp ; Vp ) = Us; i pr − (Us; i − Us; i )(xp; j − xp; j )
9yp; j
9pr
−(Us; i − Us; i )(Up; j − Up; j ) : (377)
9Vp; j
Therefore, the closed pdf equation for pr obtained from the higher pdf equation for a Langevin
model is

9pr 9[Vp; i pr ] 9 Vp; i − Us; i 9 9p r 9 9p r
+ − pr = #ij + Dij (378)
9t 9yp; i 9Vp; i $p 9Vp; i 9yp; j 9Vp; i 9Vp; j
and has the same form than the proposed Kinetic Equation [80,82,83]. The coe@cients #ij and
Dij appear as the remaining traces of the variable that has been eliminated in the reduced pdf
equation (the Kinetic Equation), namely the velocity of the uid seen, Us . In the simpliAed
situations where Gaussian integration by parts can be applied it is seen that these coe@cients
are the correlations between each of the remaining degrees of freedom of Zr and the external
variable Us . The expressions of these coe@cients in terms of the history of the velocity of
the uid seen along the discrete particle trajectories can be given from the integrated discrete
particle equations, Eqs. (371)
t
−t=$p
xp; i (t) = xp; i (0) + $p [1 − e ]Up; i (0) + [1 − e(t −t)=$p ]Us; i (t ) d t (379a)
0

e−t=$p t t =$p
Up; i (t) = Up; i (0)e−t=$p + e Us; i (t ) d t : (379b)
$p 0
Neglecting the correlations of the velocity of the uid seen with the discrete particle initial
values, for an elapsed time t larger than $p , we get the expressions of the correlations

e−t=$p t t =$p
Up; i (t)Us; j (t) = e Us; j (t)Us; i (t ) d t ; (380a)
$p 0
t

xp; i (t)Us; j (t) = [1 − e(t −t)=$p ]Us; j (t)Us; i (t ) d t : (380b)
0
The general closure relations are therefore non-local in time. One important point is that, since
the velocity of the uid seen Us is external to the reduced description Zr , its autocorrela-
tion Us; j (t)Us; i (t ) must be provided by another source or assumed. From the discussion of
Section 7.5.3, it appears that putting forward a satisfactory expression for Us; j (t)Us; i (t ) in
the general case of non-homogeneous turbulence is not an easy task. Yet, if we limit again
ourselves to the simpliAed case of homogeneous turbulence without mean gradients and use a
1D formulation of the equations (for the sake of simplicity as in the preceding subsections),
the autocorrelation of the velocity of the uid seen can be well approximated by an exponential
∗
Us (t)Us (t ) = Us2 e(t−t )=TL (381)
and we obtain the stationary values of the correlations as

1 1 1
D= Up (t)Us (t) = Us2 ; (382a)
$p $p 1 + $p =TL∗
1 1 TL∗
#= xp (t)Us (t) = Us2 ; (382b)
$p $p 1 + $p =TL∗
where the Arst equation was already given as one of Tchen’s relations, see Section 7.5.5. At
this stage, using the concepts developed in the Arst sections of this paper, we are in a position
to play with these relations and check their consistency in limit cases. For example, let us
consider the limit case where the uctuating part of the velocity of the uid seen us = Us − Us
tends towards a white-noise term. All the material needed to handle that case has been given in
Section 4. Physically speaking this requires that the time scale of the velocity of the uid seen
TL∗ becomes very small with respect to the time scale of the velocity of the discrete particle $p .
As it was explained in Section 4, and in particular with the relation (94), the limit case of a
white noise term is expressed in a continuous sense by
Us2 → ∞ TL∗ → 0 such that Us2 × TL∗ → Ds ; (383)
where Ds is a Anite and non-zero constant. From the above expressions of # and of D we get
in that limit
Ds
D= ; (384a)
$2p
#=0 (384b)
and the Kinetic Equation becomes

9p r 9[Vp; i pr ] 9 Vp; i − Us; i Ds 92 [pr ]
+ − pr = 2 : (385)
9t 9yp; i 9Vp; i $p $p 9Vp;2 i
The Kinetic Equation has thus the form of a standard Fokker–Planck equation. From the equiv-
alence between Fokker–Planck equations and Langevin equations, see Section 2.8, we can write
the corresponding stochastic di8erential equations for the discrete particle variables
d xp; i = Up; i d t ; (386a)
Up; i Us; i 1
d Up; i = − dt + dt + 2Ds d Wj : (386b)
$p $p $p
This is fully consistent with the elimination of fast-variable detailed in Section 4 that we could
have also performed directly in the trajectory equations
 
 d xp; i = Up; i d t
  d xp; i = Up; i d t


Up; i − Us; i us; i → Up; i − Us; i 1
 d Up; i = − dt + d t TL∗ →0 
 d Up; i = − dt + 2Ds d Wj :
$p $p $p $p
(387)
Thus, we have seen that by integration of the velocity of the uid seen, we have retrieved the
closed form of the reduced pdf for Zr known as the Kinetic Equation, from a Langevin model.
In other words, it can be said that the Langevin model contains the solution of the Kinetic
Equation model as a marginal pdf. The correspondence was established by assuming that the
complete process Z could be regarded as a Gaussian process to apply Gaussian integration by
parts. This appears as an implicit assumption also in other derivations of the Kinetic Equation.
For example, in [80], the derivation was performed using cumulant expansion (limited to the
two Arst cumulants). This is a correct procedure for Gaussian processes, or if not the existence
of a small parameter is required in order to disregard the other terms of the expansion [80].
However, in non-homogeneous turbulence when the velocity of the uid seen is bound to
deviate from Gaussianity, this may be a too strong approximation. In this general situation, the
Langevin model which can tackle deviations from Gaussianity since the velocity of the uid
seen is explicitly simulated may have better chances to do a correct job.
7.6. Numerical examples and typical simulations
7.6.1. General numerical issues

In the following, we describe two numerical applications of the Lagrangian stochastic models
for discrete particle properties. The numerical code used to carry out the computations is a
mixed or hybrid Eulerian=Lagrangian code. Using a di8erent terminology, it can also be said
that the present hybrid approach is a mixed Moment=pdf approach, or in terms of numerics
a mixed Moment=Monte Carlo approach and even a mixed Particle=Mesh simulation. Indeed,
the simulations of the continuous phase (typically a gas) and of the dispersed phase (typically
solid particles) are performed with theoretical models and with numerical approaches which
are of a completely di8erent nature. On the one hand, the continuous phase is calculated using
a classical moment approach (see Section 6.3), and is computed by solving on a mesh the
corresponding partial di8erential equations. The continuous phase is therefore characterized by
mean Aelds obtained at a number of Axed predetermined points (the mesh nodes). On the other
hand, statistical properties of the dispersed phase are simulated by computing a large number
of trajectories of the stochastic process Z which describes particle variables (for example,
Fig. 30. Sketch of the coupled algorithm for one complete time step.
Z = (xp ; Up ; Us )). The dispersed phase is thus represented by a large number of particles, or
samples of the one-point pdf. At each time step, particle statistical properties are obtained by
Arst locating the particles in the cells of the mesh and by computing ensemble averages from
the set of particles present in each cell. The complete Eulerian=Lagrangian algorithm is sketched
in Fig. 30. This Agure represents one time step of the complete algorithm. During each time
step, the uid mean Aelds are Arst updated and the uid mean Aelds which enter the particle
stochastic equations are provided to the Lagrangian solver. These mean Aelds include typically
the mean pressure P (or its gradients), the mean velocity Uf , the Reynolds stress tensor Rij ,
the mean dissipation rate + and additional Aelds if needed depending on the application (for
instance, the mean uid temperature, etc.). Then, in the Lagrangian solver, particle stochastic
equations are integrated in time (over one time step), particles are then located within the grid
and, after application of boundary conditions, mean or statistical properties are evaluated by
local ensemble averaging. These statistical properties extracted from particle variables include
the particle mean velocity Aeld Up , which enters the coe@cients of the particle stochastic
equation (through the expression of the time scale of the uid velocity seen for instance,
Eqs. (314)–(315), and the source terms accounting for the exchange of momentum and of
kinetic energy which are then fed back into the Eulerian solver as indicated in Fig. 30.
On the numerical front, the situation is as open as on the theoretical front. Just as current
stochastic models require improvements (see Sections 7.4.1 and 7.4.2), the numerical implemen-
tation of previous ideas involve a number of issues for which further work would be needed.
A comprehensive presentation of the various issues is outside the scope of the present work
and we limit ourselves to mentioning some points. SpeciAc information can be found in the
classical book of Hockney and Eastwood [90] which deals however mostly with deterministic
particle=mesh systems. Issues related to Monte Carlo particle=mesh methods may be found in
Fig. 31. Geometry of the Wall jet test case.
specialized articles [56,91]. Among other issues, two important numerical points are
• one has to integrate in time the SDEs which form the particle model. This is often a
tricky question since numerical schemes have to be consistent with the deAnition of the
stochastic integral and must be consistent with the objective of a weak approximation (see
Section 2 and in particular Section 2.10).
• one must exchange information between the grid-based variables and the particle-based
variables. The uid mean Aelds calculated at grid nodes must be evaluated at particle
locations (which are distributed continuously within the domain). This represents the Arst
problem of how to go from the grid to the particles. Then, mean variables related to the
particles (such as Up ) are evaluated by taking local ensemble averages. This represents
the second problem, which is the reverse of the Arst one, of how to go from the particles
to the grid. Generally speaking, these two problems cannot be treated independently as
this may lead to inconsistencies [90,91].
7.6.2. Wall jet

The Arst case described is a turbulent wall jet loaded with solid particles. The geometry and
the ow conditions are represented in Fig. 31. The ow is made up by a turbulent plane air
jet of width b which moves down a vertical plane wall and is mixed with a co-current ow.
The plane jet is seeded with solid glass particles. Both single- and two-phase ows have been
studied and measurements have been performed at a number of sections downstream of the
injection, namely at x=b = 1; 5; 10; 15; 20; 30; 40; 50. Experimental date are published in [92], and
this conAguration was used as a test case for one Workshop on two-phase ows organized in
Merseburg (Germany) in 1996 (Tables 1 and 2).
A standard k–+ model was used for the predictions of the gas-phase properties, and not
a low-Reynolds k–+ model which could have been more appropriate given the moderate jet
Reynolds number. This was done for the sake of simplicity and also in order to test the standard
version of the code. Therefore, present results do not claim to be the best possible ones with
Table 1
Characteristics of the case
Dimensions of the test section 150 × 100 mm2
Length 350
Jet width 5 mm
Maximum velocity in the jet 10 m= s
Velocity of the co-current stream 2 m= s
Jet Reynolds number 3300
Table 2
Particle properties
Mean diameter dp 49:3 m

Particle diameter standard deviation p 4:85 m
Particle density p 2590 kg= m3
Particle mass loading 0:1
Table 3
Computational performances
Time for 1000 nodes Time for 1000 particles

per time step per time step
Eulerian solver 0:065 s
Lagrangian solver 0:16 s
state-of-the-art turbulence models. Calculations were carried out with a cartesian grid. Since
the ow is two-dimensional, computations were performed with only 3 planes in the symmetry
direction and the mesh was made up of 102 × 3 × 47 = 14 382 nodes. At the inlet, the proAles
of particle volumetric fraction and of axial velocity are given (the particle mass ow rate is
therefore known). Particles are then injected at each time step so as to respect this inlet mass
ow rate. At a transient time, a stationary regime is reached in which the total number of
particles within the domain remains constant (or uctuates slightly around a constant value).
When this stationary state was reached, between 14 100 and 14 200 particles were treated at
each time step.
The single-phase ow case was Arst calculated using 1000 iterations with a time step of
Qt = 1:E − 4 s. Then the coupled two-phase ow was simulated. Computations were performed
on a Silicon OCTANE R10 000 workstation and the necessary CPU times for the computations
of the gas (with the Eulerian solver) and the particle phase (with the Lagrangian solver) are
indicated below. Both CPU times have been calculated for the same number of computational
‘elements’ which were treated (either mesh points or particles) (Table 3).
The computational requirements for the particle solver is more important than for the Eulerian
solver. Once again, this is not totally surprising since the Eulerian solver computes only a
small number of moments whereas the particle solver computes the one-point pdf. Furthermore,
Fig. 32. ProAles of vertical mean uid velocities. The continuous line is for the single-phase ow case and is to
be compared with experimental data (•). The dotted line represents results for the two-phase case and is to be
compared with experimental data (×).
computational requirements for the gas phase are, for the present calculation, rather low since
a k–+ model was used. Yet, it was shown in previous sections that present Lagrangian models
have a natural correspondence not with eddy-viscosity type of models but rather with full
second-order or Reynolds stress models (see Section 6.7 and even Section 8.5). In other words,
even in terms of moment equations (which is only a subset of the information calculated by the
Lagrangian solver), the model used in the Eulerian and Lagrangian solvers are not equivalent.
Consequently, it is actually di@cult to draw deAnitive conclusions from present computational
times. The next case where a second-order model is used for the gas phase will provide Agures
that are more relevant to compare directly.
A number of results are shown in the following in order to illustrate how present models
perform for such a case. Statistical results are presented for the four last sections, at x=b =
20; 30; 40; 50. Fig. 32 presents results for the vertical mean uid velocity. In the two-phase
case, particles which are heavier than the uid and move at a higher velocity tend to increase
uid velocities in the core of the jet and to change the slope of the mean uid velocity proAle.
This trend is well reproduced by the model although the peak of the mean uid velocity appears
to be slightly overpredicted in the last two sections. The particle volumetric fraction :p is a
very sensitive variable in this test case and the form of the proAles as well as the position
Fig. 33. ProAles of particle volumetric fraction (×1:E + 4).
of the peak value are sensitive to the choice of the model and to the numerics. Therefore,
the comparison shown in Fig. 33 displays satisfactory agreement between numerical predictions
and experimental values. Further comparisons for particle mean velocity and also for particle
uctuating velocities are presented in the next two Agures (Figs. 34 and 35).
7.6.3. Recirculating bluC-body ;ow

In the previous case, the ow between the uid and the particles was co-current. A more
di@cult situation and therefore a much more stringent test for computational models is met
with the present case of a recirculating blu8-body ow. The sketch of the geometry and of ow
conditions is given in Fig. 36.
This experimental setup is characteristic of pulverized coal combustion furnaces where pri-
mary air and coal are injected in the centre and secondary air is introduced on the periphery.
This is a typical blu8-body ow where the gas (air at ambient temperature, T = 293 K ) is in-
jected in the outer region with a velocity high enough to create a recirculation zone downstream
of the injection (two honeycombs were used in the experiment in order to stabilize the ow so
that no swirl was present). Solid particles (glass particles of density p = 2470 kg= m3 ) are then
injected from the inner cylinder with a given mass ow rate and from there interact with the
gas turbulence. This is a coupled turbulent two-phase ow since the particle mass loading at
Fig. 34. ProAles of particle mean vertical velocities.
the inlet is high enough (22%) for the particles to modify the uid mean velocities and kinetic
energy. This is also a polydispersed ow where particle diameters vary according to a known
distribution at the inlet, typically between dp = 20 m and dp = 110 m around an average of
dp ∼ 60 m.
Experimental data are available for radial proAles (the ow is stationary and axi-symmetric)
of di8erent statistical quantities at Ave axial distances downstream of the injection (x=0:08; 0:16;
0:24; 0:32 and 0:40 m). These quantities include the mean axial and radial velocities as well as
the uctuating radial and axial velocities for both the uid and the particle phase. Axial proAles
along the axis of symmetry for these quantity have also been measured. All the data were
gathered using PDA measurement techniques. Further details on the experimental setup and the
measurement techniques can be found in [93].
This test case is a very interesting case for two-phase ow modelling and numerical sim-
ulations since most of the di8erent aspects of two-phase ows are present. The particles are
dispersed by the turbulent ow but in return modify this one. Furthermore, the existence of a
recirculation zone where particles interact with negative axial uid velocities constitutes a much
more stringent test case compared to cases where the uid and the particle mean velocities are
of the same sign (the problem is then mostly conAned to radial dispersion issues).
Fig. 35. ProAles of particle uctuating vertical velocities.
Computations were performed using a curvilinear mesh well suited for axi-symmetrical ows
and made up of 74 × 3 × 142 = 31 154 nodes. Two turbulence models, a k–+ and a Rij –+
model, have been used. For the single-phase ow case, the second-order model performed
much better than the simple k–+ model for the prediction of the recirculation zone and was
retained. In terms of modelling consistency with Lagrangian stochastic models, this is actually
more satisfying since the Eulerian model which naturally corresponds to a Lagrangian stochastic
equation is indeed a second-order model (see Section 6.7). A variable time step calculation was
performed for the single-phase ow computation. Then particles are injected and the two-phase
ow was calculated with a Axed time step, d t = 1:E − 3 s. For the two-phase ow case, it must
be noted that each component of the Reynolds stress tensor Rij is modiAed by source terms
which account for the exchange of energy between the uid and the particles. With the sources
terms applied in the mean uid momentum equations, this means that at each time step, nine
source terms are calculated from the particle data and are sent back to the Eulerian solver. The
stationary regime is then reached as the limit of the unstationary regime. When the stationary
regime is reached, around 14 000 particles are treated simultaneously at every time step.
Calculations were performed with a HP 785=C3000 workstation. About 1000 time steps were
simulated for the single-phase ow problem. Then, 2000 time steps were calculated for the
two-phase ow situation. Around 400 –500 time steps are needed to reached the stationary
Fig. 36. Geometry of the blu8-body case. The mean streamlines are shown for the uid (solid lines) and the
particles (dashed lines). Two stagnation points in the uid ow can be observed (S1 and S2 ). Experimental data
are available for radial proAles of di8erent statistical quantities at Ave axial distances downstream of the injection
(x = 0:08; 0:16; 0:24; 0:32; 0:40 m) (experimental data is also available on the symmetry axis).
Table 4
Computational performances
Time for 1000 nodes Time for 1000 particles

per time step per time step
Eulerian solver 0:20 s

Lagrangian solver 0:17 s
regime for the two-phase ow situation. Statistics extracted from the particle data set are then
averaged in time (averaged for about 1000 time steps) which ensures that statistical noise is
reduced to a negligible level.
The CPU times for the calculation of the gas properties with the Eulerian solver and of
the particle properties with the Lagrangian solver are given in Table 4. For the same number
Fig. 37. ProAles of vertical mean uid velocities. The continuous line is for the single-phase ow case and is to
be compared with experimental data (•). The dotted line represents results for the two-phase ow case and is to
be compared with experimental data ( ).
of computational elements (either mesh points or nodes), the Lagrangian solver appears now
even slightly faster than the Eulerian one. Compared to the previous case, the computational
requirements for the Eulerian solver is increased due to the use of a full second-order turbulence
model which implies the numerical solution of six coupled partial di8erential equations for the
uctuating velocities (added to the three equations for mean momentum) compared to only two
for eddy-viscosity models. In comparison, the Lagrangian solver requires about the same time
since the same model was used. This is a numerical illustration of the fact that Lagrangian
stochastic models become increasingly competitive even with classical grid-based approaches
when models are more and more complicated (not to mention the di8erent level of information
contained in the di8erent approaches).
This case represents a recent numerical application. Various results can be extracted and
collated to experimental data. Since the purpose of this section is more to illustrate how present
stochastic models work for a practical case rather than a comprehensive validation analysis,
we limit ourselves to a subset of numerical outcomes (complete results should be presented
and submitted soon). Fig. 37 presents the numerical predictions of the axial proAle of the
mean axial uid velocity, both in the single and in the two-phase ow cases. It is seen that
the present coupled calculation predicts the correct trend for the mean uid velocity from the
single- to the two-phase ow situation where particles in uence the uid, though the comparison
with experimental data is slightly worse than for the single-phase ow situation (the increase
of the uid velocity downstream of the recirculation zone is underpredicted). The next two
Agures, Figs. 38 and 39, display detailed comparisons (at the six sections where experimental
measurements are available) of particle mean vertical velocities and particle vertical uctuating
velocities (simply obtained as the standard deviation of the distribution of the particle vertical
velocity at each point).
We can use the present numerical simulation to bring out the kind of information that is
available. As already indicated, in a number of engineering applications, one is usually interested
in having far more information than simply one or two moments. A typical example is the
Fig. 38. ProAles of particle mean vertical velocities.
particle residence time within a domain or within a certain marked zone. In many situations,
one would like to know, at a given point or in a given region, the distribution of the residence
time at a certain time. For example, one would like to know how much time particles found
in a certain volume have actually spent in that volume, or even how many of the particles
present have previously entered another speciAc zone. One of the interest of present stochastic
models is to provide such information. This is illustrated in Fig. 40 which presents a plot of the
instantaneous locations of the particles that are simulated at that time step. In this plot, particles
are coloured by their residence time which reveals the recirculation. The denser plot indicates
the accumulation of particles in the recirculation zone. In the same Agure, two distributions of
Fig. 39. ProAles of particle uctuating vertical velocities.
particle residence time are extracted and shown at two locations. In a cell near the inlet, the
distribution is highly peaked: most of the particles present in that cell have just been injected
and their residence time is small contributing to the near delta-value close to the origin of
time. A smaller number of particles are found with larger residence times: these are particles
which have recirculated and have gone back to the selected cell following di8erent trajectories
and thus having di8erent residence times. A second distribution is also shown in Fig. 40, for
a location near the outlet of the domain. In that case, we do not And di8erent subclasses but
rather a continuous spread of the particle residence time distribution. Particles have been well
mixed since the injection and the distribution are smooth. The subdivision of particles into
Fig. 40. A snapshot of particle locations at one time step of the calculation where particles are coloured by their
residence time within the domain. Two distributions of particle residence time are plotted at two di8erent positions,
near the injection and near the outlet.
Fig. 41. Plot of the instantaneous axial velocity of a number of particles found in a cell close to the injection. The
particles are coloured by their residence time within the domain.
di8erent subsets, in a cell close to the inlet, is further illustrated in Fig. 41. In this Agure,
the instantaneous particle axial velocities are plotted for the particles found, at a given time
in a certain cell. The values are coloured as a function of the particle residence time. It is
clearly seen that two di8erent classes co-exist within the cell. The Arst subclass is formed by
the particles which have just been injected and whose residence time is small (coloured in
blue). These particles have an axial velocity close to 4 m= s (the inlet value) with very little
dispersion around this value. In other words, the particle kinetic energy for this subclass is
small. A second subclass is formed by particles with a higher residence time and which have
recirculated. Their axial velocity is smaller but the dispersion within that subclass is higher.
Therefore, the global uctuating velocity up = (up )2 calculated on the whole set of particles
present can be important, but that simple number cannot represent the underlying physics of the
problem, which is here better described in terms of various subclasses. This kind of analysis is
easily accessible with present Lagrangian stochastic models.
8. Two-point 7uid–particle pdf models in dispersed two-phase 7ows
The mathematical tool ‘di8usion process’ has now been used extensively in the two preceding
sections. It was shown how these processes can be applied to model a continuous Aeld (turbulent
single-phase ows) and a discrete case (discrete particles carried by a continuous Aeld, a uid,
where the description of the uid is external to the probabilistic formalism). In the present
section, we merge the one-point uid pdf and the one-point particle pdf notions. The formalism
presented in Section 6 is generalized and the models developed in Sections 6 and 7 are extended.
In other words, a complete trajectory description of dispersed two-phase ows is proposed.
With respect to that context, the objectives of the present section are
(i) to precise and clarify what the present notion of a two-point uid–particle pdf description
is, its relation with macroscopic approaches and its interest,
(ii) to detail the formalism (especially the notions of Lagrangian and Eulerian pdfs and the
associated marginals), and study the properties of the new approach.
In opposition to the previous sections (6 and 7), the physical content of the approach is not
one of the main interests of the present section and we will not dwell on such considerations.
Instead, emphasis is put on the general formalism, or in other words, it will be demonstrated
how the dispersed two-phase ow issue can be addressed in a general probabilistic framework
where the mean Aeld equations are the end of the road.
8.1. Motivations and basic ideas
As explained above and in Section 7, one-point particle pdf models in dispersed two-phase
ows (such as the Langevin equation model [80] or the Kinetic Equation [82,83]), are hybrid
methods where the characteristics of the continuous ( uid) phase are external to the description
of the statistical system (the discrete particles) and must be determined by another route, usually
classical Reynolds stress modelling. It was shown in that section that pdf models, or particle
stochastic models can handle convection as well as any distribution of particle properties (such
as particle diameter) without approximation. They are therefore attractive models for polydis-
persed particle ows and when complex phenomena a8ecting particles (for example, droplet
evaporation, heterogeneous particle combustion, etc.) have to be included. Similarly, a classical
moment approach (for instance, Reynolds stress models) for the continuous phase may be too
limiting when chemical reactions take place and=or other e8ects (intermittency, . . . ) have to
be taken into account. This was detailed in Sections 6.3 and 6.5.3. Consequently, it appears
interesting to describe both phases (the uid and the particles) with stochastic models or using
only probabilistic arguments. In order to do so, it seems logical to introduce a uid–particle
pdf and to discuss the properties of both phases from the same point of view.
8.2. Probabilistic description of dispersed two-phase ;ows
Here, the motivation for the introduction of the notion of the Eulerian and Lagrangian points
of view in the frame of the probabilistic approach is not recalled (this was done in Section 6).
It is, however, reminded that, in the continuous phase, both points of view are possible since
the problem which is addressed is the probabilistic description of a Aeld. For the discrete phase,
the natural choice is the Lagrangian point of view. In other words, it will be seen that, as in
Section 6, at the microscopic level the Lagrangian point of view is natural (both point of views
can be adopted for the continuous phase) whereas at the macroscopic level all quantities are
Eulerian ones. Indeed, the end of the road is the derivation of Aeld equations for the local
moments (expected values) of both phases.

As done in Section 6, we slightly anticipate the next subsections and we directly give an
expression for the two-particle state vector (one uid particle and one discrete particle). In the
case of turbulent, reactive, compressible, dispersed two-phase ows, an appropriate state
vector is
Z = (xf ; Uf ; f ; xp ; Up ; p ) ; (388)
where p has a given dimension (as it was done previously, we distinguish between physical
space and sample space, Z = (yf ; Vf ; f ; yp ; Vp ; p ). It will be seen that p can consist of the
uid velocity seen and several scalars relevant to the discrete particles, for example diameter,
enthalpy, mass fractions and so on. Here, we try to stay as general as possible and only position
and velocity are included explicitly in the state vector. Once again, it is, indeed, necessary to
introduce two independent variables for the positions of the uid and the discrete particles since
the two kind of particles are not convected by the same velocities.
We are therefore considering a two-particle pdf picture (in a Lagrangian sense) of the whole
system composed of the uid and of the particles, or a two-point pdf picture (in an Eulerian
sense). This is however a di8erent notion from ‘classical’ two-point, or two-particle, descrip-
tions of the same phase (two uid particles or two discrete particles) described in Section 3.2.
The two-point description followed here is a mixed notion, since we are considering one par-
ticle in each phase. The intermediate status of the present description is discussed again in
Sections 8.2.3 and 8:4.
8.2.2. Eulerian and Lagrangian descriptions

As explained earlier in Section 6, there are two possible points of view for the description
of a uid, or more precisely in this case a uid–particle mixture. The Lagrangian one where
one is interested in, at a Axed time, the probability to And two particles (a uid particle and a
discrete particle) in a given state and the Eulerian description (Aeld approach) where one seeks
the probability to And, at a given time and at two Axed points in space (a ‘ uid point’, xf , and
a ‘discrete-particle point’, xp ), the uid–particle mixture in a given state.
In the case of the Lagrangian description, we deAne the following pdf:
L
pfp (t; yf ; Vf ; f ; yp ; Vp ; p) ; (389)
where (the subscripts f and p for the variables are sometimes dropped for the sake of simplicity
as long as the notation does not become ambiguous) the probability to And a pair of particles
(a uid particle and a discrete particle) at time t, whose positions are in the range [y; y + d y],
whose velocities are in the range [V; V + d V] and whose associated quantities (scalars and other
variables) are in the range [ ; + d ], is
L
pfp (t; yf ; Vf ; f ; yp ; Vp ; p ) d yf d Vf d f d yp d Vp d p : (390)
Normalization is given by

L
pfp (t; yf ; Vf ; f ; yp ; Vp ; p ) d yf d Vf d f d yp d Vp d p =1 ; (391)
L
where L represents the obtainable values in sample space: in the velocity spaces, it is ±∞
whereas in the position spaces it is given by the boundary conditions. In the scalar spaces, the
obtainable values are essentially deAned by realizability conditions.
For the Aeld description (Eulerian point of view), the following distribution function
(it is not a pdf ) is introduced:
E
pfp (t; xf ; xp ; Vf ; f ; Vp ; p) ; (392)
where the probability to And at time t and at positions xf and xp the system in a given state
in the range [V; V + d V] and [ ; + d ] is
E
pfp (t; xf ; xp ; Vf ; f ; Vp ; p ) d Vf d f d Vp d p : (393)
As far as normalization is concerned, one can state that (E represents the obtainable values in
sample space with E ⊂ L )

E
pfp (t; xf ; xp ; Vf ; f ; Vp ; p ) d Vf d f d Vp d p 6 1 ; (394)
E
since the physical situation is a uid–particle mixture where one cannot always And with prob-
ability one, at a given time and at two di8erent locations, a uid and a discrete particle in any
state. An expression for the normalization factor will be proposed later in Section 8.2.3 but,
here, the present form is conserved in order to be consistent with the choices which will be
made in the following subsections.
8.2.3. Consistency relation and normalization constraint

In the formalism presented so far, no geometrical information, on the relative positions of
the uid particle and the discrete particle, has been given.
To illustrate that matter, let us go back to Section 6. In this one-point description, one can
state that two stochastic ( uid) particles can be located at the same position at the same time
since they represent two di8erent realizations of the ow (and consequently the particles are
likely to exhibit di8erent velocities and associated scalars). Now, if one goes to a two-point uid
pdf approach, the modelled equations of the trajectories for the pair of (stochastic) particles
could be twice Eqs. (236a) and (236b). However, if these equations were retained in their
present form, a piece of information would be missing, namely the fact that these two stochastic
particles could not be located, at time t, at the same position in space. This spatial information
(the relative position between the two uid particles) has to be introduced in the stochastic
di8erential equations (the form of this short-range interaction and its consequences in the pdf
equation will not be discussed here).
In the present two-point uid–particle approach, the problem is slightly di8erent since we
are not really dealing with a two-point approach (as in the spirit of single-phase ows) but
instead with a two-point approach with one point for each phase. However, the same constraint
is present, that is, for a pair composed of a uid and a discrete particle, the two particles cannot
be located at the same position in physical space for a given time t. For the Lagrangian pdf
when yf = yp = y, the argument developed above implies that
L
pfp (t; y; Vf ; f ; y; Vp ; p) =0 ; (395)
and consequently, in terms of the Eulerian distribution function (for xf = xp = x)

E
pfp (t; x; x; Vf ; f ; Vp ; p) =0 : (396)
Eq. (395) is an additional constraint which should be present in the pdf equation (the Fokker–
Planck equation veriAed by pfp L ) and also in the trajectories of a pair of particles (a uid particle
and a discrete particle) as a short range interaction.

A direct consequence of Eq. (395), and consequently Eq. (396), is that, at a given point x
in physical space and a given time t, the sum of the probabilities to And a uid particle or a
discrete particle in any state is one. This can be expressed in terms of the marginals of the
Eulerian distribution function as

pfE (t; x; Vf ; f ) d Vf d f + ppE (t; x; Vp ; p ) d Vp d p = 1 (397)
where

pfE (t; xf ; Vf ; f) =
E
pfp (t; xf ; xp ; Vf ; f ; Vp ; p ) d xp d Vp d p ;

ppE (t; xp ; Vp ; p) = E
pfp (t; xf ; xp ; Vf ; f ; Vp ; p ) d xf d Vf d f : (398)
Eq. (397) can also be re-written by introducing the normalization factors of pfE and ppE , namely
:f (t; x) and :p (t; x), respectively, to yield
:f (t; x) + :p (t; x) = 1 : (399)
:f (t; x) represents the probability to And the uid phase, at time t and position x, in any state
(0 6 :f (t; x) 6 1). This probability in not always one as in single-phase ows where the physical
space is continuously Alled by the uid. In a uid–particle mixture, at (t; x) there might be some
uid or a discrete particle. Similarly, the probability to And the discrete phase at time t and
position x in any state is :p (t; x) (0 6 :p (t; x) 6 1).
At the beginning of the section, it was seen that pfp E is not a pdf but rather a distribution
function (as a matter of fact, it represents a Aeld of distribution functions). It was also postulated
that the normalization factor of pfp E is always less or equal than one. This can be clariAed in the
particular case where the uid particles and the discrete particles represent independent events,
i.e. pfpE = pE pE (strictly speaking, this is not always possible since they cannot be located, for
f p
a given time, at the same point in physical space). Under this assumption, the normalization
factor of pfpE becomes

E
pfp (t; xf ; xp ; Vf ; f ; Vp ; p ) d Vf d f d Vp d p = :f (t; xf ) :p (t; xp ) ; (400)
E
which is consistent with Eq. (394). We shall see now (as in Section 6) that the Eulerian quantity
which contains all information is a two-point mass density function which is in line with the
consistency and normalization arguments which have just been addressed.
8.2.4. Marginal pdfs and mass density functions

Two marginal pdfs have a clear meaning and correspond to known proposals. The Arst one
is obtained by integrating over all characteristics of the discrete particles and is the pdf related
to the uid characteristics (it is nothing but the pdf which was used in the one-point uid pdf
approach in Section 6),

L L
pf (t; yf ; Vf ; f ) = pfp (t; yf ; Vf ; f ; yp ; Vp ; p ) d yp d Vp d p : (401)
The second marginal pdf is obtained by integrating over all characteristics of the uid particles
and is the pdf related to the characteristics of the discrete particles (it is therefore the pdf which
was used for the one-point particle pdf approach in Section 7),

L L
pp (t; yp ; Vp ; p ) = pfp (t; yf ; Vf ; f ; yp ; Vp ; p ) d yf d Vf d f : (402)
As it was explained in Section 6, for a complete description of the uid particles, a mass
density function FfL (t; yf ; Vf ; f ) is introduced where
FfL (t; yf ; Vf ; f ) d yf d Vf d f (403)
is the probable mass of uid particles in an element of volume dyf d Vf d f .
As for the uid particles, the discrete particles might have di8erent densities and sizes (in
the case for example of a spray where there is a size distribution or in the case of a uidized
bed where there is a distribution in density and diameter) and a similar mass density function
is deAned FpL (t; yp ; Vp ; p ) where
FpL (t; yp ; Vp ; p ) d yp d Vp d p (404)
is the probable mass of discrete particles in an element of volume d yp d Vp d p . Both mass
density functions are consequently normalized by the total mass of the respective phases, Mf
for the continuous phase and Mp for the discrete phase (Mf and Mp are constant in time for
the sake of simplicity)

Mf = FfL (t; yf ; Vf ; f ) d yf d Vf d f ;

Mp = FpL (t; yp ; Vp ; p ) d yp d Vp d p ; (405)
where the mass density functions are given by

FfL (t; yf ; Vf ; f) = Mf pfL (t; yf ; Vf ; f) ;
FpL (t; yp ; Vp ; p) = Mp ppL (t; yp ; Vp ; p) : (406)
Np
The total masses are of course deAned by Mf = Vf f (xf ) d xf and Mp = i=1 mp; i where Np
is the total number of discrete particles, mp; i the mass of the discrete particle i, and where
the integration which gives Mf is performed over the domain occupied by the continuous uid
phase.
If, for example, all discrete particles are identical in mass and size Mp = Np mp , then the
mass density function is equivalent to the number density function f1 which is usual in kinetic
theory, see Section 3, that is (scalars f are dropped in analogy with kinetic theory)
f1 (t; yp ; Vp ) = Np ppL (t; yp ; Vp ) ⇒ mp f1 (t; yp ; Vp ) = FpL (t; yp ; Vp ) : (407)
At last, we deAne a two-point uid–particle mass density function
FLfp (t; y; V; ) = Mp Mf pfp

L
(t; y; V; ) ; (408)
whose marginals are related to the mass density function of the continuous phase FfL and the
mass density function of the discrete phase FpL by
FLf (t; yf ; Vf ; f) = Mp FfL (t; yf ; Vf ; f) ;

FLp (t; yp ; Vp ; p) = Mf FpL (t; yp ; Vp ; p) : (409)
8.2.5. General relations between Eulerian and Lagrangian pdfs

The quantities which have been introduced so far in the present section are related to
Lagrangian pdfs (or mdfs). As explained before, the end of the road of the present formal-
ism is the derivation of Aeld equations (Eulerian equations) for the local moments of both
phases and this can only be done by means of Eulerian tools, i.e. Fokker–Planck like equations
(partial di8erential equations) on Eulerian distribution functions. Averaging operators (expec-
tations) can then be deAned and partial di8erential equations for the mean quantities can be
written as it was done in Section 6.
Here, the problem is, however, slightly di8erent since we are dealing with a uid–particle
mixture, that is two phases sharing the same physical space. Relations between two-point (one
uid particle and one discrete particle) Lagrangian mdfs and Eulerian mdfs must be found. We
shall shortly see that two treatments of the problem are possible and equivalent. Indeed, relations
between Eulerian and Lagrangian mdfs can be worked out on the marginals of FLfp (FLf = Mp FfL
and FLp = Mf FpL ) or directly on FLfp . The fundamental di8erence is the information which is
kept when one arrives at the Eulerian formulation, i.e. a two-point (one point for each phase)
Eulerian information in the latter procedure whereas in the former, only one-point Eulerian
information is available in each phase (some information has been lost).
By generalization of Eq. (211), we deAne
FEfp (t; xf ; xp ; Vf ; f ; Vp ; p)
=FLfp (t; yf = xf ; Vf ; f ; yp = xp ; Vp ; p )

= FLfp (t; yf ; Vf ; f ; yp ; Vp ; p )(xf − yf )(xp − yp ) d yf d yp ; (410)
where FEfp is the Eulerian two-point uid–particle mass density function. By direct integration
of the previous equation over physical space xp and phase space (Vp ; p ) or over physical
space xf and phase space (Vf ; f ), one Ands similar relations for the associated marginals, the
Eulerian one-point uid mass density function, FEf , and the Eulerian one-point mass density
function associated to the particle phase, FEp , respectively. One can write for the continuous
phase

Ff (t; xf ; Vf ; f ) = Ff (t; yf = xf ; Vf ; f ) = FLf (t; yf ; Vf ; f )(xf − yf ) d yf
E L
(411)
and for the discrete phase

FEp (t; xp ; Vp ; p) = FLp (t; yp = xp ; Vp ; p) = FLp (t; yp ; Vp ; p )(xp − yp ) d yp : (412)
Eqs. (411) and (412) are consistent with the following deAnitions of the Eulerian marginals of
FEfp (FEf and FEp ),

Ff (t; xf ; Vf ; f ) = FEfp (t; xf ; xp ; Vf ; f ; Vp ; p ) d xp d Vp d p
E
(413)
and

FEp (t; xp ; Vp ; p) = FEfp (t; xf ; xp ; Vf ; f ; Vp ; p ) d xf d Vf d f : (414)
As it was shown previously in the deAnitions of the Lagrangian mass density functions, we
have FLf = Mp FfL and FLp = Mf FpL and inserting these results in Eqs. (411) and (412), we And
by identiAcation that
FEf (t; xf ; Vf ; f) = Mp FfE (t; xf ; Vf ; f) ;

FEp (t; xp ; Vp ; p) = Mf FpE (t; yp ; Vp ; p) ; (415)
which goes hand in hand with the fact that the relations between the Eulerian mass den-
sity functions (FfE ; FpE ) and the Lagrangian mass density functions (FfL ; FpL ) are also given by
Eqs. (411) and (412). Eq. (411) (veriAed by FfL and FfE ) is of course identical to Eq. (211)
in the single-phase ow case.
Before we carry on, let us recall our reasoning. In order to write Aeld equations for both
phases, where the physical space is shared by the uid and the particles, the following procedure
is adopted. In the Arst part, where relations between Eulerian and Lagrangian mdfs are worked
out at the two-point level,
FEfp (t; xf = x; xp ; Vf ; f ; Vp ; p) ;
FEfp (t; xf ; xp = x; Vf ; f ; Vp ; p) ; (416)
are under investigation. Information is still available, in the Eulerian sense, at the two-point
level. Of course, these two mdfs can give both marginals, see Eqs. (413) and (414), at the
same point in physical space, i.e. FfE (t; x; Vf ; f ) and FpE (t; x; Vp ; p ).
In the second part, where relations between Eulerian and Lagrangian mdfs are worked out at
the one-point level,
L
pfp (t; yf = y; Vf ; f ; yp ; Vp ; p) ;
L
pfp (t; yf ; Vf ; f ; yp = y; Vp ; p) ; (417)
are under investigation. These two pdfs give both Lagrangian marginals, see Eqs. (401) and
(402), at the same point in sample space, i.e. pfL (t; y; Vf ; f ) and ppL (t; y; Vp ; p ). With
Eq. (406) and Eqs. (411) and (412), information is obtained in the form of both the one-point
uid and particle mass density functions, FfE (t; x; Vf ; f ) and FpE (t; x; Vp ; p ), respectively (at
the same point in physical space).
8.2.6. Two-point relations between Eulerian and Lagrangian pdfs

With Eq. (410), the deAnition of the two-point uid–particle Lagrangian mdf FLfp =Mf Mp pfp
L,
L
and the two-point uid–particle transitional pdf p|fp ,
L
pfp (t; xf ; Vf ; f ; xp ; Vp ; p )

= p|Lfp (t; xf ; Vf ; f ; xp ; Vp ; p |t0 ; xf 0 ; Vf 0 ; f 0 ; xp0 ; Vp0 ; p0 )
L
pfp (t; xf 0 ; Vf 0 ; f 0 ; xp0 ; Vp0 ; p0 ) d xf 0 d Vf 0 d f 0 d xp0 d Vp0 d p0 ; (418)
one can write
FEfp (t; xf ; xp ; Vf ; f ; Vp ; p )

= p|Lfp (t; xf ; Vf ; f ; xp ; Vp ; p |t0 ; xf 0 ; Vf 0 ; f 0 ; xp0 ; Vp0 ; p0 )
FEfp (t; xf 0 ; xp0 ; Vf 0 ; f 0 ; Vp0 ; p0 ) d xf 0 d Vf 0 d f 0 d xp0 d Vp0 d p0 : (419)

As in Section 6, this relation shows that the Eulerian mass density function FEfp is ‘propagated’
by the transitional pdf, or in the language of statistical physics, the transitional pdf p|Lfp is
the propagator of an information which is the two-point uid–particle Eulerian mass density
function. Consequently the partial di8erential equation which is veriAed by the transitional pdf
is also veriAed by the Eulerian mass density function FEfp .
The deAnitions of the expected densities, f (t; x) and p (t; x), and the probability of
presence of both phases :f (t; x) and :p (t; x), can be expressed in terms of the two-point Eulerian
mdf. For the expected densities, one can write

1
:f (t; x)f (t; x) = FEfp (t; x; xp ; Vf ; f ; Vp ; p ) d xp d Vp d p d Vf d f ;
Mp

1
:p (t; x)p (t; x) = FEfp (t; xf ; x; Vf ; f ; Vp ; p ) d xf d Vf d f d Vp d p : (420)
Mf
Similarly, :f and :p are deAned by

1 1
:f (t; x) = FE (t; x; xp ; Vf ; f ; Vp ; p ) d xp d Vp d p d Vf d
Mp f ( f ) fp f

1 1
:p (t; x) = FE (t; xf ; x; Vf ; f ; Vp ; p ) d xf d Vf d d Vp d : (421)
Mf p ( p ) fp f p
In the general case, no expressions can be worked out between FEfp and pfp E or between the
Lagrangian pdf pfp L conditioned by position and the two-point uid–particle distribution function
E
pfp as it was done for the single-phase ow case in Section 6. This can, however, be done in
the particular case where the uid particle and the discrete particle are statistically independent.
The two-point uid–particle mdf is then expressed as the product of the uid–particle and
discrete-particle mdfs and the results found in the treatment of the continuous and the discrete
phase are multiplied. This is not done here since in ‘real ows’ the assumption of statistical
independence is not valid.
Finally, the expected densities and the probability of presence of both phases can be written
in terms of the marginals of FEfp

:f (t; x)f (t; x) = FfE (t; x; Vf ; f ) d Vf d f ;

:p (t; x)p (t; x) = FpE (t; x; Vp ; p ) d Vp d p ;

1
:f (t; x) = F E (t; x; Vf ; f ) d Vf d ;
f ( f ) f f

1
:p (t; x) = F E (t; x; Vp ; p ) d Vp d p : (422)
p ( p ) p
8.2.7. Relations between Eulerian and Lagrangian marginals

As mentioned above, relations between Eulerian and Lagrangian mdfs can be worked out
either at the two-point level (one uid point and one particle point) or at the one-point level.
Results at the two-point level have just been presented and we work out similar relations at the
one-point level, for each phase respectively.
Using Eq. (411), the deAnition of the uid Lagrangian mdf FfL = Mf pfL , and introducing the
uid transitional pdf p|Lf , one can write

Ff (t; x; Vf ; f ) = p|Lf (t; x; Vf ; f | t0 ; xf 0 ; Vf 0 ; f 0 )FfE (t; x0 ; Vf 0 ; f 0 ) d x0 d Vf 0 d f 0 :
E
(423)
As in the single-phase ow case, this relation shows that the uid Eulerian mass density function
FfE is ‘propagated’ by the uid transitional pdf, or in the language of statistical physics, the
uid transitional pdf p|Lf is the propagator of an information which is the uid Eulerian mass
density function.
Now, let us express the relations between the Eulerian and Lagrangian marginals (the pdfs
related to the uid particles). Here, we repeat the procedure given in Section 6, but as we shall
see, there are some slight changes due to the fact that we do not treat a single-phase ow but
a uid–particle mixture. By integration of Eq. (411) over x = xf ; Vf ; f and using the deAnition
of the mass density function of the continuous phase, one Ands that the result of the integration
gives the total mass of uid Mf which means that the integral of FfE over phase space (Vf ; f )
is the expected density of the uid at (t; x) (the probable mass of uid in a given state per unit
volume). The expected density, denoted f (t; x), is deAned by the following equation:

:f (t; x)f (t; x) = f ( f ) pfE (t; x; Vf ; f ) d Vf d f ; (424)
where the Eulerian mass density function FfE is given by a relation identical to the single-phase
ow case, see Eq. (214), that is
FfE (t; x; Vf ; f) = ( f ) pfE (t; x; Vf ; f) : (425)
The new quantity (compared to the single phase ow case), :f (t; x), is of course deAned as
the normalization factor of pfE , that is

:f (t; x) = pfE (t; x; Vf ; f ) d Vf d f ; (426)
which represents the probability to And the uid phase, at time t and position x, in any state
(0 6 :f (t; x) 6 1). This probability is not always one as in single-phase ows where the physical
space is continuously Alled by the uid. In a uid–particle mixture, at (t; x) there might be some
uid or a discrete particle. Note that the above equations, i.e. Eqs. (424) – (426) are consistent
with the deAnitions obtained at the two-point level, i.e. Eqs. (420) – (422).
As done in Section 6, integration of FfL and FfE over phase space (Vf ; f ) yields (where the
notation y = x in the Lagrangian pdfs is, from now on, dropped most of the time for the sake
of clarity)
1
pfL (t; x) = : (t; x)f (t; x) (427)
Mf f
and therefore the conditional expectation pfL (t; Vf ; f | x) is given by
f ( f )
pfL (t; Vf ; f | x) = pE (t; x; Vf ; f) : (428)
:f (t; x)f (t; x)
As in the single-phase ow case, we And that in a compressible ow, the uid Lagrangian pdf
conditioned by the position is not the uid Eulerian distribution function but the density-weighted
uid Eulerian pdf, pfE =:f .
Before we start the treatment of the discrete phase, let us rewrite the results derived above
in the particular case of an incompressible ow. In this case, all information is contained in pfE
and pfL and we And that the uid transitional pdf is the propagator of an Eulerian information
which is pfE ,

pf (t; x; Vf ) = p|Lf (t; x; Vf | t0 ; x0 ; Vf 0 ) pfE (t; x0 ; Vf 0 ) d x0 d Vf 0 :
E
(429)
Eq. (411) becomes (f = Mf = Vf , where Vf is the volume of the physical space occupied by
the uid)

1 E
p (t; x; Vf ) = pf (t; yf = x; Vf ) = pfL (t; yf ; Vf ) (x − yf ) d yf :
L
(430)
Vf f
The probability to And a uid particle at a given position x is associated to the marginal
pfL (t; x) = :f = Vf , and the uid Lagrangian pdf conditioned by position reads,
1
pfL (t; Vf | x) = pE (t; x; Vf ) : (431)
:f (t; x) f
The relations relevant to the discrete phase are obtained by following a procedure which is
identical to the one which has just been presented in the treatment of the continuous phase.
With Eq. (412), the deAnition of the particle Lagrangian mdf, FpL = Mp ppL , and introducing the
discrete particle transitional pdf p|Lp , one can write

FpE (t; x; Vp ; p ) = p|Lp (t; x; Vp ; p |t0 ; xp0 ; Vp0 ; p0 )FpE (t; x0 ; Vp0 ; p0 ) d x0 d Vp0 d p0 :
(432)
As it was explained previously, this relation shows that the Eulerian mass density function FpE
is ‘propagated’ by the transitional pdf, or in the language of statistical physics, the transitional
pdf p|Lp is the propagator of an information which is the Eulerian mass density function.
The following set of relations is obtained

:p (t; x)p (t; x) = p ( p ) ppE (t; x; Vp ; p ) d Vp d p ; (433)
FpE (t; x; Vp ; p ) = ( p )ppE (t; x; Vp ; p ) ; (434)

:p (t; x) = ppE (t; x; Vp ; s ) d Vp d p ; (435)
1
ppL (t; x) = :p (t; x)p (t; x) ; (436)
Mp
p ( p )
ppL (t; Vp ; p | x) = pE (t; x; Vp ; p) : (437)
:p (t; x)p (t; x) p
Integration of Eq. (412) over x = xp ; Vp ; p yields the total mass of discrete particles Mp .
The integral of FpE over phase space (Vp ; p ) is the expected density of the particles at (t; x)
denoted p (t; x) and it is deAned by Eq. (433). The discrete particle Eulerian mass den-
sity function is given by Eq. (434). In this equation, a distinction between p and p is
made, that is, not all additional variables ( p ) enter the density law (for example particle di-
ameter, uid velocity seen as it will be demonstrated later). Note that the above equations,
i.e. Eqs. (433) – (435) are consistent with the deAnitions obtained at the two-point level, i.e.
Eqs. (420) – (422). The probability to And the discrete phase at time t and position x in any
state is :p (t; x) (0 6 :p (t; x) 6 1) which is the normalization factor of ppE , i.e. Eq. (435).
Integration of FpL and FpE over phase space (Vp ; p ) yields Eq. (436) (which is the probability
to And a discrete particle at a given position and in any state) and therefore the conditional
expectation ppL (t; Vp ; p | x) (conditioned by position) is given by Eq. (437). For discrete par-
ticles of variable density, the Lagrangian pdf conditioned by the position is not the equivalent
Eulerian pdf but the density-weighted Eulerian pdf, ppE =:p . In the particular case of particles
of constant density and constant diameter, one obtains identical relations to the uid case,
Eqs. (429) – (431).
With particles of constant density but variable diameter, all information is contained in ppL
and Eq. (412) becomes (p = mp =#p where mp and #p are the mass and the volume of a particle
of given diameter)
mp 1 E
p (t; x; Vp ; p ) = pfL (t; yf = x; Vp ; p ) (438)
Mp #p p

= pfL (t; yp ; Vp ; p )(x − yp ) d yp : (439)
The probability to And a discrete particle at a given position x is associated to the marginal
ppL (t; x) = (:p =#p )(mp =Mp ) and the Lagrangian pdf conditioned by position reads,
1
ppL (t; Vp ; p |x) = pE (t; x; Vp ; p ) : (440)
:p (t; x) p
8.2.8. Discrete representation and mass-weighted averages

Once the general formalism has been introduced, it is useful to clarify the correspondence
between averages (deAned as mathematical expectations) and Monte Carlo estimations drawn
from a Anite ensemble of particles. In doing so, we slightly anticipate on Section 8.5 where the
question of a precise deAnition of averages is taken up and addressed more at length. Yet, since
averages will already be used naturally in the construction of pdf models, a Arst discussion is
made here.
A similar discussion was already proposed for single-phase ows in Section 6.4.4. It was
shown that in the general case, at a given location x, a Monte Carlo calculation based on
the local number of particles present in a small volume around x is an estimation of the
Favre-averaged (or density averaged), see Eq. (227). For the uid case, the computational
particles are generally chosen to have the same mass. Actually, the mass mi attached to each
of the ‘computational particles’ is arbitrary; the important constraint to respect is the mean
uid continuity equation which is related to a proper normalisation of the uid mdf [6]. For
incompressible uid, the particle mass concentration should be constant, and by assigning the
same mass to each particle, the constraint is now that the particle concentration should be
constant which is attractive from a numerical point of view to ensure a uniform statistical
error of the Monte Carlo estimations in the domain. Then, in the incompressible case, we
have that (Reynolds) averages are estimated by the local ensemble averages and Eq. (227) is
simpliAed to
Nx
1
H̃ HN = H (Ui (t); i (t)) : (441)
Nx
i=1
In the two-phase ow case, even when both densities f and p are constant, the natural
setting is compressible ows, compressibility being due to the variable local fractions :f and
:p . Most of what has been said above remains valid for the uid case with the relation between
the local number of uid particles Nxf with mass mif and density being
Nxf i
m
:f (t; x)f i=1 f : (442)
Vx
Once again, for uid particles, the mass mif attached to each particle is arbitrary and we can
choose to assign the same mass Qm to all uid particles. From the above equation, the local
number of uid particles must then be proportional to :f (t; x). Then, for any uid property Hf
attached to uid particles (denoted by Hfi ), the estimation of the averaged Eulerian quantity is
Nxf
1
Hf ; N = Hfi : (443)
Nx
i=1
The situation is however di8erent for the particle phase. The general deAnition of an average
quantity is

:p (t; x)p Hp = H (Vp ; p )FpE (t; x; Vp ; p ) d Vp d p : (444)
Therefore, following the same reasoning as in Section 6.4.4, we obtain
p
Nx
1
:p (t; x)p Hp mip H (Upi (t); ip (t)) (445)
Vx
i=1
and with
Nxp i
i=1 mp
:p (t; x)p ; (446)
Vx
we have
Nxp i i i
i=1 mp H (Up (t); p (t))
Hp Hp; N = Nxp i : (447)
i=1 mp
However, for the dispersed phase, the computational particles represent real physical particles
and must have identical physical properties, such as diameter and density, to simulate the
real particle behaviour. For a polydispersed particle phase, particles have di8erent masses even
when p is constant since their diameter varies. The important consequence is that, even for
constant density particles, the natural deAnition or understanding of a mean quantity is the
mass-weighted-average, or the volume-weighted average when p is constant.
In the previous subsection, a general formalism was proposed in order to give a probabilistic
description of dispersed two-phase ows. It was seen that the key quantity of the approach is
the transitional Lagrangian pdf p|Lfp from which Lagrangian and Eulerian mass density functions
are obtained.

The existence of a propagator (p|Lfp for the uid-particle mixture or p|Lf and p|Lp for the
uid and the particles, respectively) indicates that the Lagrangian point of view is the natural
choice and from now on this point of view is retained. We follow the ideas of Sections 6 and
7 that is, the exact equations (in a Lagrangian sense) are replaced by stochastic models which
should reproduce the same statistics as the exact description: instantaneous exact equations are
replaced by instantaneous modelled ones. At last, the trajectory point of view is adopted, but
the pdf interpretation is presented in order to justify the derivation of the mean Aeld equations.
8.3.2. PDF equation in dispersed two-phase ;ows

From now on, for the sake of simplicity, only dispersed two-phase ows with two-way
coupling are considered. The possible in uence of collisional mechanisms (between discrete
particles), in the frame of the present formalism, will be discussed at the end of Section 9. In
order to write the partial di8erential equation (Fokker–Planck equation) veriAed by the prop-
agator, we recall the exact equations for the trajectories of uid and discrete particles, see
Eqs. (230) and (281), respectively. The new set of equations take the following form,
d xf+; i = Uf+; i d t;
d Uf+; i = A+ +
f ; i d t + Ap→f (t; Z; Z) d t;
+ +
d f;l = >f Q f ; l dt + Sf (+
f ) dt ;
+ +
d xp; i = Up; i d t ;
d Up;+i = A+
p; i d t ;
+ +
d p; k = >p Q p; k d t + Sp (+
p ) dt ; (448)
where the indexes l and k refer to the dimensions of f and p , respectively. As in the previous
sections, the + subscript is used to indicate the exact trajectories in contrast to the modelled
ones. Both (exact) accelerations are given by (A+ +
f ; i and Ap; i are the accelerations of the uid
particles and the discrete particles, respectively)
1 9P +
A+
f;i = − + QUf+; i ;
f 9xi
1 +
A+
p; i = (U − Up;+i ) + gi : (449)
$p s; i
A new term is added in the momentum equation of the uid to account for the in uence of
the particles on the uid. The exact expression for this acceleration, which is induced by the
presence of the discrete particles, is not a priori known and possible models for the trajectories
of stochastic uid particles are discussed in Sections 8.4.2 and 8.5.5.
Using the techniques presented in Section 2, the transitional pdf p|L+

fp veriAes the following
partial di8erential equation:
9p|L+
fp 9p|L+
fp 9p|L+
fp
+ Vf ; i + Vp; i
9t 9yf ; i 9yp; i
9 9
=− (A+ L+
f ; i |Z = zp|fp ) − (A+ L+
p→f (t; Z; Z)|Z = zp|fp )
9Vf ; i 9Vf ; i
9 9 9
− (A+ L+
p; i |Z = zp|fp ) − (>f Q +
f;l | Z = zp|L+
fp ) − ( Sf ; l ( + L+
f ) p|fp )
9Vp; i 9 f;l 9 f;l
9 + 9
− (>p Q p; k | Z = zp|L+
fp ) − ( Sp; k ( + L+
p ) p|fp ) ; (450)
9 p; k 9 p; k
where all contracted terms A|Z = z (the conditioned accelerations A+ +

p; i |Z = z, Af ; i |Z = z,
and A+p→f (t; Z; Z)|Z = z and the conditioned di8usion terms for the scalars of both phases
>p Q + +
p; k | Z = z and >f Q p; k | Z = z), represent the average value of A conditioned on the
values of the state vector Z = z, cf. Section 3. Then, introducing the deAnition of the exact
uid–particle pdf in terms of the transitional pdf
L+
pfp (t; xf ; Vf ; f ; xp ; Vp ; p )

= p|L+ fp (t; xf ; Vf ; f ; xp ; Vp ; p |t0 ; xf 0 ; Vf 0 ; f 0 ; xp0 ; Vp0 ; p0 )
L+
pfp (t; xf 0 ; Vf 0 ; f 0 ; xp0 ; Vp0 ; p0 ) d xf 0 d Vf 0 d f 0 d xp0 d Vp0 d p0 (451)
L+
and using Eq. (419), it can be shown that Eq. (450) is satisAed by the Lagrangian pdf, pfp ,
E+
and by the Eulerian mass density function, Ffp .
Once Eq. (450) is written for the modelled transitional pdf p|Lfp , the same reasoning is valid
L and FE . Therefore, Aeld equations (for di8erent moments) can be expressed (see
for pfp fp
Sections 8.5.3 and 8.5.4) following the procedure outlined in Section 8.5 and more especially
in Fig. 42.
8.3.3. Interest of the pdf approach

This matter was discussed in Sections 6 and 7 for the continuous phase and the discrete phase,
respectively. By introducing a two-point uid–particle pdf, the preceding features exposed in
Sections 6 and 7 are gathered and these are brie y recalled. Convection and scalar source
terms appear in closed form for both the uid and the discrete particles. The Arst point implies
that closure problems encountered in the classical moment approach are not met. The second
feature shows that the method is particularly suited for combustion problems because sources
terms are closed at the local instantaneous level. In addition, it will be shown that, for discrete
particles, this approach treats complex closure issues (at the macroscopic level) in a rather
simple way (for example the closure of terms like Up =$p when the diameter of the particles
vary considerably from particle to particle or when we are confronted with a situation where
Fig. 42. Derivation of the mean Aeld equations from the two-point uid-particle Eulerian mass density function or
derivation of the mean Aeld equations from the marginal Lagrangian pdfs (the level of information in the case of
the one-point particle pdf approach is indicated by the ∗ symbol).
particles have completely di8erent histories), whereas deriving partial di8erential equations for
mean quantities is, in this case, a thorny issue. The Lagrangian approach is attractive since it
treats these phenomena without approximation.
8.4. Present ‘two-point’ models
From now on, the study is further restricted to non-reacting dispersed two-phase ows ver-
ifying the following conditions: there are no collisions between particles, both phases have a
constant density. The restriction to non-reactive ows is made for the sake of simplicity. Exten-
sion of the present formalism to reactive ows is indeed straightforward (this is precisely one
of the main interest of PDF models) through proper introduction of the relevant scalar variables
in f and p . The models presented in this section include interactions between uid particles
and between uid and solid particles, but not between solid particles (such as collisions) at the
moment though this extension is discussed at the end of Section 9.

As explained in Sections 6 and 7.4.2, Kolmogorov theory tells us that the acceleration of
uid particles and the acceleration of the uid sampled along discrete particle trajectories are
fast variables (with d t being the reference time scale). Both accelerations are external variables
which have to be modelled and the two-particle (one uid particle and one discrete particle)
state vector is deAned by

Z = (xf ; Uf ; xp ; Up ; Us ; dp ) ; (452)
and in sample space, (x; U; dp ) ↔ (y; V; p ).
The selection of the velocity of the uid seen by the discrete particles, namely Us , as an
independent variable linked to the discrete particles is a noteworthy point. This is done for the
reasons put forward in Section 7.3.2 where it was explained that the velocity of the uid seen
(which is one of the particle driving forces) should be included in the state vector related to
discrete particle properties since its rate of change along particle trajectories has better chances
to be replaced by a stochastic but local model. In Section 7, we were following an hybrid
approach where the pdf description was limited to discrete particles properties. However, in the
present section, we are dealing with a joint uid–particle pdf description and uid character-
istics are already included in the two-particle state vector Z through the variables (xf ; Uf ) for
example. One could thus wonder whether the introduction of the velocity of the uid seen as
an independent variable is justiAed when Uf is already included. Yet, as explained in detail in
Section 7.4.1, the statistics of the velocity of the uid seen are di8erent from the statistics of a
uid particle due to particle inertia and crossing-trajectory e8ects. Furthermore, these two uid
velocities do not correspond to the same trajectories: Uf is the velocity along the uid particle
trajectory xf , while Us is the velocity along the discrete particle trajectory xp . The reasoning
developed in Section 7.4.1 is thus very much valid and justiAes the presence of these two uid
velocities which are treated as independent variables. As far as the choice of the state vector
is concerned (with the uid seen as an independent variable), it should also be pointed out
that this stems from a limitation due to the one-point approach (for the uid). If a two-point
pdf were available for the uid, the closure problem (Us for the discrete particle statistical
properties) would be solved. This velocity could be directly calculated since the uid velocity
at the discrete particle location xp2 at time t2 , given the particle location xp1 at time t1 could
be directly determined from the conditional pdf p|L8 (t2 ; yf 2 ; Vf 2 | t1 ; yf 1 ; Vf 1 ). This is clearly an
indication that the real modelling issue is a multi-point pdf or statistical treatment of the uid
phase. Yet, in that case, the stochastic models (for Us in particular) would be changed, but the
present uid–particle pdf formalism would still be necessary.
8.4.2. Stochastic model for Uf and Us

The trajectory point of view is adopted, which means that stochastic di8erential equations are
written in order to describe the time increments of the uid velocity seen along discrete particle
trajectories and the time increments of the uid velocity along uid particle trajectories. An
attractive approach is to use a Langevin equation and to adopt the procedures that were used
for a uid particle in Section 6 and for the uid velocity seen (discrete particle) in Section 7.
Then, the Langevin equation model consists in writing the increments in time of Uf and Us as
di8usion processes,
d xf ; i = Uf ; i d t ; (453a)
d Uf ; i = [Af ; i (t; Z) + Ap→f ; i (t; Z; Z)] d t + Bf ; ij (t; Z) d Wj ; (453b)

d xp; i = Up; i d t ; (453c)
d Up; i = Ap; i (t; Z) d t ; (453d)
d Us; i = [As; i (t; Z) + Ap→s; i (t; Z; Z)] d t + Bs; ij (t; Z) d Wj ; (453e)

where the drift vectors Af ; i ; Ap→f ; i ; Ap→s; i ; As; i and the di8usion matrices Bf ; ij ; Bs; ij have to be
modelled. The trivial relation, d dp = 0 d t, was not included in Eqs. (453) since, for any discrete
particle in physical space, there is no mass variation with time (see previous hypotheses) and
the diameter remains constant with time.
A Arst proposal for the modelling of the drift vectors and the di8usion matrices is to adopt the
expressions given by Eqs. (236b) and (330). By doing so, it is assumed that the mean transfer
rate of energy and energy dissipation + is changed by the presence of particles, but the nature
and structure of turbulence remains the same. The drift vectors and the di8usion matrices, which
account for the in uence of all other ( uid) particles on the uid particle under consideration,
are then of the same nature and the expressions remain unchanged. Therefore, Eqs. (453) are
written by adding the additional accelerations, Ap→f ; i (t; Z; Z), and Ap→s; i (t; Z; Z) to account
for the presence of particles and the same closures as in Sections 6 and 7 are used for the drift
vectors and the di8usion matrices, where, once again, the mean Aelds +; Uf2 ; : : : are modiAed
by the presence of the particles. In opposition to the previous hypotheses, recent results of
direct numerical simulations in the Aeld of turbulence modulation by particles (in isotropic
turbulence) [77] seem to indicate that there is a non-uniform distortion of the energy spectrum.
This could mean that, contrary to our previous assumption, the nature and structure of the energy
transfer mechanisms of turbulence are modiAed by the presence of particles. There is no precise
‘geometrical’ knowledge on the structure of turbulence in the presence of discrete particles and
this makes it extremely di@cult to isolate the important variables in order to modify the theory
of Kolmogorov (which is used in our closures). This problem is out of the scope of the present
paper and it remains an open question.
In Eqs. (453) two di8erent Wiener processes are used for the velocity increments of the uid
and the velocity increments of the uid seen. This amounts to neglecting the correlations between
the uid accelerations at the two locations xf and xp . Strictly speaking, what is neglected is
the correlation between the uid acceleration at location xf and the time rate of change of Us
along discrete particle trajectories at location xp . This can be taken as a reasonable Arst guess
in the frame of Kolmogorov theory. Moreover, it should be remembered that we are not dealing
with two uid velocities, but rather with one uid velocity (at xf ) and with the velocity of the
uid seen (at xp ). Even when we consider two close locations (when xp → xf x), since Us
represents the velocity of the uid seen or sampled by discrete particles, the statistics of Us
and Uf are still not necessarily identical. In other words, for Us , one only records the velocity
when there is a discrete particle in the close neighbourhood and thus an ensemble of sampled
values of Us form only a subset of all possible values of Uf at location x. Yet, when particle
inertia are negligible ($p → 0) and when we consider nearby locations, then the present models
are inaccurate. Though this is only a very special case, it indicates that the present form of
stochastic models must still be improved. However, it must also be remembered that our real
objective is not a two-point description of one of the uid or particle phase but rather a ‘joint
one-point’ pdf description from which the two marginal pdf descriptions for each phase can
be derived. From that point of view, the correlation between the two Wiener process (when
xp → xf x) does not have the same importance as in a real two-point uid description.
Compared to the forms of the stochastic equations already used for uid particles in
Section 6.6 and for discrete particles in Section 7.4.2, there is a new term entering the equations
of Uf and Us , Ap→f which re ects the in uence of the discrete particles on the uid. This is a
simple consequence of Newton’s third law: the uid exerts a force Ff →p on the discrete particles
and, in return, the particles exert a force Fp→f = −Ff →p on the uid. The force corresponds
to the exchange of momentum between the uid and the particles, but should not be confused
with the total force acting on particles since the latter includes external forces such as gravity.
With current expressions discussed in Section 7.1, the force exerted by one particle on the uid
corresponds to the drag force written here as
Us − Up
Fp→f = −mp ApD = −mp : (454)
$p
An accurate treatment (in the exact instantaneous equations for the uid) requires that this
total force be converted into a density of force acting on the uid located in the neighbour-
hood of the discrete particles in order to express the resulting acceleration on nearby uid
particles. This is not completely known for small particles in turbulent ows. Furthermore, in
the stochastic or pdf description, an exact treatment of the reverse force (Fp→f ) would mean
a multi-point (or multi-particle) pdf description for the discrete particles. This is outside the
present scope.
Consequently, the reverse forces and the e8ect of particles on uid properties are expressed
directly in the stochastic equations of uid particles with simple stochastic models. Since Uf
are Us are treated as independent variables, di8erent models can be developed. The simplest
case is the model for the velocity of the uid seen. Indeed, the variables entering the drag force
and the reaction force Eq. (454) are variables attached only to the discrete particles, namely
Uf , Us and dp . Therefore, the action of particles on the uid seen can be accounted directly
in terms of these variables. The Arst choice is to consider a local model where, at location
xp , the force due to one particle is given by Eq. (454). The total force acting on the uid
element surrounding a discrete particle is then the sum of all elementary force, Fp→f , due to
all neighbouring discrete particles
:p p Us − Up
Ap→s; i = − : (455)
:f f $p
In this simple model, all neighbouring particles are considered as having the same acceleration
term ApD which is multiplied by the expected particle mass at xp , :p p divided by the expected
mass of uid, :f f (since the total force is distributed only on the uid phase).
The situation is more complicated for the reverse force in the equation of a uid particle,
since a local model at location xf cannot be expressed directly in terms of the instantaneous
variables attached to the discrete element which has a location xp . In Eqs. (453), in the equation
for the time rate of change of the uid particle velocity Uf , Ap→f ; i is considered, at time t and
for a uid particle located at xf = x, as a random term which is given by

+
0 with a probability 1 − :p (t; xf ) ;
Ap→f = (456)
p with a probability :p (t; xf ) ;
where p is a random variable which plays the role of an ersazt of the Eulerian random variable
which is formed from the discrete particles at the location xp = x,
p Up; i − Us; i
Op; i ≡ : (457)
f $p
In other words, from the stochastic models for the discrete particles, or from the one-point
particle pdf value at location x=xf , we form the random variables p with the same distribution.
This random term mimics the reverse forces due to the discrete particles and is only non-zero
where the uid particle is in the close neighbourhood of a discrete particle. At the location x
considered, p is deAned as a random acceleration term in the equation of Uf , correlated with
Uf so that we have
p Up; i − Us; i
Op; i = ; (458a)
f $p
p Us; j (Up; i − Us; i )
Op; i Uf ; j = : (458b)
f $p
According to Section 2, the complete Lanvegin equation model is equivalent to a Fokker–
Planck equation given in closed form for the transitional pdf, p|Lfp . As demonstrated previously,
the Fokker–Planck equation veriAed by p|Lfp is also veriAed by the two-point uid–particle
Eulerian mass density function FEfp and the two-point uid–particle Lagrangian pdf pfp L . This
Fokker–Planck equation is, for the transitional pdf

9p|Lfp 9p|Lfp 9p|Lfp
+ Vf ; i + Vp; i
9t 9yf ; i 9yp; i
9
=− ([Af ; i + Ap→f ; i | yf ; Vf ]p|Lfp )
9Vf ; i
9 9
− (Ap; i p|Lfp ) − ([As; i + Ap→s; i | yp ; Vp ; L
p ]p|fp )
9Vp; i 9Vs; i
1 92 1 92
+ ([Bf BfT ]ij p|Lfp ) + ([Bs BsT ]ij p|Lfp ) : (459)
2 9Vf ; i 9Vf ; j 2 9Vs; i 9Vs; j
Computations of the two-point uid–particle pdf pfpL can now be performed using the trajectory
point of view or, in other words, by Lagrangian=Lagrangian simulations. Time evolution equa-
tions, Eqs. (453) are written for an ensemble made up of uid and discrete particles which are
tracked together. Both have speciAed variables attached to them which appear as independent
variables in the pdf.
By direct integration of Eq. (459) the Fokker–Planck equations veriAed by the one-particle
transitional pdfs (the uid transitional pdf p|Lf and the particle transitional pdf p|Lp ) can be
obtained. In the case of the uid transitional pdf, p|Lf ,
9p|Lf 9p|Lf 9 9
+ Vf ; i =− (Af ; i p|Lf ) − (Ap→f ; i | yf ; Vf p|Lf )
9t 9yf ; i 9Vf ; i 9Vf ; i
1 92
+ ([B BT ] p|L ) : (460)
2 9Vf ; i 9Vf ; j f f ij f
The conditional expectation in the equation above shows that, as explained in Section 3
Eq. (71), when a contraction is made, information is lost. When two-way coupling is accounted
for, the two-point (one uid particle and one discrete particle) information is necessary since
the dynamics of the uid phase involve variables attached to the discrete particles. In the case
of the particle transitional pdf, p|Lp ,
9p|Lp 9p|Lp 9 9
+ Vp; i =− (Ap; i p|Lp ) − ([As; i + Ap→s; i |yp ; Vp ; L
p ]p|p )
9t 9yp; i 9Vp; i 9Vs; i
1 92
+ ([Bp BpT ]ij p|Lp ) ; (461)
2 9Vp; i 9Vp; j
where p ↔ (Vs ; p ).
8.5. Mean ?eld equations
As mentioned earlier at the beginning of the section, the use of the two-point uid–particle
pdf allows an equal treatment of both phases and it is a compact way to derive a set of Aeld
equations. These Aeld equations are often referred to as the ‘Eulerian model’ or sometimes
‘two- uid model’. Here, we would like to call it a two-?eld model: this term describes the
spirit of the approach which is to derive Aeld equations for both phases using arguments from
statistical physics. Now, let us discuss how such equations are derived. We specialize momen-
tarily in the particular case of one-way coupling, i.e. Ap→f = Ap→s = 0 (for incompressible
ows with particles of constant density but variable diameter) and this for the sake of sim-
plicity. At the end of this subsection, the case of two-way coupling will be addressed, see
Section 8.5.5.
Before we move to the derivation of the mean Aeld equations, let us recall the pdfs and
the mdfs (and their associated tools) that have been deAned, see Fig. 42. The end of the
road of the present formalism is to be able to derive Aeld equations for both phases. A two-point
L , (extracted from the transitional pdf p|L ) has been introduced
uid–particle Lagrangian pdf, pfp fp
and from it separate information on each phase was extracted in form of the marginals of pfp L,
that is pfL for the continuous phase and ppL for the discrete phase. Corresponding mass density
functions were deAned (FfL and FpL ) and for both of them correspondence with the Aeld (Eule-
rian) description could be made (this crucial step is indicated with dashed arrows in Fig. 42).
After this, we have found that each Eulerian mass density function, FfE and FpE , is propagated by
the corresponding transitional pdf (p|Lf and p|Lp , respectively). This allows us to write immedi-
ately the Fokker–Planck (partial di8erential) equation veriAed by FfE and FpE from the Fokker–
Planck equations veriAed by the transitional pdfs p|Lf and p|Lp or from the Fokker–Planck equa-
tion veriAed by the transitional pdf p|Lfp . Using an appropriate averaging operator for each phase,
(mean) Aeld equations can then be written, see Sections 8.5.3 and 8.5.4. Fig. 42 shows clearly
the level of information contained in the one-point particle pdf approach (hybrid approach, see
Section 7), which is marked with the ∗ symbol. For the continuous phase, information is only
available for the mean Aeld quantities (at the Eulerian level in form of the two Arst velocity
moments extracted from the uid mass density function, FfE ) whereas for the discrete phase
information is kept at the local instantaneous level (which is the discrete particle Lagrangian
pdf, ppL ).
There is another, yet equivalent, way to derive the mean Aeld equations, Fig. 42. It is indeed
possible to keep the joint (one uid point–one particle point) information for the Aeld description
by treating the two-point uid–particle Eulerian mass density function, FEfp . This alternative
procedure highlights the spirit of the derivation of the Aeld equations for both phases. We
study, as mentioned previously, the cases where xf = x for the uid, and xp = x for the discrete
phase, that is the following mass density functions
FEfp (t; xf = x; xp ; Vf ; f ; Vp ; p) ;
FEfp (t; xf ; xp = x; Vf ; f ; Vp ; p) : (462)
As indicated in Fig. 42, by direct integration, the Fokker–Planck equations veriAed by the
marginals FEf and FEp can be obtained from the Fokker–Planck equation veriAed by FEpf which
is, in its turn, obtained from the partial di8erential equation veriAed by the transitional pdf p|Lfp .
The latter equations are also veriAed by FfE and FpE .
8.5.1. Fluid and discrete particle expectations

In the present case (discrete particle of constant density but variable diameter in an incom-
pressible ow) all information is contained in the distribution functions ppE (t; x; Vp ; p ) (with
E
p = (Vs ; p ) for the discrete phase and pf (t; x; Vf ) for the uid but the derivation will be
addressed in terms of the mass density function Fp (t; x; Vp ; p ) = p ppE (t; x; Vp ; p ) for the
E
discrete phase.
The discrete particle expectations, i.e. the expectation of the variables which are attached
to the discrete particles, are now deAned. The operator could be indexed with a p subscript,
p or f subscript, f so that no confusion between the uid expectations (the expectation
of the variables which are attached to the uid particles) and the discrete particle expectations
would be possible. However, separate variables have been introduced for each kind of particle
(for example Vp and Vs ), and such a distinction is not necessary.
In the following equations, Eqs. (463) and (464), (Ui ; ui ) is used as a short-hand notation for
(Up; i ; up; i ) or (Us; i ; us; i ). The same procedure is applied to sample space where the subscripts p
and s are momentarily dropped. The mean discrete particle velocity, or the mean uid velocity
seen, are deAned by

:p (t; x)p Ui (t; x) = Vi FpE (t; x; Vp ; p ) d Vp d p (463)
and the associated velocity moments of order n are given by

n
:p (t; x)p ui1 : : : uin (t; x) = vik FpE (t; x; Vp ; p ) d Vp d p ; (464)
k=1
where ik ∈ {1; 2; 3} ∀k. The uctuating component of the velocity of the discrete phase is
deAned by up; i = Up; i − Up; i and we have of course up; i = 0. For the uid velocity seen, we
deAne us; i = Us; i − Us; i with us; i = 0, which should not be confused with the decomposition
of the uid velocity, Uf ; i = Uf ; i + uf ; i with uf ; i = 0. The uid seen-particle velocity moments
(of order n + m) can also be deAned
:p (t; x)p us; i1 : : : us; in up; j1 : : : up; jm (t; x)
n m
= vs; ik vp; jl FpE (t; x; Vp ; p ) d Vp d p ; (465)
k=1 l=1
where jl ∈ {1; 2; 3} ∀l. Note that Eq. (464), the deAnition of the velocity moment of order n, is
actually a particular case of Eq. (465) (moments for the particle velocity or the uid velocity
seen can be obtained with n = 0 or m = 0, respectively).
All expected values given so far represent moments for the whole population of particles.
Additional information is necessary to describe how the discrete particle size distribution varies
in time and space (for example if large particles gather in preferential locations and so on).
This information can be obtained from dp and (dp )2 , that is the Arst (mean diameter) and
second order (dp = dp − dp ) moments, respectively (if a continuous approach is used, see the
next subsection). The mean diameter is deAned by

:p (t; x)p dp (t; x) = p FpE (t; x; Vp ; p ) d Vp d p (466)
and for the moments, a general deAnition is introduced, that is a moment of order n + m + q,
:p (t; x)p (dp )n us; i1 : : : us; im up; j1 : : : up; jq (t; x)
m
q

= (p )n vs; ik vp; jl FpE (t; x; Vp ; p ) d Vp d p ; (467)
k=1 l=1
Eq. (467) is in fact the most general deAnition and it encompasses the previous ones, that is
Eqs. (464) and (465).
The expectations of the variables which are attached to the uid particles are now given.
Similarly to the discrete phase, the mean uid velocity is

:f (t; x)Uf ; i (t; x) = Vf ; i pfE (t; x; Vf ) d Vf (468)
and the velocity moments of order n read

n
:f (t; x)uf ; i1 : : : uf ; in (t; x) = vf ; ik pfE (t; x; Vf ) d Vf : (469)
k=1
8.5.2. Treatment of the particle size distribution

Here, we would like to clarify the treatment of the particle size distribution when it comes
to the Aeld equations of the discrete phase. It is now common, for hard spheres of di8erent
diameters, to encounter models where one derives Aeld equations for each individual subclass
of diameters (chosen arbitrarily or corresponding to the physical situation, for example in binary
mixtures), for example Mathiesen et al. [94] and Gourdel et al. [95]. It should be pointed out
that, this method which is often referred to as ‘multi-phase ow approach’ in the literature,
should rather be called discrete approach for polydispersed two-phase ows since it refers to a
distribution in size and not to the physical state of the phases (solid, liquid, gas).
Indeed, this method is a discretization (in the diameter space) of the general formalism
presented here, that is, in the sample space associated to particle diameter p , discretization is
made in accordance with the desired description. For a subclass k whose diameters are in the
range Qk , the following properties are deAned (for each class of particles)

:p; k (t; x)p · k (t; x) = · FpE (t; x; Vp ; p ) d Vp d p (470)
Qk
where :p; k (t; x) is the probability to And at time t and position x subclass k in any state,

:p; k (t; x) = ppE (t; x; Vp ; p ) d Vp d p : (471)
Qk
k
It is then obvious that Ck=1 :p; k = :p where Ck is the total number of classes. This proce-
dure might be adequate when a binary mixture is under consideration (it becomes, however,
quite intricate when collisions are accounted for [95]), but when there is a wide distribution,
the number of classes under consideration (which implies that the number of Aeld equations
increases tremendously), and additional closures render the problem very di@cult to treat in a
practical way.
A more logical approach (if one adopts the Aeld approach at the expense of a more detailed
description) is a continuous one, that is to write partial di8erential equations for the local mo-
ments of the diameter distribution. This approach is more in line with the general formalism
presented here but it will be seen shortly that, one has to come up with other closures involv-
ing correlations between the diameter and the velocity Aelds. This highlights once again the
superiority of the pdf approach.
8.5.3. Field equations for the discrete phase

Here, we wish to derive the Aeld equations for the discrete particles (the partial di8erential
equations for the expected values of the variables attached to a discrete particle) for the fol-
lowing quantities: the mean discrete particle velocity Up; i , the second-order velocity moment
for discrete particles up; i up; j , the mean of the uid velocity seen Us; i , the second-order ve-
locity moment for the uid seen us; i us; j , the uid seen–discrete particle velocity correlation
tensor, us; i up; j , the mean diameter dp , the diameter– uid velocity seen correlation vector,
dp us; i , the diameter–particle velocity correlation vector, dp up; i and the diameter second-order
moment (dp )2 .
Note that the procedure which is developed now allows to calculate any moment, but as the
present task is to derive an Eulerian-like model, closure is performed at the second-order level.
In order to obtain the mean Aeld equations a standard procedure is used, in analogy with the
derivations which can be found in kinetic theory, Chapman and Cowling [20] and Libo8 [21]
(this procedure was used in Section 6).
Let us deAne the expectation of a given function Hp (Vp ; p ) as

:p (t; x)p Hp (t; x) = Hp (Vp ; p ) FpE (t; x; Vp ; p ) d Vp d p ; (472)
where Hp (Vp ; p ) is a scalar (a component of a tensor of order n + m + q as explained in

Eq. (467)). Using Eqs. (432) and (461), it is straightforward to prove that FpE (t; x; Vp ; Vs ; p )
veriAes the following partial di8erential equation,
9FpE 9FpE 9 9 1 92
+ Vp; i =− (Ap; i FpE ) − (As; i FpE ) + ((Bs BsT )ij FpE ) :
9t 9xi 9Vp; i 9Vs; i 2 9Vs; i 9Vs; j
(473)
Let us multiply Eq. (473) by Hp and apply the · operator, Eq. (472). Similar expression
as the one in Eq. (246) in Section 6 are obtained and we suppose that all of them converge to
zero in the limit Vs; i → ±∞ and Vp; i → ±∞. Assuming that all generalized integrals converge
and that uniform convergence is veriAed, after some derivations, one can write
9 9 9Hp
(:p p Hp ) + (:p p Vp; i Hp ) = :p p Ap; i
9t 9xi 9Vp; i
9Hp 92 Hp
+ :p p As; i + :p p (Bs BsT )ij : (474)
9Vs; i 9Vs; i 9Vs; j
The partial di8erential equations for the speciAed discrete particle expectations can now be
derived, simply by choosing the right function for Hp . For Hp = 1, the continuity equation is
obtained,
9 9
(:p p ) + (:p p Up; i ) = 0 : (475)
9t 9xi
With Hp = Vp; i , the momentum equation for the discrete phase reads (where the Eulerian
derivative along the path of a discrete particle is denoted d = d t with d = d t = 9= 9t + Up; m 9= 9xm )
d 9
:p p Up; i = − (:p p up; i up; j ) + :p p Ap; i : (476)
dt 9xj
The partial di8erential equation of the expected uid velocity seen, Us; i , is derived with
Hp = Vs; i
d 9
:p p Us; i = − (:p p us; i up; j ) + :p p As; i (477)
dt 9xj
and with Hp = p , the partial di8erential equation for the mean diameter reads
d 9
:p p dp = − (:p p dp up; i ) : (478)
dt 9xi
As explained in Section 6, the partial di8erential equations veriAed by the second-order
moments (n + m + q = 2 in Eq. (467)) cannot be obtained directly from the procedure presented
above. As in Section 6, a change of coordinates in sample space is introduced, vp = Vp −
Up (t; x), vs = Vs − Us (t; x) and p = p − dp (t; x). It is straightforward to prove that the
partial di8erential equation veriAed by FpE (t; x; vp ; vs ; p ) reads
d FpE 9FpE 9 9 1 92
+ vp; i =− (Ap; i FpE ) − (As; i FpE ) + ((Bs BsT )ij FpE )
dt 9xi 9vp; i 9vs; i 2 9vs; i vs; j
dUp; i 9FpE dUs; i 9FpE ddp 9FpE
+ + +
d t 9vp; i d t 9vs; i d t 9p
9Up; j 9FpE 9Us; j 9FpE 9dp 9FpE

+ vp; i + vp; i + vp; i : (479)
9xi 9vp; j 9xi 9vs; j 9xi 9p
With FpE (t; x; vp ; vs ; p ) d vp d vs d p = FpE (t; x; Vp ; p ) d Vp d p , because we have

9(V ; V ; V ; )
f p s p
=1 ; (480)
9(vf ; vp ; vs ; p )
the moments of order n + m + q can also be deAned with FpE (t; x; vp ; vs ; p ), see Eq. (472). The
partial di8erential equation for a function Hp (vp ; vs ; p ) is derived in the same fashion as for
Eq. (474). Similar expressions to the one displayed in Eq. (246) in Section 6 are then obtained
and we suppose that all of them converge to zero in the limit vs; i → ±∞, vp; i → ±∞ and p →
±∞. Once again, assuming that all generalized integrals converge and that uniform convergence
is veriAed, after some derivations, the partial di8erential equation veriAed by Hp (vp ; vs ; p )
becomes
d 9
(:p p Hp ) + (:p p vp; i Hp )
dt 9xi
9Hp 9Hp 1 92 Hp
= :p p Ap; i + :p p As; i + :p p (Bs BsT )ij
9vp; i 9vs; i 2 9vs; i 9vs; j

dUp; i 9Hp dUs; i 9Hp ddp 9Hp
− :p p − :p p − :p p
dt 9vp; i dt 9vs; i dt 9p

9Up; j 9(vp; i Hp ) 9Us; j 9(vp; i Hp ) 9dp 9(vp; i Hp )
− :p p − :p p − :p p :
9xi 9vp; j 9xi 9vs; j 9xi 9p
(481)
The partial di8erential equations for the velocity moments of order 2 can now be obtained.
Inserting Hp = vp; i vp; j , Hp = vs; i vp; j and Hp = vs; i vs; j in Eq. (481), the partial di8erential equa-
tions veriAed by the second order velocity moment for the discrete particles up; i up; j , for the
second-order velocity moment of the uid seen us; i us; j and for the uid seen–discrete particle
velocity correlation tensor us; i up; j , can be derived. After some algebra, one Ands for up; i up; j
d 9 9Up; j
:p p up; i up; j = − (:p p up; i up; j up; k ) − :p p up; i up; k
dt 9xk 9xk
9Up; i
− :p p up; j up; k + :p p Ap; i vp; j + Ap; j vp; i (482)
9xk
for up; i us; j
d 9 9Up; j
:p p us; i up; j = − (:p p us; i up; j up; k ) − :p p us; i up; k
dt 9xk 9xk
9Us; i
− :p p up; j up; k + :p p As; i vp; j + :p p Ap; j vs; i (483)
9xk
and for us; i us; j
d 9 9Us; j
:p p us; i us; j = − (:p p us; i us; j us; k ) − :p p us; i us; k
dt 9xk 9xk
9Us; i
− :p p us; j us; k + :p p As; j vs; i + As; i vs; j + :p p (Bs BsT )ij : (484)
9xk
By replacing Hp by Hp =p vp; i , Hp =p vs; i and Hp =(p )2 in Eq. (481), the partial di8erential
equations veriAed by the second-order discrete particle velocity–diameter moment dp up; i , by
the second-order uid velocity seen–diameter moment dp us; i and by the second-order diameter
moment can be written. After some calculus, one Ands for dp up; i
d 9 9Up; i
:p p dp up; i = − (:p p dp up; i up; j ) − :p p dp up; j
dt 9xj 9xj
9dp
− :p p up; i up; j + :p p Ap; i dp (485)
9xj
for dp us; i
d 9 9Us; i
:p p d us; i = − (:p p dp us; i up; j ) − :p p dp up; j
dt p 9xj 9xj
9dp
− :p p us; i up; j + :p p As; i dp (486)
9xj
and for (dp )2
d 9 9dp
:p p (dp )2 = − (:p p (dp )2 up; i ) − 2:p p dp up; i : (487)
dt 9xi 9xi
8.5.4. Field equations for the ;uid phase

Here, the procedure is identical to the one developed above for the discrete phase. Equations
for the mean uid velocity Uf ; i and the second-order velocity moment uf ; i uf ; j are written.
The expected value of a function Hf (Vf ) is deAned by

:f (t; x)Hf (t; x) = Hf (Vf )pfE (t; x; Vf ) d Vf : (488)
With Eqs. (423) and (460), it is straightforward to write the Fokker–Planck equation veriAed
by FfE (t; x; Vf )
9FfE 9F E 9 1 92
+ Vf ; i f = − (Af ; i FfE ) + ([B BT ] F E ) : (489)
9t 9xf ; i 9Vf ; i 2 9Vf ; i 9Vf ; j f f ij f
In the case of constant uid density, f , the same equation is veriAed by pfE (t; x; Vf ). As
explained before, it is more convenient to make a change of coordinates in velocity space,
vf = Vf − Uf (t; x), and it is straightforward to prove that the Fokker–Planck equation veriAed
by pfE (t; x; vf ) reads
d pfE 9p E 9 1 92
+ vf ; i f = − (Af ; i pfE ) + ((Bf BfT )ij pfE )
dt 9xi 9vf ; i 2 9vf ; i vf ; j
dUf ; i 9pfE 9Uf ; j 9pfE
+ + vf ; i ; (490)
d t 9 vf ; i 9xi 9vf ; j
where d = d t = 9= 9t + Uf ; i 9= 9xi is the Eulerian derivative along the path of a uid particle.
Let us multiply Eq. (490) by Hf and apply the · operator, Eq. (488). Similar expressions
as the ones in Eq. (246) in Section 6 are obtained and we suppose that all of them converge to
zero in the limit vf ; i → ±∞. Assuming that all generalized integrals converge and that uniform
convergence is veriAed, after some derivations, one Ands
d 9 9Hf 1 92 H f
(:f Hf ) + (:f vf ; i Hf ) = :f Af ; i + :f (Bf BfT )ij
dt 9xi 9vf ; i 2 9vf ; i 9vf ; j
dUf ; i 9Hf 9Uf ; j 9(vf ; i Hf )
− :f − :f : (491)
dt 9vf ; i 9xi 9 vf ; j
By replacing Hf by Hf = 1, Hf = Vf ; i and Hf = vf ; i vf ; j , the continuity equation, the momen-

tum equations and the Reynolds stress equations are obtained, respectively. Multiplying these
equations by f yields for the continuity equation,
9 9
(:f f ) + (:f f Uf ; i ) = 0 (492)
9t 9xi
for the momentum equation

d 9
:f f Uf ; i = − (:f f uf ; i uf ; j ) + :f f Af ; i : (493)
dt 9xj
and for the Reynolds stress equations
d 9 9Uf ; j
:f f uf ; i uf ; j = − (:f f uf ; i uf ; j uf ; k ) − :f f uf ; i uf ; k
dt 9xk 9xk
9Uf ; i
− :f f uf ; j uf ; k + :f f Af ; i vf ; j + Af ; j vf ; i + :f f (Bf BfT )ij : (494)
9xk
8.5.5. Two-way coupling

In the preceding sections on the derivation of mean Aeld equations, we have limited ourselves
to one-way coupling for the sake of simplicity and in order to present the methodology that
leads from the pdf equations to the mean Aeld equations without handling too many terms. We
now consider the extension of the previous results when Ap→f ; i = 0 and Ap→s; i = 0.
With the inclusion of the reverse force due to the discrete particles on the uid, the complete
pdf equation satisAed by FfE (t; x; Vf ) becomes
9FfE 9F E 9 1 92
+ Vf ; i f = − (Af ; i FfE ) + ([B BT ] F E )
9t 9xf ; i 9Vf ; i 2 9Vf ; i 9Vf ; j f f ij f
9
− (Ap→f ; i | x; Vf FfE ) : (495)
9Vf ; i
Applying the classical procedure (to obtain mean Aeld equations) presented in Sections 8.5.3
and 8.5.4, the mean Aeld equations involve additional terms which have the general form

9Hf E
Ap→f ; i | x; Vf F (t; x; Vf ) d Vf (496)
9Vf ; i f
or similar expressions when we deal with FfE (t; x; vf ) for the uctuating velocities. This extra
term implies that all mean Aeld equations related to the uid are modiAed. We deAne the
following operator, L, where L( · ) = 0 represents all partial di8erential equations, in one-way
coupling, of the moments related to the continuous phase. By inserting Hf =Vf ; i and Hf =Vf ; i Vf ; j
the modiAed mean Aeld equations are obtained. The uid continuity equation Eq. (492) is not
modiAed. The mean momentum equation, Eq. (493) is supplemented by a term Ipf M

IpfM; i = Ap→f ; i | x; Vf FfE (t; x; Vf ) d Vf : (497)
With the model retained for Ap→f and which is described in Section 8.4.2, this term can be
expressed by

M :p
Ipf ; i = Op; i | Vf FfE (t; x; Vf ) d Vf : (498)
:f
Indeed, the random force Ap→f ; i is only applicable when there is a uid particle at location x
and, conditioned on the fact that there is indeed a uid element, its probability of being non-zero
is given by :p (t; x), cf. Section 8.4.2. This explains the ratio :p =:f in the above equation which
expresses the probability to have a random force conditioned on the fact that a uid particle
is found at x. The random acceleration term due to the reverse action of particles is correlated
with the uid velocity, and from the deAnition of the conditional expectation, IpfM; i can be written
as

M :p p( p ; Vf ) E
Ipf ; i = Rp; i F (t; x; Vf ) d Vf d p : (499)
:f p(Vf ) f
where p is the sample-space value for the random variable p at the time t and the location x
considered. In this equation, p( p ; Vf ) represents the joint pdf of p and Uf , and here p(Vf )
denotes the normalized pdf of Uf at location x since we are already considering the subset of
events when there is a uid element at x. From the deAnition of :f (t; x) and the relations given
in Section 8.2.7, we have
F E (t; x; Vf )
p(Vf ) = f : (500)
:f f
Then by performing the integration over all possible values of Vf ; i , we obtain with the expression
of the mean value of the random force in Eq. (458a)

M :p (Up; i − Us; i )
Ipf ; i = :f f Op; i = :p p : (501)
:f $p
The additional term which enters the equation for the Reynolds stress components, Eq. (494),
can be obtained from the procedure followed in Section 8.5.4 where pdfs for the uctuating com-
ponents are directly manipulated or by writing Arst the equation for the total energy Uf ; i Uf ; j ,
from which the one for uf ; i uf ; j is easily derived. The new term in the second-order equation
can be written as IpfE ; ij + IpfE ; ji where IpfE ; ij is deAned as

Ipf ; ij = Ap→f ; i | x; Vf Vf ; j FfE (t; x; Vf ) d Vf :
E
(502)
Applying the same reasoning outlined just above for the modiAed momentum equation, this
term can be written as

E :p
Ipf ; ij = Op; i | Vf Vf ; j FfE (t; x; Vf ) d Vf
:f

:p
= :f f Rp; i Vf ; j p( p ; Vf ) d Vf d p (503)
:f
and from the characteristic properties of the random term p given in Eq. (458b), we have
Us; j (Up; i − Us; i )
IpfE ; ij = :p p : (504)
$p
The additional term in the Reynolds stress equation for the uid phase, IpfR ; ij is then easily
deduced from IpfE ; ij and has the form
IpfR ; ij = :p p AD D
p; i us ; j + Ap; j us; i
− :p p (Uf ; i − Us; i )AD D

p; j − :p p (Uf ; j − Us; j )Ap; i : (505)
The expressions obtained for the reverse e8ect of particles on the uid can be shown to
correspond to direct estimations that can be performed in simple cases. For example, if we
assume spatial homogeneity in a volume of uid, say Vf which contains Np discrete particles,
then we can simply write in the balance law for the volume of uid Vf the total force due to
the Np particles as
Np
Fp→f = p Vp ApD ; (506)
n=1
where ApD is the drag term given by Eq. (454). Then, we obtain
 
Np Np
( n=1 Vp ApD )
Fp→f = p  Vp  Np (507)
n=1 ( n=1 Vp )
Np
and the mean momentum exchange is, using :p ( n=1 Vp )= Vf and for Np large enough
Fp→f = :p p Vf ApD ; (508)
since the discrete form of an average is to be understood as the mass-weighted average, see
Section 8.2.8. It is thus that the total force per unit of volume of uid is identical to the general
expression written above for Ipf M.
We can now write the two sets of mean Aeld equations, corresponding to the mean momentum
and mean Reynolds stress equations for the uid phase which include the e8ects due to the
particles as
L(Uf ; i ) + IpfM; i = 0 ; (509)
L(uf ; i uf ; j ) + IpfR ; ij = 0 : (510)

The reverse force acting on the uid equations due to the discrete particles, Ap→s , enters
also the stochastic equation for the velocity of the uid seen Us in Eq. (453). Therefore the
complete pdf equation satisAed by FpE (t; x; Vp ; Vs ; p ) has now the form
9FpE 9FpE 9 9 1 92
+ Vp; i =− (Ap; i FpE ) − (As; i FpE ) + ((Bs BsT )ij FpE )
9t 9xi 9Vp; i 9Vs; i 2 9Vs; i 9Vs; j
9
− (Ap→s; i | x; Vs ; Vp ; p FpE ) : (511)
9Vs; i
The last term in the previous equation is an additional term which implies that all mean Aeld
equations involving the uid velocity seen are modiAed compared to the one-way coupling
situation. Let us deAne the following operator, Lp , where Lp ( · ) = 0 represents all partial
di8erential equations, in one-way coupling, of the moments related to the discrete phase. By
performing all the corresponding integration from the pdf equation, the modiAed mean Aeld
equations can be written as
Lp (Us; i ) + :p p KAD
p; i = 0 ; (512)
Table 5
Two-Aeld model: list of the mean Aeld equations and related unclosed terms
Equation Variable Unclosed terms Third-order tensors
Eq. (492) :f
Eq. (475) :p
M
Eq. (509) Uf Af ; i Ipf ;i
Eq. (476) Up Ap; i
Eq. (512) Us As; i AD p; i
Eq. (478) dp dp up; i
R T)
Eq. (510) uf ; i uf ; j Af ; i uf ; j Ipf ; ij (Bf Bf
ij
uf ; i uf ; j uf ; k
Eq. (482) up; i up; j Ap; i up; j up; i up; j up; k
T)ij
Eq. (514) us; i us; j As; i us; j AD p; j us; i (Bs Bs us; i us; j us; k
D
Eq. (513) us; i up; j As; i up; j Ap; j us; i Ap; j up; i us; i up; j up; k
Eq. (485) dp up; i Ap; i dp dp up; i up; j
Eq. (515) dp us; i As; i dp AD
p ; i dp dp us; i up; j
Eq. (487) (dp )2 (dp )2 up; i
Lp (us; i up; j ) + :p p KAD

p; i up; j = 0 ; (513)
Lp (us; i us; j ) + :p p KAD D

p; j us; i + Ap; i us; j = 0 ; (514)
Lp (dp us; i ) + :p p KAD

p; i dp = 0 ; (515)
respectively, where K = (:p p )=(:f f ). Possible closures for these additional terms will be dis-
cussed in the next subsection.
8.5.6. Closure of the two-?eld model

Mean Aeld equations have now been written, up to the second-order moments, in the case of a
non-reactive dispersed two-phase ow where the uid is incompressible and the discrete particles
are hard spheres of constant density. The set of equations and the associated unclosed terms are
given in Table 5. Table 5 should convince the reader of the necessity of a Lagrangian approach
when one attempts to simulate turbulent reactive dispersed two-phase ows: the physics of the
problem are quite simpliAed and the system of equation is already nearly intractable: 13 partial
di8erential equations (the dimension of the system is 46) with 23 terms to be closed.
However, in the case of industrial applications which fall into the category of the simpliAed
case under consideration (for example in uidized beds), the mean Aeld equations can be
furthermore simpliAed, provided some additional restrictions and hypotheses.
Let us consider the case where the distribution in diameter for the discrete particle is ‘narrow’
enough so that the suspension can be described in terms of a mean diameter only, dp
(we do not specify how this diameter can be chosen, see [96] for more information). If a
quasi-equilibrium hypothesis (Boussinesq approximation) can be made on the second-order ve-
locity moments (which implicitly means that the characteristic time scale of the uctuating
motion is much smaller than the time scale of the mean ow), and if, as done in Section 7,
there is no statistical bias between the kinetic energy of the uid seen us; i us; i =2 and the tur-
bulent kinetic energy of the uid uf ; i uf ; i =2, the system of mean Aeld equations reduces to
a set of equations which can be treated with modern computer technology [78]. This model
consists in partial di8erential equations for :p ; :f , for the expected velocities Uf ; Up ; Us
and the traces of the contracted tensors, that is the turbulent kinetic energies in both phases
uf ; i uf ; i =2; up; i up; i =2 and the uid–particle velocity covariance us; i up; i . The treatment of the
closures is out of the scope of the present paper and can be found in [78].
8.6. Concluding remarks
A general formalism, characterized by the introduction of a two-point uid–particle pdf, has

been presented. The formalism is detailed (especially the notion of Lagrangian and Eulerian
mass density functions) and its relation with macroscopic approaches (mean Aeld equations) is
speciAed. The complexity of the mean Aeld equations which are obtained in a very simple case
indicate, once again, that the natural way to treat complex problems in uid mechanics is the
Lagrangian approach.
9. Summary and propositions for new developments
The main points are summarized in this section. We Arst go back to the reasons that justify a
stochastic approach, we discuss the current state of models and we suggest research directions.
Some of these suggestions aim at beneAting from the synthesis of present methods with di8erent
particle methods while other suggestions aim at making connections with developments in other
Aelds of physics in order to help improve present closures ideas.
9.1. DiIculties with conventional approaches and interest of a pdf description
In this work, we have tried to propose a consistent and self-contained formalism for the
one-particle probabilistic description of turbulent and dispersed two-phase ows from a
Lagrangian point of view. Many di8erent approaches or descriptions have been proposed for
single-phase turbulence and the quest is bound to continue [1]. Prediction and simulation of
single-phase turbulence is of course central in two-phase ow modelling. Yet, in order to un-
derstand how the present probabilistic approach Ats into the landscape, one must remember that
the aim is not to put forward the most attractive model for single-phase turbulence. Our purpose
is to develop one approach which, while treating single-phase turbulence in an acceptable way,
can be easily extended to reactive and two-phase ows. The central objective of this probabilis-
tic description is to build a general framework that allows tractable models to be developed
for general non-homogeneous ows while still treating accurately the key physical aspects of
turbulent two-phase ows. These two aims are actually con icting and one has to reach a com-
promise. Simple models can be devised but often at the expense of physical precision. On the
other hand, some advanced theoretical methods, such as LHDIA [4] or EDQNM [3] to name
a few, may well describe the physics but are limited to a small class of ows. It also seems
di@cult to hope for a single approach to be the best answer to each and every modelling need
since the notion of the ‘key physical aspects’ may di8er from one situation to another. What
is perhaps appropriate to understand the formation of trailing vortices behind aircrafts may not
be adequate if one is to predict the formation of various noxious pollutants released in the
combustion of polydispersed coal particles. It is more realistic to hope for one approach to be
merely a satisfactory answer to an as-wide-as-possible range of problems. Consequently, the
selection of the modelling approach is an important step in practice and one should be aware
of the necessity to balance practical use against accuracy when assessing the strong points and
the weak points of the present approach.
With the above caveat in mind, one can still wonder: why do we have to bother with a
probabilistic approach or is it really worth the trouble? To answer these questions, it is useful
to summarize the modelling issue. Turbulent dispersed two-phase ows involve in most practical
cases far too many degrees of freedom to be directly simulated, unless we limit ourselves to
low or moderate Reynolds numbers and to simpliAed geometries. This does not mean that direct
numerical simulations are of no use but rather that a ‘macroscopic’ description is necessary in
order to be able to say something for the vast majority of turbulent ows. The term macroscopic
refers here to a limited number of degrees of freedom compared to the exact equations and the
issue is therefore to extract from these exact equations another set of equations for a reduced
number of degrees of freedom. This represents the classical issue of single-phase turbulence
problems, and the modelling issue in dispersed two-phase ows is similar. Following the usual
line of reasoning in continuum mechanics, a perhaps natural approach consists in trying to write
directly a set of closed partial di8erential equations satisAed by a small number of statistical
averages or moments. These moments include typically the mean or average velocities of the
uid and of the particles, their mean temperatures or their mean scalar compositions if needed,
as well as the mean particle diameter and the mean volume fraction. The mean values can be
either the ensemble-average values, along Reynolds decomposition which is written here for
example for the uid velocity

Uf (t; x) = Vf pE (t; x; Vf ) d Vf (516)
or the large-scale values, in the spirit of LES decomposition which makes use of a spatial Alter
G and is concerned with

Uf l (t; x) = Uf (t; y)G(t; y − x) d y : (517)
We refer to this approach as the classical or conventional approach. It implies two main pre-
requisites. If we are certain to be interested only in the mean quantities selected in advance and
if we are able to close the corresponding transport equations through physically correct consti-
tutive relations, then this classical approach is satisfactory and there is little need to consider
more reAned approaches. This is typically what is done in single-phase turbulence modelling or
analysis. However, that direct procedure can become very cumbersome in the case of turbulent
dispersed two-phase ows. The discussion in Section 8, and in particular in Section 8.5, where
the transport equations for mean quantities, such as the uid and the particle mean velocities
and their turbulent kinetic energies, have been presented illustrates this point. It is indeed quite
possible to, Arst write the unclosed Aeld equations, and then to introduce all the required closure
relations. However, due to the large number of variables and to the complicated forms of the
Aeld equations, this is a much more di@cult issue than, for instance, to assume the existence of
a turbulent viscosity for the e8ect of subgrid scales on the large ones as is sometimes done in
numerical models for single-phase turbulence. On the other hand, these mean equations for the
uid and particle properties have been shown to derive from just one set of stochastic di8eren-
tial equations, Eqs. (453) in Section 8.4. The stochastic equations have a more tractable form.
Once the probabilistic formalism is grasped, it is simpler to see the physics that is contained
in a modelling proposal from the stochastic equations rather than from the set of mean Aeld
equations. In other words, even if the probabilistic path ends up at the same point (in terms of
mean equations) than the classical path, it is a much easier one to ride. This is a Arst reason
for a pdf approach. However, the main interest of probabilistic descriptions is to supply more
detailed information. As a consequence, this approach will be attractive in situations when the
conventional approach actually fails, that is when at least one of the two emphasized if above
is not satisAed. As it was explained in Sections 6.3, 6.5.3 and 7.2, there are two main situations
where such a direct route towards macroscopic equations will not be appropriate:
(1) when we want detailed local information on two-phase ows and we want to be able
to extract from the models various statistics that can help to analyse carefully and to
bring insights into the physics of the problem. Typical examples are conditional statistics,
particle residence time distributions, and separate statistics on particles depending upon their
previous histories or trajectories.
(2) when the local exact instantaneous equations, from which we want to derive the macro-
scopic equations, involve complicated source terms that cannot be easily replaced by closed
expressions in terms of the macroscopic variables.
The Arst case (1) is simply related to a question of the deAnition of information. A small
number of mean variables has been selected implying that, right at the outset, a lot of information
is disregarded. If we are faced with this Arst di@culty, then the selection was too drastic. The
only possible solution in the classical approach is to go back to the beginning of the process and
to try to derive additional transport equations for all the needed quantities. With an increasing
number of additional mean values to model and to calculate from transport equations, this may
become cumbersome, as already mentioned, and this approach may loose its interest compared
to the probabilistic approach.
The second case (2) is far more serious and means that the direct approach will completely
fail. This is once again a question of the level of information contained in a proposed approach.
That point can be developed using the LES method in single-phase turbulence as a guiding
example. The LES approach starts by removing the small scales. Their e8ect on the large ones
are accounted for but they are eliminated from the computed state vector and are external to the
description. LES can improve considerably the modelling power compared to Reynolds stress
models. A strong point is that LES contains a part of the spatial information and can calculate
the length scale of the large scale uctuations. As such, it may be the appropriate answer for the
kinetic energy governed by the large scales. However, if we are dealing with turbulent reactive
ows and a Anite-rate chemistry, the key physical phenomena for the chemical species take
place precisely at the small scales, since they involve molecular mechanisms. The important
phenomena are governed by scales for which insu@cient information is available. As a result,
we are faced with a modelling closure issue that is similar to the one encountered in Reynolds
stress models, see Section 6.5.3. One could neglect scalar subgrid scales and express the Altered
reactive source terms as
S( )l = S( l ) : (518)
This can lead to serious discrepancies in numerical predictions, as was demonstrated recently
[62,63]. In that case, we need to model all the scales explicitly. For turbulent dispersed two-phase
ows, the issue is similar when a polydispersed particle phase is present, the range of particle
diameters playing the role of the subgrid scales. A satisfactory closure relation using only the
mean particle diameter is too di@cult to derive in the mean particle momentum equation, see
Section 7.2. These two issues are representative of issues of ‘complex physics’ in uid dynam-
ics where the problem is not limited to the sole prediction of isothermal ows but involves
heat and mass transfer, combustion, polydispersed two-phase ows among other e8ects. In both
cases, too much information was eliminated at the beginning from the very choice of the clas-
sical approach. In both cases, the probabilistic approach has at least the potential to address the
problem.
9.2. Assessment of current modelling state
The second important objective of this work was to describe the physical ideas that are
behind present models equations. Present proposals consist in modelling the variables that have
been selected in the state vector by stochastic di8usion processes, in single-phase turbulence
in Section 6 and in turbulent two-phase ows in Sections 7 and 8. This step may involve
important simpliAcations and some of the assumptions made in the course of the derivations can
be questioned. Yet, it has been stressed that these stochastic di8usion models are not mere tricks,
or artiAces to include uctuations around mean or macroscopic laws that are known in advance.
These macroscopic laws are precisely obtained from the stochastic approach, and the present
methods have indeed the potential to represent and simulate the complete one-point dynamics of
turbulent two-phase ows. For this reason, we have tried to precise the meanings of the present
approach as well as its mathematical background. Stochastic processes are powerful modelling
tools and the deAning notions or the technical aspects that go with them have been presented
independently from their applications to single-phase turbulence and to turbulent two-phase ow
modelling. Three aspects have been treated separately: the technique, presented in Section 2,
the general framework discussed in Sections 3 and 4, and the details of present models used in
Sections 6 –8.
Now, once the general context and the formalism are understood, comes the really interesting
question for a physics-minded user of turbulent models: how much of the physics is accounted
for by these stochastic models, what is left out and consequently what are the weakest points
to improve?
These questions have been analysed at length in Section 6.8 for single-phase turbulence and
in nearly all Section 7 (in particular, Sections 7.4.1, 7.4.2 and 7.5). Broadly speaking, the
present approach consists in the following steps. First, a state vector Z gathering the impor-
tant local variables is selected. This is a very important step governing the chances of suc-
cess of later models, as it was emphasized in Section 4 for the general case, in Section 6.6
for single-phase turbulence and in Section 7.3.2 for two-phase ow models. Then, a di8usion
stochastic model is used where the local exact equations for the variables contained in Z are re-
placed by stochastic di8erential equations which represent the time evolution equations of a large
number of trajectories of the process and which can be written as general Langevin equations,
cf. Eqs. (453),
d Zi = Ai (t; Z; H (t; Z)) d t + Bij (t; Z; G(t; Z)) d Wj : (519)
The stochastic process is meant as a weak approximation of the actual one or, in other words,
we expect that statistics extracted from Z will approximate the real ones, see Section 2.1.2.
In the Langevin equations, the drift vector Ai and the di8usion matrix Bij , are functions of
the state vector and also of some statistics represented by the dependence of the coe@cients
on mean functions H (t; Z) and G(t; Z). A simple example of that feature is the Langevin
equation used for uid particle velocities which are assumed to relax to the local mean value
Uf (t; x), Eq. (237), with a relaxation time scale given by Eq. (238). Both terms involve mean
values calculated from the ensemble of particles, and implicitly from the calculated pdf p(t; z).
In mathematical terms we are dealing with non-linear pdf equations, and with what is referred
to as Mc-Kean stochastic di8erential equations [16,56].
Several comments can be made from the physical point of view. First, the form of this pdf is
not assumed beforehand. There are no equilibrium assumptions that are used directly to obtain a
generic form for p(t; z), as in equilibrium statistical physics, and the present approach appears
in that respect as a non-equilibrium statistical description. Yet, from the discussion given in
Section 4, it is clear that there are some ‘equilibrium reasonings’. Yet, these equilibrium as-
sumptions are performed for the fast variables, replaced by local models in terms of the slow
modes, see Section 4.2, while the slow variables are explicitly calculated by solving the mod-
elled transport equation for their pdf.
Second, the general equations, Eq. (519), reveal that we are handling mean Aeld kind of
models. This is due to the limitation to one-point models: the particles do not interact directly
but rather indirectly through potentials (or mean Aelds) which are computed from them. This
limitation allows the general case of non-stationary non-homogeneous turbulent two-phase ows
to be addressed, but some physical aspects are left out. In particular, we can make the following
comments:
(i) since direct interactions between particles are not calculated but only ‘mean’ ones, there is
no spatial information at present. We can calculate from the particle properties time-correla-
tions and deduce time scales. We cannot calculate spatial information and we cannot sim-
ulate the energy spectrum or the length scale of the uctuations. Consequently, we cannot
expect this approach to predict the formation or the characteristics or what is referred
to as coherent structures [1,3]. These are far-from-equilibrium structures that require the
collective spatial motion of many particles.
(ii) If these coherent structures cannot be calculated from present models, they could still be
included in the models. If we know the basic statistical signature of coherent structures
(their frequencies, their intensity, etc.), we can try to mimic them, see below the discus-
sion in Section 9.3.1. At the moment, this is not the case, and there is about the same
physical content (or the lack of it!) in the probabilistic description as in classical one-point
Reynolds stress models. Phrased di8erently, present stochastic models could be roughly
described as Reynolds stress type of models, that nevertheless treat chemical source terms
and polydispersed ows correctly.
(iii) A consequence of the absence of spatial information in present one-point closures in the
stochastic models for single-phase ows is that the particle dispersion modelling issue is
unclosed, see Section 7.4.1. This remains a very important issue, even though we are only
looking for approximate one-point statistics in turbulent two-phase ows. In spite of the
reasons put forward to justify the present closures, see Section 7.4.2, too much uncertainty
in the physical understanding of the problem and in the stochastic modelling technical steps
still prevents the resulting models from being fully satisfactory.
In terms of the physical content of present stochastic models, the feeling is therefore mixed.
Nevertheless, there is much room for improvement. The probabilistic framework is a very
convenient framework in which the basic stochastic equations can be easily modiAed to include
supplementary physical e8ects, if these e8ects are well understood. At the moment, the limiting
steps are mostly due to a poor understanding of the basic physics involved.
9.3. Open issues and suggestions
The above comments explain that the situation on the modelling front is not frozen but is
evolving with extensions or improvements of present models being proposed. A Arst series of
proposals have been made in the same context of one-point closures or mean-Aeld interactions.
The basic equations have been modiAed, in particular the position equation with a new random
term and use of the elliptic relaxation for near-wall modelling [97]. To treat compressibility
e8ects, the description can be broadened to include the instantaneous particle pressure and
internal energy [98]. Another recent interesting development is the particle exact representation
of Rapid Distortion Theory in turbulence [60] by the addition of a wave vector. We do not
dwell on these extensions in this concluding section, but rather choose to discuss new possible
ideas that go beyond the present context or that could be linked to other domains of applied
physics.
We Arst discuss how present stochastic models could And a better place within the family of
turbulent models and other large-scale methods for single-phase turbulence. We then turn our
attention to a number of open issues concerning mainly discrete particle properties for which
much work remains to be done. It is believed that these issues can be related to other Aelds of
physics and could probably beneAt from developments made there. Interestingly enough, these
points involve both immediate practical concerns and interesting physical aspects. They concern
(i) how to beneAt from developments and results obtained in theoretical and fundamental
works for single-phase turbulence,
(ii) how to include spatial information for the continuous phase (the uid), keeping the interest
of the present stochastic approach for reactive and two-phase ows intact,
(iii) how to properly simulate the e8ect of molecular transport coe@cients in the one-point pdf
models, where they manifest themselves by a kind of ‘anti-di8usion’ behaviour,
(iv) how to properly build a dispersion model from a di8usion one taking into account the
various possible uid and particle paths,
(v) how to marry present ideas with developments in granular matter which do not consider
the in uence of an underlying turbulent uid.
9.3.1. A middle path between theoretical and practical approaches

Present stochastic models simulate the instantaneous behaviour of uid and discrete particles
in a turbulent ow and lead directly to the general mean moment equations. They rely both
on theoretical predictions and on rough macroscopic estimations. For example, in the simplest
Langevin model for uid particle velocities are (see Section 6.6) written as
Bij
" # !

1 9P Ui − Ui
d Ui = − dt − d t + C0 + d Wi ; (520)
9xi TL
!" #
Di
where TL is the Lagrangian time scale given by Eq. (238), the closure of the di8usion term,
Bij , is based on Kolmogorov theory while the closure of the drift term, Di , remains a macro-
scopic assumption having weaker support. The same is true for the model for the velocity
of the uid seen in two-phase ows, see Section 7.4.2. Provided we have additional infor-
mation, both terms could be improved without loosing the connection with mean equations.
Thus, the probabilistic description can include new pictures and new results on the instanta-
neous nature of turbulent ows obtained in simpliAed situations (such as stationary isotropic
turbulence) and calculate their e8ects in general non-homogeneous ows. In that sense, this
description is an attractive candidate to bridge the gap between fundamental and practical
approaches.
We can develop that suggestion as follows. Broadly speaking, the di8erent approaches to
turbulence can be divided into two main categories. In the Arst one we And direct numerical
simulation (DNS) which is an explicit numerical simulation of the Navier–Stokes equations
providing all details on turbulent ows [99], as well as experiments [28] and a number of
theoretical developments. These theoretical developments include multifractal approaches [36,5],
renormalization-group approaches or functional and diagrammatic approaches [4,100,101] among
others. We refer to this category as fundamental approaches. They are mainly concerned with
the question of the nature of turbulence. Their aim is to provide insights into the physics of
turbulence and hopefully to try to isolate what could be the ‘turbulence molecules’. Along
this line of thinking, one assesses the validity of Kolmogorov scaling. In a more geometrical
approach, one may try to bring out particular structures, such as the structures called worms
which have been found in DNS and in experiments, and analyze their role in the mecha-
nisms of turbulence [34]. Another aim of the fundamental approaches is to supply information
needed in coarser or reduced descriptions to help devise better approximations and also to test
proposals.
At the other end of the spectrum covered by the various approaches to turbulence, we have
the category of macroscopic approaches. Under that term, we usually And the classical moment
approach, either two-equation models such as the k–+ model or Reynolds stress models, see
Section 6.3. These models are now routinely used in Computational Fluid Dynamics softwares
for any complex geometries and are often referred to as engineering models. Yet, the term
seems to carry a disparaging connotation in most works on the physical aspects of turbulence
and we prefer the term of macroscopic model.
The connection between these two categories is weak. Indeed, it seems very di@cult to
use information or results obtained from a fundamental approach directly, say in a Reynolds
stress model. This is due to the fact that a huge number of degrees of freedom have been
eliminated, leaving only the Aeld of mean velocities and of Reynolds stresses. This is also
due to the classical approach itself which, as explained in Section 6.3, Arst derives an open
mean equation and then obtains a closed form by resorting to a macroscopic constitutive
relation.
One approach put forward to All in the gap is large Eddy simulation which has received a
great deal of attention in the last decade. It has even been the only subject of concern in most
works concerned with new ideas in numerical simulations in turbulence. LES is indeed a very
fruitful avenue and appears as the best candidate at the moment for problems mainly governed
by the large scales and where the physics is not too complicated. Nevertheless, the method has
Arst to live up to its expectations for practical applications in not too simple geometries. Second,
it may not be the ultimate answer when complex physics is involved. This has been explained
in the introduction of this section for combustion issues. If one is concerned with practical
applications and with assessing approaches in that respect, then it is important to realize that,
even with the foreseeable increase in computational power, the most urgent needs are often
to include complex physics (heat and mass transfer, combustion, two-phase ows, free surface
ows with complex interfaces, etc.,) before improving the predictions of the dynamics of the
large scale.
For this reason, it is proposed to use the present one-particle probabilistic framework to link
fundamental and macroscopic approaches. At the moment, DNS results are mainly used to assess
some of the mean terms in the moment approach and to provide budgets of production or trans-
port terms in a given ow, see the discussion of the impact of DNS on turbulence modelling in
Moin and Mahesh [99]. We suggest to go Arst from the DNS results to a pdf description. In turn,
the pdf description will yield the corresponding mean moment equations. Yet, since we are deal-
ing with instantaneous variables in the pdf models, it seems easier to introduce newly understood
mechanism or new pictures within the stochastic equations rather than directly at the macroscopic
level. This idea was Arst followed in Yeung and Pope [29], more than 10 years ago and has
not received enough attention (apart from Yeung’s continuing e8orts [102,103]). For instance,
the closure of the drift term in the Langevin equation, Di , could be improved with information
from DNS.
Yet, the di8erent formalisms between the fundamental and the pdf approaches suggest to
avoid direct (or blind) applications of statistical results from DNS into statistical closures.
Information provided by DNS would be best used if one builds Arst a simpliAed picture and
then uses DNS to provide quantitative information for this picture. We develop this proposal
through two examples (example (a) and example (b)). Both examples will deal with ways to
account for structures. These structures are observed in di8erent situations and should not be
confused. In example (a) we consider essentially homogeneous turbulence and in example (b)
we consider a typical case of a non-homogeneous ow.
Example (a) concerns the di8usion coe@cient and is related to the question of intermittency.
At present, the closure relation

Bij = C0 + ; (521)
is based on Kolmogorov 1941 scaling and relies only on the mean dissipation rate of the
turbulent kinetic energy +. The Lagrangian velocity structure function is linear with respect to
the time increment d t
DL (d t) = C0 + d t ; (522)
when d t belongs to the inertial range, $@ d t TL , see Sections 5.3 and 6.8. There is no account
for intermittency due to the uctuations of the instantaneous dissipation rate sampled by the
uid particle. Current knowledge on the question of intermittency and its importance is still
incomplete. Recent Lagrangian measurements performed at relatively high Reynolds numbers,
900 ¡ Re# ¡ 2000 for a Reynolds number based on the Taylor scale #, have reported results in
agreement with Kolmogorov 1941 scaling [104]. On the other hand, results obtained from DNS
at Reynolds numbers up to Re# 200 have shown that the uid particle acceleration variance
normalized by Kolmogorov inner scales, Eq. (135),
A2 A2
= 3=2 −1=2 ; (523)
+=$@ +
scales as Re#1=2 , whereas Kolmogorov 1941 predicts a constant value a0 [103]. It remains unclear
whether this dependence on the Reynolds number is due to the low value of Re# used in DNS
and whether this Re#1=2 scaling extends to higher values. This will have to be clariAed by further
work to decide upon the real importance of that subject. Yet, if intermittency is to be taken
into account, this can be achieved quite naturally in the stochastic equation for uid particle
velocities by replacing + with an instantaneous value + attached to each particle. The di8usion
coe@cient can be written as

Bij = C0 + (524)
and the instantaneous value of the dissipation rate sampled by a uid particle can be simulated
for example by the log-normal model presented in Section 6.6. The modiAed picture is then
in line with Kolmogorov reAned hypothesis, referred to as Kolmogorov 1962 [25]. The reAned
hypothesis predicts similar scaling for the Lagrangian velocity structure function
DL (d t) = C0 + d t ; (525)
but this is now a conditional result for a given value of +. The unconditional structure function is
obtained by averaging on the instantaneous values of + which are assumed to follow a log-normal
distribution [25]. Following the reAned hypothesis and this new closure, the stochastic equations
that model the particle joint velocity–dissipation rate (U; +) are directly coupled by the di8usion
coe@cient. On the contrary, in the stochastic equations developed in the frame of Kolmogorov
1941 scaling and given in Section 6.6, the coupling between the particle velocity and dissipation
rate equations is weak since only the mean value + enters the instantaneous velocity equation.
That situation is changed. In stationary homogeneous turbulence, when + is constant, this new
di8usion coe@cient, Eq. (524), is now a stochastic variable and this leads to deviations of mean
square velocity increments from normal di8usion. Such a complete stochastic model accounting
for internal intermittency was proposed some years ago [57,58] and has been used for realistic
non-homogeneous turbulent ows [59]. Other proposals have been made, based for example on
multifractal ideas for the instantaneous dissipation rate [105].
These modiAcations follow the statistical route and try to replace one scaling with another
one. On the other hand, recent simulations have revealed the importance of structures that can
be isolated within the ow [1]. We make here the following suggestion that could reconcile
the statistical and geometrical pictures. From the DNS, we give ourself a two- uid picture
of a turbulent ow that is a follow-up of a proposal made by She et al. [106]. A turbulent
ow is composed Arst of a background with no marked structures, and second of a number of
particular structures. We are considering homogeneous turbulence. In that case, the structures
embedded in the structure-less background, that we propose to retain in the overall picture,
could be described as the intense vortex tubes that have been isolated in DNS and which are
called worms [34]. Their characteristics are still debated but they can be described as vortex
tubes having a length of the order of the turbulent length scale L, a radius of the order of @ (or
perhaps # as some results suggest) and a vorticity of the order of u=@. Yet, the key result is to
know the typical number of these structures nvt within a given turbulent ow or the volumetric
fraction occupied by these worms, and how nvt scales with Re# . This is a statistical quantity
but for a geometrical object. That statistical estimate is still unknown at the moment but having
information on nvt would be a crucial result. The leading idea of the two- uid picture is that
the Kolmogorov 1941 description is valid but only for the structure-less background, and that
these particular structures could explain the deviations from Kolmogorov scaling observed for
the high-order velocity structure exponents. Indeed, if we assumed that their typical number
nvt is not too high, these intense events (the worms), associated to low-pressure zones, would
only contribute to high-order statistics while not modifying small-order statistics. Of course,
that idea must be Arst conArmed (or contradicted) by the fundamental approaches. In that case,
based on that two- uid picture, one could then develop a corresponding stochastic model. The
particle velocity model would be the Langevin equation based on + to which one would add
increments that would represent random encounters with the worms (at a frequency that would
be of the order of n−1 vt ). This is a way to connect fundamental developments with practical
models.
The second example (example (b)) we would like to develop takes up this idea of account-
ing for the statistical signature of particular structures to another case, wall boundary layers.
The near-wall region and the turbulent boundary layer is a thin zone which is of key impor-
tance in many practical situations. The traditional description relies on similarity arguments
and on universal proAles of mean quantities (the logarithmic variation of the mean velocity
outside the viscous layer) [26]. DNS has changed this view of the turbulent boundary layer
structure [99] and has pointed out the role of near-wall structures. We are dealing here with
a non-homogeneous ow, and these structures are di8erent from the ones described above (the
worms of example (a)). Being able to include the near-wall structures in tractable models is
of importance in a number of problems. A Arst example is the thermohydraulics of nuclear
piping systems, where in some regions one would like to have detailed information on thermal
near-wall uctuations that may cause material damages. Detailed information means here access
to more than the sole mean velocity and temperature proAles, that is to the pdfs of velocity
and temperature uctuations. Another example concerns directly the main subject of this paper,
turbulent two-phase ows. The boundary layer structure plays a key role in the mechanisms
of discrete particle deposition on the walls and on their possible resuspension away from the
wall. This is an important concern in many industrial processes. For these problems, DNS is
of course the ultimate answer since all details are explicitly calculated. This is however quite
impossible in practice, even with LES, due to complex geometries, to the high Reynolds num-
bers of these ows and also due to the fact that we need detailed description but only in a
certain region of a whole domain. In that case, it is proposed to use present stochastic models
as an intermediate between the fundamental and the macroscopic approaches. Using DNS data
as an input, the issue is then to include in the particle velocity and scalar equations, the speciAc
e8ects of the near-wall structures based on their intensities, frequencies and orientations. Work
in that direction has already been done [107,108] but often in di8erent settings and no clear
model has yet emerged.
9.3.2. Ideas for particle-based LES

The two series of improvements mentioned above (extending the one-particle state vector or
introducing the statistical signatures of ‘structures’ deduced from direct simulations) represent
attempts to extend the accuracy of present methods within the same framework of one-point
approaches. However, from the comments on the current modelling state, it appears that the
weakest point is the lack of spatial information. So the question is: how can such spatial
information be introduced in the probabilistic description?
A Arst possibility within the stochastic framework is to extend present one-particle pdf mod-
els to two-particle pdf models (or s = 2 in the notation of Section 3). Instead of following a
large number of uid particles, we would then follow a large number of pairs of uid particles.
Access to spatial information is not only interesting for the prediction of uid properties or
statistical characteristics, but is important for the issue of discrete particle dispersion. From the
discussion detailed in Section 7 and in particular in Section 7.4.1, it is clear that the addi-
tional closure problem for particle dispersion (how do we represent the velocity of the uid
seen Us ) would vanish since enough information would be available. Discrete particle disper-
sion is an unclosed issue when a one-particle description of the uid is made, but it becomes
a closed problem when a two-particle description of the uid is available. This is the key
reason for striving to improve the statistical description of the underlying uid, which is the
particle driving force, rather than trying to improve the statistical closures of particle kinetic
equations, see the discussions in Sections 7.3.2 and 7.5.7. A number of Lagrangian two-particle
stochastic model have been developed aiming mainly at atmospheric pollutant dispersion studies
[109 –114]. However, these models are limited to the ideal case of homogeneous station-
ary isotropic turbulence and work remains to be done to extend their range of validity to
non-homogeneous ows.
In the present subsection, we want to put forward another suggestion that actually breaks
away from this strictly pdf frame and re-introduce spatial information by coupling the stochastic
methods with other and non-necessarily stochastic particle methods used in uid mechanics. We
can detail this suggestion by discussing the idea for the description of uid velocity, taking up
the presentation started in Section 6.8.
In the present stochastic models, the uid particle instantaneous acceleration is decomposed
as
1 9P
A=− + G(U − U) + ; (526)
9x
!" #
Al
as discussed in that section. An outstanding feature is that, since we are treating the instantaneous
variables, the model still retains information on the small scales. This is the good point. The bad
point is that one has to express the large scale velocities Al resulting from the large scale part
of force due to the other particles by a one-point relation in terms of the actual uid particle
velocity and of mean quantities. We are thus dealing with a one-particle pdf description of the
full velocity.
Instead of making mean Aeld approximations, we could calculate that contribution from the
N particles as a direct force between them. This is done in other particle methods, such as
Vortex Methods and more precisely SPH (smoothed particle hydrodynamics). In these methods,
one introduces a cut-o8 length h and a smoothing kernel Wh (x) to each particle. The kernel
satisAes the conditions

Wh (x − y) d y = 1 ; (527a)
lim Wh (x − y) = (x − y) : (527b)

h→0
In SPH techniques, this introduction of a kernel allows to calculate derivatives at the particle
position [115] and thus what is called ‘regularized solutions’ with a purely particle method. The
basic idea is to use an interpolation method that approximates any function H (x) by HI (x)

HI (x) = H (y)Wh (x − y) d y ; (528)
and the regularized version of H (x) is obtained from the set of particles labelled here b as
mb
H̃ (x) = H (xb )Wh (x − xb ) ; (529)
b
b
where xb is the location of the particle b, mb its mass and b its density (for incompressible
ows generally considered in this work, it would be a constant). Broadly speaking, the velocity
Aeld is obtained by regularizing locally around each particle using the analytical kernel (this
is actually like ‘spreading’ each particle in a small domain around its centre of mass) and the
regularized acceleration of one uid particle, labelled a, is the sum of the regularized (or large
scale) forces F̃b→a due to all the other particles b
N
Aal = F̃b→a : (530)
b=1
For example, the pressure-gradient force can be expressed as [115]
' (
1 9P̃ 1
− = mb (Pb − Pa )Qa Wh (xb − xa ) ; (531)
9xi a
a b
where the derivatives are taken with respect to the coordinates of particle a. The interest of this
approach is that one retains the Lagrangian nature and its satisfactory treatment of convection
(low di8usivity) and that the method is basically grid free. This is indeed a N -particle approach
since the N particles are tracked simultaneously and interact directly. Yet, due to the regularizing
procedure, these particles are in fact large scale particles. We are thus dealing with a N-particle
pdf description of the large scale component of the uid velocity.
The approach is on Arm ground when the number of particles N and the typical length of
the kernel h are such that each particle has a reasonable number of neighbours (say around 10
or 20) within the volume whose size is h3 and which therefore contribute in the above sums.
It is also clear from the previous summary that scales smaller than the length of the kernel h
are actually smoothed. In turbulence, the number of degrees of freedom is extremely large and
to obtain a tractable model one must then choose the cut-o8 h somewhere in the inertia range.
This amounts to a direct calculation of the large scales using a particle method, but without
any speciAc account for the ‘sub-kernel’ scales. The smoothing kernel plays here the role of
the grid size in a classical grid-based LES method, and the basic SPH approach appears as a
particle-based LES without any subgrid model.
Therefore, both approaches (one-particle pdf and SPH) are particle methods but with di8er-
ent characteristics. One suggestion is then to try to beneAt from the good points of the two
approaches by introducing length information and the notion of a Altered Aeld while retaining
the instantaneous (including the small scale component) nature of the modelled variables asso-
ciated to the particles. We would then have a N -large scale particle pdf description with still
enough information for the full velocity. This can be achieved by dividing the instantaneous
and complete acceleration of each particle into two contributions
A = Al + ; (532)
where the Arst term refers to the large scale part of the forces that act on a uid particle and
can be provided by an SPH calculation. The large scales are explicitly calculated. Small-scale
e8ects and information are kept in the method to maintain its interest for the calculation of
reactive source terms. This can be done by the second process in the decomposition of the par-
ticle instantaneous acceleration, which is then a stochastic term in the spirit of the one-particle
pdf method. This process re ects subgrid e8ects (here sub-kernel e8ects) and could be mod-
elled by a simple Langevin model with a time scale provided by the resolution at length h.
This approach would be a mixed SPH=pdf stochastic particle coupled approach. In practice,
it would appear as a particle method that gathers both the N -particle character of the SPH
method and the explicit simulation of small scales obtained with the one-particle pdf descrip-
tion. We can propose the following sketch for the method: say we have a large number of
particles N . These particles are classiAed form a hierarchy. They are gathered into Nl clus-
ters, with N = ns × Nl , from which regularized variables are computed. The interactions be-
tween the clusters are calculated directly (Nl -body problem) by the SPH formalism and we
add to each particle an independent small-scale random process . This small-scale process
could be devised for example with a simple Langevin model with a return-to-equilibrium term.
For a particle at the lowest level of the particle hierarchy and which belongs to one large
scale particle or cluster, the velocity of that large scale particle could be taken as the equili-
brium value. For the rapid process , we would then perform in fact a local ‘mean Aeld’
approximation, the mean Aeld being here the one calculated explicitly at the higher particle
hierarchy level.
SPH is still a young method and not much used in uid mechanics, apart from free-surface
problems where its grid-free characteristics is very appealing. Application for turbulence issues
is still at the early stages. It remains thus to be seen whether these ideas have some viability!
9.3.3. The eCect of molecular transport coeIcients in pdf models

As already indicated several times throughout this paper, one of the main interests of stochas-
tic models appears when averages of complicated source terms have to be calculated. However,
one has still to consider the e8ect in sample space of the molecular transport coe@cient, like
the scalar di8usivity > or the uid viscosity. To focus the discussion on this issue, we limit
ourselves in this section to passive scalars but we still consider one-particle PDF descriptions
of the scalar Aeld. That problem appears simply when we have to simulate thermal e8ects, for
example heat exchanges between the uid and the particles. Following our Lagrangian point of
view, this is done by assigning to each discrete particle a new variable which represents the
particle temperature Tp . The simplest model which accounts for the heat exchange between the
uid and the particles (with no mass exchange) relies on a macroscopic coe@cient, the heat
transfer coe@cient hfp and has the form of
d Tp 6hfp
= (Ts − Tp ) ; (533)
dt dp Cpp
where Cpp is the particle heat capacity. The heat transfer coe@cient hfp is usually given by
empirical expressions in terms of the non-dimensional Nusselt and Prandlt numbers
hfp dp
Nu = ; Pr = f ; (534)
#f >
which have for example the form
Nu = 2 + 0:6Rep1=2 Pr 1=3 : (535)
These equations mirror the ones that express the discrete particle momentum equation,
Eq. (281) and Eq. (285) with hfp playing in the discrete particle temperature equation the
role of the drag coe@cient CD in the momentum equation. In Eq. (533), Ts stands for the in-
stantaneous temperature of the uid seen Ts (t)=Tf (t; xp ) which implies modelling issues similar
to the ones detailed in Section 7.4.1 for the velocity of the uid seen. Even if we neglect the
crossing-trajectory e8ect and regard Ts as having the same statistics as for a uid particle, we
still have to model this instantaneous uid temperature. For the sake of simplicity, and since
this does not change the modelling problem that we would like to bring up in this section,
we consider only the uid case. We also generalize the discussion to include, not speciAcally
the uid temperature, but any scalar whose local exact equation involves a molecular transport
coe@cient. The background is therefore provided by Section 6.
We follow mainly a Lagrangian point of view in the rest of this section, the Eulerian pdf
being retrieved from the Lagrangian one through the general relations, see Section 6.4.3. The
one-particle pdf equation for the pdf pL (t; y; ) can be obtained either from the exact instanta-
neous Aeld equation, Eq. (117) by applying directly the techniques of Section 3, or by starting
from the pdf equation satisAed by the joint velocity–scalar pdf, Eq. (231) in Section 6.5.2.
Indeed, pL (t; y; ) is simply the marginal of the joint velocity–scalar pdf pL (t; y; V; )

p (t; y; ) = pL (t; y; V; ) d V :
L
(536)
From Eq. (231), by integration over velocity variables we obtain the pdf equation for pL (t; y; )
9p L 9[Ui |( = )pL ] 9[>Q |( = )pL ] 9[S( )pL ]
+ =− − : (537)
9t 9yi 9 9
This equation illustrates once again the interplay between closure terms and the hierarchy of
di8erent descriptions. At the level where we handle the joint values of the velocity and of the
scalar, that is when the one-particle state vector is Z = (y; V; ), turbulent uxes are closed
and are treated without approximation. By ‘going down’ to the reduced vector state Z = (y; ),
the e8ect of velocity (which has now become an external variable whereas it was an internal
variable in the former case) represented by the mean conditional Ui |( = ) has to be closed.
This shows that one may have an interest in staying at the upper oor even though one is
mainly interested in the scalar statistics. Yet, we leave out that question and concentrate on the
terms on the rhs of the pdf equation.
It can be shown that the term which involves the molecular transport coe@cient, here the
scalar di8usivity >, can be exactly re-expressed as the sum of two contributions [6,7,11]
9p L 9[Ui |( = )pL ] 92 [>pL ] 92 [+ |( = )pL ] 9[S( )pL ]
+ = − − ; (538)
9t 9yi 9yi2 92 9
where the Arst term on the rhs is negligible at high Peclet numbers and where + is the scalar
dissipation

9 (t; x) 2
+ = > : (539)
9xi
In the above scalar pdf equation, we end up with the same form as with the viscous terms of
the momentum equation, Eq. (235) in Section 6.6. This is a general result for all molecular
transport terms in the exact Aeld equations. Such terms which are di8usive in physical space but
yield a negative coe@cient (anti-di8usion) in sample space. For the uid particle velocity model
developed in Section 6.6, this negative coe@cient was later compensated by a larger positive
term arising from the model of the uctuating pressure gradient and the equivalent negative
square root that one would like to write in the corresponding equations of the trajectories of
the process were mere formal intermediates. For micro-mixing models there is (unfortunately)
no such supplementary terms and one is faced with the di@culty of modelling an anti-di8usion
coe@cient. At high Peclet numbers, without reactive source terms S = 0 and neglecting the
unconditional form of the scalar dissipation + |( = ) + , we have
9p L 9[Ui |( = )pL ] 92 [+ pL ]
+ =− : (540)
9t 9yi 92
The scalar modelling issue, referred to as the micro-mixing problem, is to construct the cor-
responding term in the equations of the trajectories of the process that corresponds to this
second-derivative form in the pdf equation, following the equivalence between the trajectory and
the pdf point of view for stochastic processes (see Section 2). In the absence of velocity e8ects,
this is illustrated by the following sketch where the question mark indicates the unknown and
required term
9p L 92 [+ pL ]
d =? ↔ =− : (541)
9t 92
The scalar pdf equation looks very much like a Fokker–Planck equation (see Section 2.8)
and the required model term for the trajectories of the process should be something like the
Langevin stochastic di8erential equation. However, this cannot be really a Fokker–Planck equa-
tion since the coe@cient appearing in front of the second-order derivative is negative whereas
the similar coe@cient in an actual Fokker–Planck equation is always positive, as shown in
Eq. (40) or in Eq. (59) for the multi-dimensional case. The micro-mixing issue, or anti-di8usion
behaviour, is bound to bring about a great deal of eyebrows-raising and perhaps even down-
right suspicion, particularly for the mathematically oriented reader, since the equation is not
well posed. It is thus useful to try to provide further physical explanations and a general picture
for the origin of this behaviour.
Let us go back to the basic physical ideas leading to Langevin and Fokker–Planck di8usive
equations, which are developed in Sections 2 and 4, and which seem well in place. From
Section 2.8, we know that the existence of a positive second-order term in a partial di8erential
equation of the convection–di8usion type, is equivalent to the existence of a white-noise term in
the particle evolution equation. If (t; x) is the solution of a 1D heat transfer equation, (t; x)
can be interpreted as the law of a stochastic process, say X whose trajectories undergo random
walks. This can be represented as
√ 9 (t; x) 92 (t; x)
d X = 2> d W ↔ => : (542)
9t 9x 2
The stochastic equation for the trajectories of the process (that we will call particle equations)
helps to bring out the underlying physics. A particle dynamics leads to a di8usive behaviour
because it is subject to random forces or kicks from its environment. The ‘force’ acting on
this particle (the rate of changes of the state variables considered) is taken as a fast variable
(rapidly changing or with no memory) and as being independent of the actual state of the system
considered, resulting in the white-noise term d W . The solution (t; x) of the PDE appears as
a ‘macroscopic’ quantity and represents the mean or averaged behaviour of the underlying
‘microscopic’ constituents, see Section 6.2. These ‘microscopic’ constituents can be seen as the
carriers of the related information (here it would be thermal energy or their kinetic energy)
which they carry and propagate through the domain. In our case, these microscopic constituents
are the molecules of the uid. The emerging picture is thus: the temperature Aeld (t; x) di8uses
in space because each small (but macroscopic with respect to the molecules) volume exchanges
molecules very rapidly with the surrounding small volumes of uid. If we select an observation
time scale (the incremental time interval in the di8erential equations) small with respect to
the evolution of the small element of uid but much larger than molecular time scales, and a
length scale (the dimension of the small uid elements) much larger than molecular sizes, these
molecules can be regarded as being independent and varying inAnitively fast. This corresponds
to the discussion of the chosen ‘observation’ time scale in Section 4 and is in line with the
general picture given above. Such a modelling can only represent a system whose variance X 2
constantly increases as a direct consequence of the Langevin stochastic equation:
dX 2 = > d t ¿ 0 : (543)
This variance can be interpreted as the entropy of the system, it increases as the molecules
become increasingly well mixed throughout the domain.
The probabilistic description performed in the present pdf methods is di8erent. As empha-
sized in Section 6.2, we actually try to follow the reverse direction compared with the previous
explanation of hydrodynamical di8usion and molecular random walks. We start at the hydro-
dynamical level and interpret the Aeld as an ensemble of N -interacting uid particles. These
uid particles are therefore small elements of uid (we are within the framework of contin-
uous mechanics) or, in other words, each uid particle is a large scale particle (compared to
molecules) or a cluster gathering a large number of molecules. We then try to describe not
the dynamics of this N -particle problem but rather N one-particle dynamical problems. The
di8erence between the points of view may be illustrated by the following sketch:
√ 9T (t; x) 92 T (t; x) 9p L 92 [+ pL ]
d X = !"2> d W# → => → = − : (544)
9t !" 9x 2 # 9t 92
molecular level !" #
hydrodynamical level one-particle PDF level
→ (545)
increasingly coarser description
If we consider a volume of uid that contains a number of these uid particles and that
we describe as statistically homogeneous, then the uid particles contained in that volume
interact between themselves through the exchanges of molecules. We could explicitly calculate
these interactions, in a particle formulation for example through the use of the particle strength
exchange (PSE) method developed in vortex methods [116]. However, in turbulence these
interactions are small-scale forces. Most of the energy exchanged in the process is due to
interactions that take place within a distance which scales with the Kolmogorov inner scale
@. An explicit calculation of this phenomenon would require a su@cient number of particles
to be present within a distance of order @ and to follow the time evolution with a time step
of the order of the Kolmogorov time scale $@ . These are the observation scales mentioned in
the previous paragraph, which are macroscopic time scales with respect to molecular scales.
This would be like an direct simulation and this is precisely what we would like to avoid in
the present pdf models! We want now to express the dynamics and the time evolution of the
temperature attached to each particle at a much larger time scale, see Sections 4.2 and 6.8. We
are looking for a coarser description without explicitly computing the local interactions of the
particle considered with all its neighbours. We simply want to account for the resulting e8ect of
these molecular interactions on the one-particle pdf. What is this resulting e8ect? Let us consider
a number of uid elements or particles that have di8erent temperatures (our considered scalar).
In the one-particle pdf sample space, this means that the pdf is spread since there is a range
(either discrete or continuous) of possible values. Then, as time goes by, these temperatures will
be smoothed out by the action of the uid di8usivity and will tend towards a single value. This
smoothing action re ects the exchange of molecules between the uid particles. At the time
chosen in the pdf description, larger than the Kolmogorov scale which in turn is larger than the
molecular time scale, this exchange is random and inAnitively fast. The resulting mixing e8ect is
irreversible at the pdf level (thus perhaps the second-order derivative) and in the corresponding
sample-space the pdf tends towards a Dirac-value distribution.
In the pdf description, the mean value of the uid particle scalar does not change but the
variance decreases
2
d = −+ d t ¡ 0 : (546)
There is no new physical phenomenon involved. The variance (or the entropy) in the pdf de-
scription decreases since energy (or order) is transferred in an irreversible way to the molecules
whose disorder increases. Both evolutions, Eqs. (543) and (546), are two manifestations of
molecular random motions. The evolution at the pdf level is the re ection of the relaxation
of macroscopic systems towards thermodynamical equilibrium through increasing molecular
disorder.
The micro-mixing issue, indicated by the sketch (541), is one of the key di@culties of the
subject and it remains a much discussed and open question. No satisfactory model representing
in a trajectory formulation this pdf behaviour has been proposed, at least in the turbulence
community. Interestingly enough, this question has also appeared recently in other physical
situations. For example, it is mentioned in an appendix (appendix S.11) of the latest edition of
Risken’s book [117] where the idea of ‘doubling the phase space variables’ to retrieve a positive
di8usion matrix is brie y put forward. Similar notions are also addressed in the reference book
of Gardiner, particularly in the part 7.7.4 of [15] where complex stochastic di8erential equations
are introduced. This is achieved through what is referred to as Poisson representation and the
direct analogy with our present micro-mixing modelling issue, although striking, remains to be
properly established. It seems therefore that there is room for improvement and that theoretical
work, perhaps in connection with the above-mentioned works, would greatly help to devise
better and physically sound model proposals.
At the moment, the modelling problem remains partially and even poorly treated, with the
limited objectives to represent the correct evolution of the mean scalar and the decrease
of its variance 2 instead of representing the correct evolution of the pdf pL (t; y; ). This
is really a limiting problem, and any improvement would have important consequences for
practical calculations. As an example of current closures, the simplest model replaces the real
process by a linear return-to-equilibrium to the mean (IEM) [8]
−
d =− dt ; (547)
$
where $ is the scalar time scale. It is seen that, in sample space, the second-order derivative
term has been replaced by a Arst order one (the model involves only a drift term) which
highlights its limitations. In sample space, the pdf equation is now of convection type

9p L 9 −
= pL : (548)
9t 9 $
Therefore, in homogeneous turbulence starting from an initial two-value discrete pdf, the IEM
model predicts that though the variance of 2 decreases, the shape of the pdf is conserved
contrary to the real one which tends towards a Gaussian distribution with a vanishing standard
deviation. A number of other models have been proposed that come more or less close to the
exact process. They have been discussed at length in most reviews on the subject [7–9] among
others, and these works are referred to for further details and tests of the various models.
9.3.4. Path-integral ideas for dispersion models

In this section, we go back to the core subject of this paper, two-phase ow modelling.
The propositions developed above aim at improving current stochastic models by using more
information provided by fundamental approaches (see Section 9.3.1) or by introducing spatial
information (see Section 9.3.2). This will obviously increase the complexity of the models
and increase the computational costs, and in turn could limit their range of applications. Yet,
there is clearly one aspect, even within the present one-point formalism, that is in need of
improvement: the modelling of the velocity of the uid seen by discrete particles. The mod-
elling issues have been detailed in Section 7.4. It was explained that, even if we accept the
present models for the velocity of a uid particle, the issue in turbulent two-phase ows is
to model the successive velocities of the uid seen or sampled by a discrete particle as it
moves across a turbulent ow. A careful analysis of the di8erences between these two vari-
ables, the velocity of a uid particle Uf and the velocity of the uid seen Us , has been pro-
posed in Section 7.4. However, it is clear that the derivation of a Langevin model for Us
implies additional assumptions compared to a Langevin model for Uf (see the discussion of
the crossing-trajectory e8ect in Section 7.4.1 and the application of Kolmogorov hypothesis in
Section 7.4.2). Improving present closure relations of Section 7.4.2 would certainly enhance the
precision of the numerical predictions in most practical cases. This improvement would be ob-
tained within the same one-particle pdf approaches and without going to higher pdf descriptions.
Moreover, such a description would not impair the applicability of the approach to practical
problems.
It seems di@cult to keep on striving to devise better models by Addling with the di8er-
ent terms of the stochastic equations (the drift and the di8usion coe@cients) and by trying
to obtain better comparisons against various experimental data sets. A strong reason for this
limitation is that we cannot be helped in the construction of these models by the knowledge
of the macroscopic laws (see Sections 7.1 and 7.2). Consequently, it is believed that too much
uncertainty limits the conAdence we can have in present closures and that a breakthrough is
needed. Such a breakthrough requires that the model approach be Arst put on Arm ground with
a clear theoretical setting. In other words, we need the help of a fundamental approach.
The approach we propose to follow is a path-integral and a variational approach. We Arst
outline the main characteristics of the general path-integral approach and then suggest how this
approach can be used for our modelling issue. Originated in quantum mechanics, this method,
which extends the Lagrangian=Hamiltonian variational ideas of classical mechanics, has a direct
interpretation for stochastic di8usion processes [118]. In Section 2, we have emphasized that
stochastic di8usion processes can be addressed from two points of view: the trajectory and the
pdf point of view. In a 1D formulation for a stochastic process Z, the trajectory point of view
consists in a Langevin equation
d Z = A(t; Z) d t + B(t; Z) d W ; (549)
Fig. 43. Representation of one path between the two states (t0 ; z0 ) and (t; z).
while the pdf point of view consists in the Fokker–Planck equation, satisAed by the pdf p(t; z)
of the process in sample space
9p 9[A(t; z)p] 1 92 [B2 (t; z)p]
=− + : (550)
9t 9z 2 9z 2
The correspondence is explained in the general case in Section 2.8. There is actually a third
representation which is the path-integral. This representation, built from the trajectory and pdf
points of view, expresses the probability to follow one particular path between two possible
states of the stochastic process at two di8erent times, (t1 ; z1 ) and (t2 ; z2 ). We brie y recall the
main characteristics of this way to handle stochastic processes which can be found in a few
textbooks [119 –121]. It is illustrated in Fig. 43 which represents one particular path connecting
the initial state (t0 ; z0 ) and the Anal state (t; z) through a number of intermediate values zi at
the intermediate times ti when the Anite time interval is split in small time intervals.
The transitional probability density p(t; z | t0 ; z0 ) to have the value z for the process Z at time
t given that we had the value z0 at time t0 , can be worked out by the successive use of the
Chapman–Kolmogorov relation, Eq. (14),

p(t; z | t0 ; z0 ) = · · · p(t; z | tn ; zn ) × p(tn ; zn | tn−1 ; zn−1 ) × · · ·
×p(t2 ; z2 | t1 ; z1 ) × p(t1 ; z1 | t0 ; z0 ) d zn d zn−1 : : : d z1 : (551)

If we split the time interval (t0 ; t) in N + 1 identical subintervals of equal duration Qt, with
Qt = (t − t0 )=(N + 1), we can approximate the relation between the intermediate states zi and
zi+1 by an Euler scheme (see Section 2.10)
1
(zi+1 − zi − A(ti ; zi )Qt) = d Wi : (552)
B(ti ; zi )
From the property of the Wiener process given in Section 2.4.2, the incremental conditional
pdf is

1 (zi+1 − zi − A(ti ; zi )Qt)2
p(ti+1 ; zi+1 | ti ; zi ) = exp − (553)
2(B2 (ti ; zi )Qt 2B2 (ti ; zi )Qt
and by adding all the terms within the exponential expression in Eq. (551) we get
) N +1
* N +1
1 ((zi+1 − zi )=Qt − A(ti ; zi ))2 d zi
p(t; z | t0 ; z0 ) = lim exp − Qt :
N →∞ 2 2B2 (ti ; zi ) 2(B (ti ; zi )Qt
2
i=1 i=1
(554)
The short-hand notation for the above integral is

p(t; z | t0 ; z0 ) = C exp{−S[z($)]}D[z($)] ; (555)
where C is a normalization factor and where

t
S[z($)] = L[z($)] d $ ; (556a)
t0
1
L[z($)] = L(ż($); z($)) = [ż($) − A($; z($))]2 ; (556b)
2B2 ($; z($))
where ż($) is the time derivative of z($). In these relations, the notation z($) represents a
particular trajectory between (t0 ; z0 ) and (t; z) and denotes the complete time function (for $
varying from t0 to t). The quantities S and L are functions of the whole trajectory. They
are thus functionals and we use the classical notation L[:] to indicate that L depends on all
values of z($); $ ∈ [t0 ; t]. The resulting expression, Eq. (555), yields what is referred to as the
path-integral representation of a di8usion process. It has the form of a sum over all histories,
since it expresses that the probability to start with the value z0 at time t0 and to end up with
the value z at time t is the sum over all the possible paths that connect (t0 ; z0 ) to (t; z), each
path z($) being weighted by the factor exp{−S[z($)]}.
The above expressions are similar to the variational approach to classical mechanics [122].
The functional S[z($)] can be regarded as the action along a given path z($) and the func-
tional L[z($)] as the equivalent of the classical Lagrangian extended to a stochastic context.
Loosely speaking, Eq. (555) means that the probability p(t; z | t0 ; z0 ) to go from (t0 ; z0 ) to (t; z)
is the probability to follow one particular path, summed over all the possible paths. The prob-
ability to follow one path is proportional to exp{−S[z($)]}. These forms of the Lagrangian
and of the action are referred to as Onsager–Machlup actions [123,124], who Arst derived this
representation.
The above continuous forms of the path-integral representation, Eqs. (555) and (556), are
actually symbolic expressions. From a mathematical point of view, the ‘measure’ written in
Eq. (555), D[z($)], has not a well-deAned sense on the ensemble of the trajectories z($). Further-
more, what is loosely called the ‘probability’ to follow one particular path z($), exp{−S[z($)]}
is also not well deAned. Indeed, the expression of the Lagrangian functional, L, uses the deriva-
tive ż($) along the path z($). However, we have seen in Section 2 that one of the characteristics
of a di8usion process is that the trajectories are continuous but nowhere di8erentiable! The ex-
pression entering the Lagrangian functional L is thus meaningless. Yet, the formulas can be
used in a discrete sense, as in Eq. (554). From the physical point of view, they have nev-
ertheless a clear and appealing meaning. We can consider complete paths z($) and sort them
out with respect to their relative contribution to the sum. In that sense, the best meaning for
the functional S[z($)] is perhaps as an importance function for the set of trajectories between
(t0 ; z0 ) and (t; z).
The path-integral representation, Eqs. (555) and (556), is just another way to express the
properties of a stochastic di8usion process. It does not really add something new to the knowl-
edge of Z. If we already know either the trajectory Langevin stochastic di8erential equations
or the Fokker–Planck equation, then this is simply a reformulation of a closed problem. The
strong interest of the path-integral approach, for our present concerns, is to reverse that point
of view and to follow an action principle. In that approach, a Langevin model is derived from
the functional S and L as follows [125]. If we have an idea of a suitable or a reasonable
functional, L[z($)], that represents the relative importance of the di8erent paths z($), then we
can work out a Langevin equation by the following procedure. We Arst calculate the mean path
z ($) which is the path that minimizes the action functional S[z($)] (assuming there is only
one such path),
z ($) such that minS[z($)] = S[z ($)] : (557)
z($)
The mean path corresponds to the trajectory on which the functional derivative of S is the zero
function,
S[z ($)]
=0 : (558)
z ($)
By writing the ‘derivative’ along the mean path as
ż ($) = A($; z ($)) ; (559)
we get the desired expression for the drift coe@cient A of the Langevin SDE. If we now make
a quadratic approximation of the Lagrangian around the mean path,
L[z($)] D($; z($))(z($) − z ($))2 ; (560)
where D($; z($)) is positive since z ($) is the minimum of L and of S, the di8usion coe@cient
B for the Langevin equation is then
1
B($; z($)) = (561)
2D($; z($))
and is given by the second-order derivative of the functional L[z($)] for the mean path z .
How can this approach be put to practical use for our concern to model the successive
velocities of the uid seen by discrete particles in a turbulent ow? To see this, it is necessary
to go back to the discussion of Section 7.4.1. The modelling issue is to derive a model for Us
taking into account particle inertia and crossing-trajectory e8ects. In a one-particle approach, the
dispersion model is built on given models for the Lagrangian increments of the velocity of a
uid particle and on Eulerian correlations between two particles at the same time. The classical
scheme is given in Fig. 27 where only one uid particle location is considered. That scheme was
analysed in Section 7.4.1, and to get around the di@culties it creates a simpliAed picture based
on the mean relative velocity (see Fig. 29) was used as the starting point for the derivation of
Langevin models in Section 7.4.2. Compared to what was just a qualitative analysis there, the
path-integral representation provides a powerful tool to delve into the question in a systematic
Fig. 44. Sketch of the possible Lagrangian correlation step between F(t1 ) and F(t2 ) and Eulerian correlation step
between F(t2 ) and F (t2 ) for the velocity of the uid seen.
and consistent way. If we consider a discrete particle at two time steps, say t1 and t2 , and the
relative motion of the uid particle F located around the discrete particle at time t1 , there is
actually an inAnite range of possibility for the Lagrangian and Eulerian correlation steps (see
Section 7.4.1 for the details of these correlation steps). This is represented in Fig. 44 where
four possibilities are displayed.
For the same discrete particle motion, we cannot say that the uid particle will go there,
but we can say that it has a probability to go there. Therefore, all of the four sketches in
Fig. 44 are possible but do not have the same ‘importance’. In Section 7.4.1, we already used a
similar reasoning to point out the shortcomings due to a ‘poor choice’ of the relative disposition
of the uid and the discrete particle locations (see Fig. 28). The path-integral formalism can
now help us to select consistently the ‘relevant path’ on which to build a stochastic Langevin
approximation for Us . We propose the following notion. From the previous description, we
assign to each path zs ($) connecting the value of Us at time t1 (represented by the velocity
of the particle F(t1 ) in Fig. 44) to the value of Us at time t2 (represented by the velocity of
the particle F (t2 ) in Fig. 44) an importance function, or loosely speaking a probability, say
Ls [zs ($)]. This Lagrangian functional Ls for the paths of the velocity of the uid seen can be
proposed directly. Another possibility is to try to built it by a combination of the Lagrangian
step and of the Eulerian step. Indeed, we can assign to the Lagrangian step, indicated by [L]
in Fig. 44, a Lagrangian functional, say LL . Conversely, we can assign to the Eulerian step,
indicated by [E] in Fig. 44, another Lagrangian functional, say LE , for the paths that link the
two possible values of the velocities of the uid particles F (t2 ) and F(t2 ). The sum of these
two steps, that is the link between the possible values of F(t1 ) and F (t2 ), can be regarded
as a complete path and we write zs = zL + zE . The complete Lagrangian functional, Ls , that
will describe the path of the velocity of the uid seen can be taken as the sum of the two
elementary Lagrangian functionals

Ls [z($)] = LL [zL ($)] + LE [zE (r($))] : (562)
The Eulerian step is dependent on the Lagrangian one, and we loosely indicate this by the
notation r($). The total action is then
t2
Ss [z($)] = Ls [z($)] d $ : (563)
t1
Once we know Ss , we can now apply an action principle and the above procedure to derive
a Langevin equation model. We say that the relevant or most important path is the complete
path, z s ($), that minimizes the action
z s ($) such that minSs [zs ($)] = Ss [z s ($)] : (564)
zs ($)
This should yield the drift terms of the Langevin approximation while the positive function that
is the coe@cient in the quadratic expansion around z s ($) should give the di8usion coe@cient.
At this point, it must be repeated that the previous description does not pretend to lay out a
complete and Anal solution. That description should simply be regarded as a proposal. It is not
claimed that following the path-integral representation is a necessity, but it is merely suggested
that, through this formalism, one can approach the problem in a rigorous framework. Indeed,
the knowledge of the action leads to a clear deAnition of the relevant path and may help to
avoid the di@culties encountered in the heuristic models which are mentioned in Section 7.4. At
the moment, this path-integral approach has never been followed. Nevertheless, it appears as an
interesting possibility to marry theoretical tools from other Aelds of physics and rather practical
concerns of two-phase ow modelling. Much work still remains to be done which requires
insights from researchers conversant with the path-integral concepts and their manipulation. If
we accept a Langevin model for the velocities of a uid particle, the Lagrangian functional
(for the Arst Lagrangian correlation step [L]) LL is given by an Onsager–Machlup expression,
Eq. (556). On the other hand, a proper expression for the Lagrangian functional describing the
Eulerian correlation [E] has yet to be proposed. As mentioned in Section 7.4.1, one must also
account for the fact that the Eulerian step is actually conditioned on the Lagrangian one. It is
here simply hoped that these challenges will be deemed worthy of consideration.
9.3.5. Particle–particle interactions and granular behaviour

Up till now, we have mainly treated the di8usion and dispersion problems (di8usion for
uid particles and dispersion for discrete particles) in Sections 6 and 7, respectively, and the
problem of turbulence modulation has been brie y touched in Section 8. Broadly speaking,
one can state that as the concentration of discrete particles increases, one encounters Arst the
one-way coupling case (where the discrete particles are dispersed by the turbulent uid), then
the two-way coupling situation (where particles modify the intensity and possibly the nature
of turbulence) and Anally four-way coupling, when the relative distance between particles is
small enough so that there are particle–particle interactions (particles start to collide in the case
of hard spheres or there is coalescence and break-up in the case of particles which can be
deformed like bubbles and droplets).
Here, no attempt at classifying turbulent dispersed two-phase ows is proposed, i.e. if it is

possible to predict when turbulence modulation and particle–particle interactions become relevant
mechanisms based on, for example, some characteristic time scales. Instead, the physics of
four-way coupling are brie y presented and discussed from the physical and modelling points
of view and this only for hard spheres, a case which is line with the Aeld equations presented
in Section 8. As far as the physics of particle–particle interactions between non-rigid particles
is concerned, the reader can And suitable information in [126,127].
In the case of hard spheres immersed in an interstitial uid, it is quite intricate to address
the problem in a general way. Instead, it is often necessary to consider distinct cases that
correspond to di8erent areas of physics. If the uid ow is not turbulent (which is not the
case of the present work), a problem often referred to as sedimentation (discrete particles
immersed in a uid whose density has the same order of magnitude as p ), hydrodynamic
interactions become important as mentioned in Section 7 and the nature of the contact between
particles, if any, is a subject of controversy [128]. Here, only turbulent uid ows are under
consideration and hydrodynamic interactions are neglected. There is no formal proof for this,
but some guidance can be found in the work of Sa8man [129], who showed that as long as
the relative distance between particles is large enough, the velocity perturbations on a given
particle induced by the surrounding particles remain small. Let us deAne a time scale $c which
characterizes particle–particle interactions, for example the time experienced by a given particle
between two consecutive binary collisions as in the spirit of the kinetic theory [20]. One can
state that when $c $p , there is almost no in uence of the uid on the collisional mechanisms
(although energy can still be mainly supplied by the uid provided its agitation is high enough)
a regime which is called dry granular ows in the engineering community and more recently
granular matter in physics (a large collection of small grains, under conditions in which the
Brownian motion of the grains is negligible [2]). When $p $c , collisions are controlled by
uid-dynamic properties, a situation which is of course much more complex than the case of
granular matter where the in uence of the uid is negligible. In the case where $p $c , the
motion of particles is mainly controlled by aerodynamic forces. The only use of $p and $c is,
of course, not enough for an exhaustive deAnition of the di8erent regimes. One might need to
know how the particles respond to gas phase turbulence by comparing $p and TL , see Section 6
(the ratio $p =TL is called the Stokes number).
A typical example of the complexity of the physics when the interstitial uid in uences the
collisional motion between the particles ($p $c ) is the evaluation of the time scale $c . In dry
granular ows that are rapidly sheared, by analogy with the kinetic theory (this will soon be
explained) and assuming molecular chaos (two colliding particles have uncorrelated velocities),
$c is given as the ratio between the mean free path (which is a function of dp and the particle
volumetric fraction) and a characteristic uctuating velocity. The assumption of molecular chaos
is valid when TL $p , that is, when the particle motion is hardly a8ected by the turbulent motion
of the uid. However when particle motion is in uenced by the turbulent motion of the uid,
$p TL , the assumption of molecular chaos is not valid anymore. If large scale instabilities
(or turbulence) are present in the uid, one might end up with a situation where particles are
dragged by the uid (particles relax fast to changes in the local instantaneous uid velocity
Aeld) and do not collide since their motion is well correlated with the large scale motions of
the uid (or if they happen to collide, their velocities will be correlated), i.e. $c → ∞. In that
Fig. 45. Energy path in a rapid granular ow (when the interstitial uid is involved in the granular ow, additional
mechanisms are indicated in bold style).
case, a spatial information might be needed to solve the problem. Before we go on to some
proposals and perspectives for this type of ows, we start with a description of granular matter
which is a simpliAed case of our general problem.
The interest for granular ows is not new and outstanding pioneers like Coulomb, Reynolds
and Bagnold [130], to name of few, had already gathered knowledge in the science of granular
materials. Over the years the subject has received a great deal of attention in chemical and
mechanical engineering (where granular ows are ubiquitous) and more recently in physics
where granular matter is a new type of condensed matter, and it has become a fruitful metaphor
for describing microscopic, dissipative dynamical systems and the concept of self-organized
criticality [131,132]. Even though there is a striking analogy between granular matter and the
other forms of matter (solid, liquid, gas), granular matter exhibits unique properties in both its
solid-like and uid-like behaviour [2,133]. This is mainly due to two reasons:
(i) ordinary temperature plays no role (the relevant energy scale is potential energy—and also
kinetic energy if particles are dragged by a uid—but not thermal energy kB T ),
(ii) the interactions between the particles (grains) are dissipative because of static friction
(solid-like state) or the inelasticity of collisions ( uid-like state)—and also friction if par-
ticles are dragged by a uid.
Granular matter is an unusual solid, liquid or gas. Fill a container with sand and the pressure
at the bottom will reach a maximum value independent of the height. Vibrate the container
and one will And that the degree of compaction is history dependent. Pour the grains on at
table and motion will stop almost instantaneously. If a heap is formed, pour some more grains
and phase transitions (solid-like and uid-like) can be observed. These simple experiments (and
many others) clearly indicate that granular matter is a non-conventional uid or liquid. These
non-conventional behaviours raise a fundamental question: is it possible to describe granular
matter using a Aeld approach as it is done in continuum mechanics? Is it possible to describe
phase transition with classical arguments from statistical physics? There is no general agreement
on the subject. For example, as far as the issue of the derivation of hydrodynamic equations in
the uid-like case is concerned, some authors are inclined to say ‘no’ [134] whereas for others
it is a subject of controversy [133].
In the Aeld of classical mechanics, the problem of the derivation of Aeld equations has
been addressed for many years for the so-called rapid granular ows, Campbell [135], i.e. the
uid-like behaviour of granular matter that is rapidly sheared so that there is a constant free
motion of the particles where only short duration contacts are involved. In this particular case,
the concept of granular temperature can be introduced, Tp = up; i up; i =3. This internal energy
which is supplied by external forces is dissipated into heat by inelastic collisions. The energy
path is described as follows, Fig. 45. Driving forces (gravity, motion of external boundaries,
forces exerted by the uid) supply the system of grains with kinetic energy. Part of the kinetic
energy is converted, via shear work (due to velocity gradients), into random agitation of the
particles (granular temperature). This internal energy is dissipated into (thermodynamic) heat
due to collisions (small deformations at the surface of the particles). When the interstitial uid
drags the particles, heat is also dissipated due to friction (drag force) if one assumes that the
particles are smaller than the Kolmogorov length scale so that perturbations in the uid velocity
Aeld are directly dissipated into heat. If not, spatial information is once again needed.
Once the concepts of rapid granular ows and granular temperature are accepted, and es-
pecially their relevance in physical and engineering applications, the physical similarity with
the kinetic theory of gases is a fact. The question which remains to be answered is: to what
extend can dissipative gases At in the frame of the kinetic theory? Under what assumptions
can we derive macroscopic equations? In the particular case of a population of smooth, rigid,
non-rotating, identical spheres, this question was answered mainly by Savage and Jenkins, see
for example [136,137], and their results were later on extended to gas–solid ows [78,79]. In
the case where the interstitial gas drags the particles, the procedure can be sketched as follows:
unclosed Boltzmann equation

↓
simpliAed closure on Us; i | yp ; Vp
molecular chaos assumption
↓
closed Boltzmann equation
↓
unclosed mean Aeld equations
↓
small departure from equilibrium
Grad ’s 13-moment approximation
simpliAed collision model and 1 − e1
↓
closed mean Aeld equations
The starting point of the ‘kinetic theory of granular ows’ is an unclosed Boltzmann-like equa-
tion on the one-point particle pdf p(t; yp ; Vp ), Eq. (373), where an additional term accounting
for the time rate of change of p(t; yp ; Vp ) due to collisions is introduced,

9p 9 9 Vp; i 9 1 9p
+ [Vp; i p] − p =− Us; i | yp ; Vp p + : (565)
9t 9yp; i 9Vp; i $p 9Vp; i $p 9t c
This Boltzmann-like equation is closed by making a simpliAed assumption on Us; i | yp ; Vp
and by assuming molecular chaos, that is the two-point (for two discrete particles) pdf is the
product of the one-point particle pdfs. Then unclosed mean Aeld equations can be derived using
the procedure outlined in Section 8.5.3. Closure at the macroscopic level can be performed
by supposing that the system is close to equilibrium (perturbation analysis), that the form of
the pdf is known in advance (Grad’s 13-moment approximation) and that simpliAed collision
models can be used (binary collisions are characterized only by the restitution coe@cient e and
collisions are nearly elastic). Expressions for the mean ux of momentum and energy, and for
the mean dissipation rate can then be derived analytically for the simpliAed collision integrals,
i.e. closed mean Aeld equations are written for the mean density, the mean velocity Aeld and
the granular temperature. The form of the equations and the technical aspect of the problem
will not be discussed but, roughly speaking, it can be stated that mean Aeld equations can be
derived when we are in the case of an (almost) dense gas close to equilibrium. Some e8orts
are still made in the Aeld to include more physics (binary mixtures, accurate collision models,
rotation on the particles, in uence of the gas by working on p(t; yp ; Vp ; Vs ), etc.). The spirit of
the method has however not changed and one is left with the classical drawbacks when closure
is performed at the macroscopic level as explained in Section 6.
At the microscopic level, it is possible today, with modern computer technology, to perform
calculations of granular ows and turbulent gas-solid ows. The microscopic simulations of
granular ows, for example [138–140], are a powerful tool to study granular matter (for example
inelastic collapse in the liquid-like form) since precise information can be extracted and more
realistic physics can be put into the model (collision models, rotation of the particles). However,
it is not yet reasonable to claim that these simulations are real microscopic ones since the
collisional models are simpliAed [141]. In the case of gas–solid suspensions the di@culty is
increased by the presence of the uid. Real DNS is not possible (where particles become
moving boundaries) and most of the time particular turbulent Aelds are generated and large
eddy simulation is used together with a particle-point approximation [142] (the size of the LES
Alter is chosen in a way so that the unresolved velocity uctuations do not a8ect the motion of
the particles). Even though these methods provide fruitful ‘numerical experiments’, they su8er
from two major drawbacks:
(i) the number of degrees of freedom is huge,
(ii) the collision-tracking algorithm imposes stringent numerical constraints [138].
The leading idea of the present paper is that, when the number of degrees of freedom of a
system is too large, one has to come with a contracted description, i.e. to describe the system at
a mesoscopic level. The treatment of collisions in granular matter and dispersed two-phase ows
can At in this approach. If one is interested in one-point information for the discrete particles,
the exact trajectories of the discrete particles can be approximated by stochastic particles (in
order to reproduce the statistical signature of particle–particle collisions) as in the spirit of
DSMC [143] (direct simulation Monte Carlo). The trajectories of the stochastic process are no
longer continuous (there are velocity discontinuities) and di8usion processes cannot be directly
applied as a modelling tool. Instead, more general Markov processes must be used, for example
the combination of di8usion process and a jump process, see Section 2.
A Ast proposal could be to model the statistical signature of the collision with a generalized
Poisson process. For example, for a given particle under time interval d t, the velocity increment
becomes,
d Xt = A(t; X; F(t; X )) + B(t; X; G(t; X )) d W + d Nt ; (566)

where
d Nt = 0 with probability 1 − #(t; x; h(t; x)) d t ;
d Nt = Yt − Xt with probability #(t; x; h(t; x)) d t :
Here, we obtain a generalized Mc-Kean stochastic equation. Yt is a random variable which is
speciAed by a conditional pdf g(y | t; x). Since #(t; x; h(t; x)) and g(y | t; x) are independent, the
pdf associated to Nt is
W (y | t; x) = #(t; x; h(t; x)) g(y | t; x) ; (567)
that is, roughly speaking, the probability to jump from Xt = x to Yt = y is the product of the
probability that a jump occurs and the probability to have the speciAed amplitude. It is obvious
that

g(y | t; x) d y = 1 (568)
(since g(y | t; x) is a pdf) and inserting Eq. (567) into Eq. (34), one obtains for the transitional
pdf p(t; x | t0 ; x0 )
9p 9 1 92 2
= − (A(t; x; F(t; x)) p) + (B (t; x; H (t; x))p)
9t 9x 2 9x 2
+ #(t; y; h(t; y))g(x | t; y) p(t; y | t0 ; x0 ) d y − #(t; x; h(t; x)) p(t; x | t0 ; x0 ) : (569)
The modelling problem is now to And expressions for #(t; x; h(t; x)) and g(y | t; x) based on
physical arguments. By doing so, the numerical treatment of collisions could be signiAcantly
simpliAed, i.e. by applying a mesoscopic description.
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The PDF approach to turbulent polydispersed two-phase ﬂows

Article in Physics Reports · October 2001

The user has requested enhancement of the downloaded file.

Jean-Pierre MINIER, Eric PEIRANO

AMSTERDAM } LONDON } NEW YORK } OXFORD } PARIS } SHANNON } TOKYO

The pdf approach to turbulent polydispersed two-phase ows

Jean-Pierre Miniera ; ∗ , Eric Peiranob

Received December 2000; editor : I: Procaccia

1. Introduction 3 3.1. Complete and reduced pdf equations 29

6.3. Relations to classical approaches 67 8. Two-point uid–particle pdf models in

Fig. 1. Di8erent two-phase ow regimes in a heat exchanger.

1.1. Two-phase ;ow regimes

Fig. 2. A circulating uidized bed combustor.

1.2. An industrial example of dispersed two-phase ;ows

• reactive ows (heterogeneous and homogeneous combustion),

1.3. Mathematical and physical approach

1.3.1. The present objectives

1.3.2. Choice of the modelling approach

1.3.3. Choice of a rigorous presentation

1.4. Description of the contents

• What are the mathematical tools which are required?

2. Mathematical background on stochastic processes

2.1. Random variables

2.1.1. Conditional expectations

Denition 1. If X is a random variable on the probability space (; F; P) and if F is a

2.1.2. Weak and strong convergence of random variables

2.2. Stochastic processes

(t; !) → X (t; !) : (12)

2.3. Markov processes

Manipulation of general stochastic processes is di@cult since it requires to handle N -point

• Kolmogorov backward equation:

2.4. Key Markov processes

2.4.1. The Poisson process

Nt = (Nt − Nt )2 1=2 = (#t)1=2 : (25)

2.4.2. Wiener process and Brownian motion

C(t; t ) = (Xt − Xt )(Xt − Xt ) : (27)

For the Wiener process, these deAning functions are

2.5. General Chapman–Kolmogorov equations

it follows that p(t; x) satisAes the same forward equation.

2.5.1. The Master equation

2.5.2. The Liouville equation

2.5.3. The Fokker–Planck equation

2.6. Stochastic diCerential equations and diCusion processes

which is a short-hand notation for

2.7. Stochastic calculus

2.8. Langevin and Fokker–Planck equations

2.9. The probabilistic interpretation of PDEs

2.10. A word on numerical schemes

3. Hierarchy of pdf descriptions

3.1. Complete and reduced pdf equations

Z = (Z11 ; Z21 ; : : : ; Zp1 ; Z12 ; Z22 ; : : : ; Zp2 ; : : : ; Z1N ; Z2N ; : : : ; ZpN ) :

3.2. BBGKY hierarchy

Classical mechanical questions are well represented by N -particle deterministic problems,

s particles, ps (t; y1 ; V1 ; : : : ; ys ; Vs ) is written for the sake of simplicity as ps (t; 1; : : : ; s) = ps and

where the Ls operator is given by

the following set of equations is obtained:

3.2.1. Normalization of the distribution function

3.3. Hierarchy between state vectors

4. Stochastic di-usion processes for modelling purposes

4.1. The shift from an ODE to a SDE

Let us consider the case of a system Xt whose time rate of change is Yt

4.2. Modelling principles

Denition 1. If X is a random variable on the probability space (; F; P) and if F is a

Nt = (Nt − Nt )2 1=2 = (#t)1=2 : (25)

C(t; t ) = (Xt − Xt )(Xt − Xt ) : (27)

=<(U − V )(X − y) : (116)

Ua (t) Ua (t + s)

$(r) = r=u(r) = (r 2 = +)1=3 = $@ (r=@)2=3 ∼ T (r=L)2=3 : (138b)

D⊥ = (U⊥; r )2 = 43 C(+r)2=3 ; (140b)

F3 = (U; r )3 = 45 +r : (140c)

U$ v(−U (t0 ; x0 )$; $) : (151)

D∗ = D (U0 $) ; ∗

D∗ = C(+U0 $)2=3 ; ∗

d P = d F(r) u(r) = T0 f(r)2 dV (190)

9Ui 9Ui 1 9P 9ui uj

denoted (t; x), is of course deAned by

HN = H (ZN ) → H (Z) : (229)

9pE (V) 9pE (v) 9Uj 9pE (v)

dUi 9pE 9Uj 9pE