Continuous data assimilation with stochastically noisy data**Dedicated to Professor Ciprian Foias on the occasion of his 80th birthday.

Abstract

We analyse the performance of a data-assimilation algorithm based on a linear feedback control when used with observational data that contains measurement errors. Our model problem consists of dynamics governed by the two-dimensional incompressible Navier–Stokes equations, observational measurements given by finite volume elements or nodal points of the velocity field and measurement errors which are represented by stochastic noise. Under these assumptions, the data-assimilation algorithm consists of a system of stochastically forced Navier–Stokes equations. The main result of this paper provides explicit conditions on the observation density (resolution) which guarantee explicit asymptotic bounds, as the time tends to infinity, on the error between the approximate solution and the actual solutions which is corresponding to these measurements, in terms of the variance of the noise in the measurements. Specifically, such bounds are given for the limit supremum, as the time tends to infinity, of the expected value of the L2-norm and of the H1 Sobolev norm of the difference between the approximating solution and the actual solution. Moreover, results on the average time error in mean are stated.