In recent years, substantial progress was made towards understanding convergence of fast-slow deterministic systems to stochastic differential equations. In contrast to more classical approaches, the assumptions on the fast flow are very mild. We survey the origins of this theory and then revisit and improve the analysis of Kelly-Melbourne [Ann. Probab. Volume 44, Number 1 (2016), 479–520], taking into account recent progress in p-variation and càdlàg rough path theory.
Multiscale Systems, Homogenization, and Rough Paths / Chevyrev, Ilya; Friz, Peter K.; Korepanov, Alexey; Melbourne, Ian; Zhang, Huilin. - 283:(2019), pp. 17-48. ( Conference in Honor of the 75th Birthday of S.R.S. Varadhan, 2016 Technische Universität Berlin, Berlin - Germany 15 - 19 August, 2016) [10.1007/978-3-030-15338-0_2].
Multiscale Systems, Homogenization, and Rough Paths
Chevyrev, Ilya;
2019-01-01
Abstract
In recent years, substantial progress was made towards understanding convergence of fast-slow deterministic systems to stochastic differential equations. In contrast to more classical approaches, the assumptions on the fast flow are very mild. We survey the origins of this theory and then revisit and improve the analysis of Kelly-Melbourne [Ann. Probab. Volume 44, Number 1 (2016), 479–520], taking into account recent progress in p-variation and càdlàg rough path theory.| File | Dimensione | Formato | |
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