Examples of renormalized SDEs

DOI10.1007/978-3-319-74929-7_19MaRDI QIDQ1710437zbMATH OpenOpenAlexFDO

Authors Peter Friz, Yvain Bruned, Ilya Chevyrev

Publication date 22 January 2019

Full work available at URL https://arxiv.org/abs/1701.01158

zbMATH Keywords

Gaussian analysisrenormalizationrough paths

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic analysis (60H99)

Abstract: We demonstrate two examples of stochastic processes whose lifts to geometric rough paths require a renormalisation procedure to obtain convergence in rough path topologies. Our first example involves a physical Brownian motion subject to a magnetic force which dominates over the friction forces in the small mass limit. Our second example involves a lead-lag process of discretised fractional Brownian motion with Hurst parameter $Hin(1/4,1/2)$, in which the stochastic area captures the quadratic variation of the process. In both examples, a renormalisation of the second iterated integral is needed to ensure convergence of the processes, and we comment on how this procedure mimics negative renormalisation arising in the study of singular SPDEs and regularity structures.

Recommendations

• A renormalized rough path over fractional Brownian motion
• Physical Brownian motion in a magnetic field as a rough path
• SPDEs and renormalisation
• Renormalisation of stochastic partial differential equations
• Renormalising SPDEs in regularity structures

Cited in

(6)

• Renormalisation from non-geometric to geometric rough paths
• A rough path perspective on renormalization
• Anomalous thermodynamics in homogenized generalized Langevin systems
• Flows driven by multi-indices rough paths
• Geometric embedding for regularity structures
• Non-Gaussianity of invariant measures to SPDEs in Da Prato-Debussche regime

This page was built for publication: Examples of renormalized SDEs

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1710437)