Generating diffusions with fractional Brownian motion

DOI10.1007/S00220-022-04462-2MaRDI QIDQ6377679arXivFDO

Authors Martin Hairer, Xuemei Li

Publication date 14 September 2021

Published in arXiv

Full work available at URL https://doi.org/10.1007/S00220-022-04462-2

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Rough paths (60L20)

arXiv classification

math-phmath.MPmath.PR

Abstract: We study fast / slow systems driven by a fractional Brownian motion $B$ with Hurst parameter $Hin(frac13,1]$. Surprisingly, the slow dynamic converges on suitable timescales to a limiting Markov process and we describe its generator. More precisely, if $Y^{v}arepsilon$ denotes a Markov process with sufficiently good mixing properties evolving on a fast timescale $varepsilonll1$, the solutions of the equation ${\displaystyle }$ dX^varepsilon = varepsilon^{frac 12-H} F(X^varepsilon,Y^varepsilon),dB+F_0(X^varepsilon,Y^varepsilon),dt; ${\displaystyle }$ converge to a regular diffusion without having to assume that $F$ averages to $0$, provided that $H<frac12$. For $H>frac12$, a similar result holds, but this time it does require $F$ to average to $0$. We also prove that the $n$-point motions converge to those of a Kunita type SDE. One nice interpretation of this result is that it provides a continuous interpolation between the homogenisation theorem for random ODEs with rapidly oscillating right-hand sides ($H=1$) and the averaging of diffusion processes ($H=frac12$).

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