On the importance of the Lévy area for studying the limits of functions of converging stochastic processes. Application to homogenization

zbMATH Open1199.60292MaRDI QIDQ3392345FDOQ3392345

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Publication date: 14 August 2009

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zbMATH Keywords

homogenizationrough paths\(p\)-variationconvergence of stochastic processesapproximation of SDEs by ODEsLévy area

Mathematics Subject Classification ID

Diffusion processes (60J60) Functional limit theorems; invariance principles (60F17) Homogenization in context of PDEs; PDEs in media with periodic structure (35B27) Martingales with continuous parameter (60G44)

Cited In (15)

• On the convergence of stochastic integrals driven by processes converging on account of a homogenization property
• Good rough path sequences and applications to anticipating stochastic calculus
• Rough path recursions and diffusion approximations
• Smooth approximation of stochastic differential equations
• Yet another introduction to rough paths
• Central limit theorems for non-symmetric random walks on nilpotent covering graphs. I
• Partial differential equations driven by rough paths
• Lévy area with a drift as a renormalization limit of Markov chains on periodic graphs
• Rough McKean-Vlasov dynamics for robust ensemble Kalman filtering
• Additive functionals as rough paths
• On \((p,q)\)-rough paths
• Pathwise solutions for fully nonlinear first- and second-order partial differential equations with multiplicative rough time dependence
• Rough invariance principle for delayed regenerative processes
• Area anomaly in the rough path Brownian scaling limit of hidden Markov walks
• Canonical RDEs and general semimartingales as rough paths

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