Smooth approximation of stochastic differential equations

DOI10.1214/14-AOP979MaRDI QIDQ272965zbMATH OpenOpenAlexFDO

Authors David Kelly, Ian Melbourne

Publication date 21 April 2016

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1403.7281, https://projecteuclid.org/euclid.aop/1454423047

zbMATH Keywords

iterated invariance principlerough pathsstochastic differential equationsstochastic integralsuniform hyperbolicityWong-Zakai approximation

Mathematics Subject Classification ID

Dynamical systems and their relations with probability theory and stochastic processes (37A50) Uniformly hyperbolic systems (expanding, Anosov, Axiom A, etc.) (37D20) Nonuniformly hyperbolic systems (Lyapunov exponents, Pesin theory, etc.) (37D25) Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17) Stochastic integrals (60H05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: Consider an It^{o} process $X$ satisfying the stochastic differential equation $dX=a(X),dt+b(X),dW$ where $a,b$ are smooth and $W$ is a multidimensional Brownian motion. Suppose that $W_n$ has smooth sample paths and that $W_n$ converges weakly to $W$. A central question in stochastic analysis is to understand the limiting behavior of solutions $X_n$ to the ordinary differential equation $d{X}_n=a(X_n),dt+b(X_n),d{W}_n$. The classical Wong--Zakai theorem gives sufficient conditions under which $X_n$ converges weakly to $X$ provided that the stochastic integral $intb(X),dW$ is given the Stratonovich interpretation. The sufficient conditions are automatic in one dimension, but in higher dimensions the correct interpretation of $intb(X),dW$ depends sensitively on how the smooth approximation $W_n$ is chosen. In applications, a natural class of smooth approximations arise by setting $W_n(t)=n^{-1/2}in{t}_0^{nt}vcircph{i}_s,ds$ where $ph{i}_t$ is a flow (generated, e.g., by an ordinary differential equation) and $v$ is a mean zero observable. Under mild conditions on $ph{i}_t$, we give a definitive answer to the interpretation question for the stochastic integral $intb(X),dW$. Our theory applies to Anosov or Axiom A flows $ph{i}_t$, as well as to a large class of nonuniformly hyperbolic flows (including the one defined by the well-known Lorenz equations) and our main results do not require any mixing assumptions on $ph{i}_t$. The methods used in this paper are a combination of rough path theory and smooth ergodic theory.

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Cited in

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