Time-reversibility and nonvanishing Lévy area

被引：0

作者：

Gottwald, Georg A. ^{[1
]}

Melbourne, Ian ^{[2
]}

机构：

[1] Univ Sydney, Sch Math & Stat, Sydney, NSW 2006, Australia

[2] Univ Warwick, Math Inst, Coventry CV4 7AL, England

来源：

NONLINEARITY | 2024年 / 37卷 / 07期

关键词：

stochastic integrals; Wong-Zakai approximation; homogenisation; deterministic fast-slow systems; LEVY AREA; DRIFT;

D O I：

10.1088/1361-6544/ad4947

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We give a complete description and clarification of the structure of the L & eacute;vy area correction to It & ocirc;/Stratonovich stochastic integrals arising as limits of time-reversible deterministic dynamical systems. In particular, we show that time-reversibility forces the L & eacute;vy area to vanish only in very specific situations that are easily classified. In the absence of such obstructions, we prove that there are no further restrictions on the L & eacute;vy area and that it is typically nonvanishing and far from negligible.

引用

页数：12

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