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Multiscale systems, homogenization, and rough paths

Abstract:
In recent years, substantial progress was made towards understanding convergence of fast-slow deterministic systems to stochastic differential equations. In contrast to more classical approaches, the assumptions on the fast flow are very mild. We survey the origins of this theory and then revisit and improve the analysis of Kelly-Melbourne [Ann. Probab. Volume 44, Number 1 (2016), 479-520], taking into account recent progress in p-variation and càdlàg rough path theory.
Publication status:
Published
Peer review status:
Peer reviewed

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Publisher copy:
10.1007/978-3-030-15338-0_2

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Institution:
University of Oxford
Division:
College Only
Oxford college:
St John's College
Role:
Author
ORCID:
0000-0002-5630-9694
Publisher:
Springer
Host title:
Probability and Analysis in Interacting Physical Systems
Series:
Springer Proceedings in Mathematics and Statistics
Journal:
Probability and Analysis in Interacting Physical Systems More from this journal
Volume:
283
Pages:
17-48
Publication date:
2019-05-25
Acceptance date:
2019-03-06
Event title:
International Conference in Honor of the 75th Birthday of S.R.S. Varadhan
Event location:
Berlin, Germany
DOI:
EISBN:
9783030153380
ISBN:
9783030153373
Language:
English
Keywords:
Pubs id:
pubs:998135
UUID:
uuid:e982530f-ce42-4b9d-a808-fbf0d7b9c978
Local pid:
pubs:998135
Source identifiers:
998135
Deposit date:
2019-05-14

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