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arXiv · 1712.01343

Multiscale systems, homogenization, and rough paths

Ilya Chevyrev·Peter K. Friz·Alexey Korepanov·Ian Melbourne·Huilin Zhang
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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 c\`adl\`ag rough path theory.

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Ilya Chevyrev, Peter K. Friz, Alexey Korepanov, Ian Melbourne, Huilin Zhang. 2017-12-04. Multiscale systems, homogenization, and rough paths. https://doi.org/10.1007/978-3-030-15338-0_2

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