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arXiv · 2210.11867

Time-reversibility and nonvanishing Levy area

Georg Gottwald·Ian Melbourne
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Abstract

We give a complete description and clarification of the structure of the Levy area correction to Ito/Stratonovich stochastic integrals arising as limits of time-reversible deterministic dynamical systems. In particular, we show that time-reversibility forces the Levy area to vanish only in very specific situations that are easily classified.

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Georg Gottwald, Ian Melbourne. 2022-10-21. Time-reversibility and nonvanishing Levy area. https://arxiv.org/abs/2210.11867

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