Equations driven by fast-oscillating functions of an It\^o diffusion process

Abstract

We study It\^o SDE systems driven by oscillating functions of a single It\^o diffusion process. In the limit when oscillations become fast, we show that the solution process converges in law to the process defined by an SDE system driven by a multivariate Wiener process whose covariance we calculate explicitly. Interestingly, the limiting system of SDEs are most naturally stated using the Stratonovich integral. The problem has been originally motivated by experimental work and special cases of theorems proved here provide a rigorous treatment of equations arising from physics.