





















Abstract:We study Itô SDE systems driven by oscillating functions of a single Itô 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.
| Subjects: | Probability (math.PR); Mathematical Physics (math-ph) |
| MSC classes: | 60H10, 70Lxx, 60G53 |
| Cite as: | arXiv:2312.01618 [math.PR] |
| (or arXiv:2312.01618v4 [math.PR] for this version) | |
| https://doi.org/10.48550/arXiv.2312.01618 arXiv-issued DOI via DataCite |
From: Tanner Reese [view email]
[v1]
Mon, 4 Dec 2023 04:19:10 UTC (7 KB)
[v2]
Tue, 21 Oct 2025 02:48:27 UTC (20 KB)
[v3]
Mon, 27 Oct 2025 05:28:31 UTC (20 KB)
[v4]
Sat, 23 May 2026 23:33:58 UTC (23 KB)
此内容由惯性聚合(RSS阅读器)自动聚合整理,仅供阅读参考。 原文来自 — 版权归原作者所有。