Superdiffusive limits for deterministic fast-slow dynamical systems

被引:11
|
作者
Chevyrev, Ilya [1 ]
Friz, Peter K. [2 ,3 ]
Korepanov, Alexey [4 ]
Melbourne, Ian [5 ]
机构
[1] Univ Edinburgh, Sch Math, Edinburgh EH9 3FD, Midlothian, Scotland
[2] Tech Univ Berlin, Inst Math, Berlin, Germany
[3] Weierstr Inst Angew Anal & Stochast, Berlin, Germany
[4] Univ Exeter, Dept Math, Exeter EX4 4QF, Devon, England
[5] Univ Warwick, Math Inst, Coventry CV4 7AL, W Midlands, England
基金
英国工程与自然科学研究理事会;
关键词
DIFFERENTIAL-EQUATIONS DRIVEN; WEAK-CONVERGENCE; LEVY PROCESSES; SKEW-PRODUCT; ROUGH PATHS; P-VARIATION; THEOREMS;
D O I
10.1007/s00440-020-00988-5
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
We consider deterministic fast–slow dynamical systems on Rm× Y of the form {xk+1(n)=xk(n)+n-1a(xk(n))+n-1/αb(xk(n))v(yk),yk+1=f(yk),where α∈ (1 , 2). Under certain assumptions we prove convergence of the m-dimensional process Xn(t)=x⌊nt⌋(n) to the solution of the stochastic differential equation dX=a(X)dt+b(X)⋄dLα,where Lα is an α-stable Lévy process and ⋄ indicates that the stochastic integral is in the Marcus sense. In addition, we show that our assumptions are satisfied for intermittent maps f of Pomeau–Manneville type. © 2020, The Author(s).
引用
收藏
页码:735 / 770
页数:36
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