On the Approximation of Differential Equations Driven by Some Random Processes as Rough Paths
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arXiv
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| Auteurs principaux: | , , |
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| Format: | Preprint |
| Publié: |
2025
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| _version_ | 1866914450024431616 |
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| author | Zhao, Qingming Liu, Xueru Wang, Wei |
| author_facet | Zhao, Qingming Liu, Xueru Wang, Wei |
| contents | We explore the limit of stochastic differential equations driven by some random processes satisfying singularly perturbed second order stochastic differential equations. The main tool we employ is the universal limit theorem in rough path theory. To this end, we lift the random process as a rough path in a natural manner. After suitable change-of-variable, the random process has a form of slow-fast system. Moment estimates of both the random process and its lift are given, followed by which, averaging technique and convergence theorem in rough path topology are used to identify the limit. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2512_03686 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | On the Approximation of Differential Equations Driven by Some Random Processes as Rough Paths Zhao, Qingming Liu, Xueru Wang, Wei Probability We explore the limit of stochastic differential equations driven by some random processes satisfying singularly perturbed second order stochastic differential equations. The main tool we employ is the universal limit theorem in rough path theory. To this end, we lift the random process as a rough path in a natural manner. After suitable change-of-variable, the random process has a form of slow-fast system. Moment estimates of both the random process and its lift are given, followed by which, averaging technique and convergence theorem in rough path topology are used to identify the limit. |
| title | On the Approximation of Differential Equations Driven by Some Random Processes as Rough Paths |
| topic | Probability |
| url | https://arxiv.org/abs/2512.03686 |