A Note on Diffusion Limits of Chaotic Skew Product Flows
Abstract
We provide an explicit rigorous derivation of a diffusion limit - a stochastic differential equation with additive noise - from a deterministic skew-product flow. This flow is assumed to exhibit time-scale separation and has the form of a slowly evolving system driven by a fast chaotic flow. Under mild assumptions on the fast flow, we prove convergence to a stochastic differential equation as the time-scale separation grows. In contrast to existing work, we do not require the flow to have good mixing properties. As a consequence, our results incorporate a large class of fast flows, including the classical Lorenz equations.
Cite
@article{arxiv.1101.3087,
title = {A Note on Diffusion Limits of Chaotic Skew Product Flows},
author = {I. Melbourne and A. M. Stuart},
journal= {arXiv preprint arXiv:1101.3087},
year = {2015}
}
Comments
The updated version contains a correction to the proof of the main result, and removes an unnecessary large deviation assumption