Diffusive and rough homogenisation in fractional noise field
Probability
2020-06-23 v1
Abstract
With recently developed tools, we prove a homogenisation theorem for a random ODE with short and long-range dependent fractional noise. The effective dynamics are not necessarily diffusions, they are given by stochastic differential equations driven simultaneously by stochastic processes from both the Gaussian and the non-Gaussian self-similarity universality classes. A key lemma for this is the `lifted' joint functional central and non-central limit theorem in the rough path topology.
Cite
@article{arxiv.2006.11544,
title = {Diffusive and rough homogenisation in fractional noise field},
author = {Johann Gehringer and Xue-Mei Li},
journal= {arXiv preprint arXiv:2006.11544},
year = {2020}
}
Comments
This is the revised second part of arXiv:1911.12600