Time-reversibility and nonvanishing Levy area
Dynamical Systems
2024-07-11 v2 Probability
Abstract
We give a complete description and clarification of the structure of the Levy area correction to Ito/Stratonovich stochastic integrals arising as limits of time-reversible deterministic dynamical systems. In particular, we show that time-reversibility forces the Levy area to vanish only in very specific situations that are easily classified.
Cite
@article{arxiv.2210.11867,
title = {Time-reversibility and nonvanishing Levy area},
author = {Georg Gottwald and Ian Melbourne},
journal= {arXiv preprint arXiv:2210.11867},
year = {2024}
}
Comments
Clarified/improved some of the statements. Added Sections 5 and 6