Probability and Analysis in Interacting Physical Systems: In Honor of S.R.S. Varadhan, Berlin, August, 2016, eds.
P. Friz et al. Springer Proc. in Maths. & Stat. 283
(2019) 17-42.
Ilya Chevyrev, Peter Friz, Alexey Korepanov, Ian Melbourne and Huilin Zhang
Abstract
In recent years, substantial progress was made towards understanding convergence of fast-slow deterministic systems
to stochastic differential equations. In contrast to more classical approaches, the assumptions on the fast flow are very mild.
We survey the origins of this theory and then revisit and improve the analysis of Kelly-Melbourne [Ann. Probab. Volume 44, Number 1 (2016), 479-520],
taking into account recent progress in p-variation and càdlàg rough path theory.