Georg Gottwald and Ian Melbourne
Abstract
A recent paper of Melbourne & Stuart, A note on diffusion limits of chaotic skew product flows, Nonlinearity 24 (2011) 1361-1367, gives a rigorous proof of convergence of a fast-slow deterministic system to a stochastic differential equation with additive noise. In contrast to other approaches, the assumptions on the fast flow are very mild.
In this paper, we extend this result from continuous time to discrete time. Moreover we show how to deal with one-dimensional multiplicative noise. This raises the issue of how to interpret certain stochastic integrals; it is proved that the integrals are of Stratonovich type for continuous time and neither Stratonovich nor Itô for discrete time.
We also provide a rigorous derivation of superdiffusive limit where the stochastic differential equation is driven by a stable Lévy process. In the case of one-dimensional multiplicative noise, the stochastic integrals are of Marcus type both in the discrete and continuous time contexts.