Smooth approximation of stochastic differential equations

Abstract

Consider an Itô process $X$ satisfying the stochastic differential equation $dX=a(X)\,dt+b(X)\,dW$ where $a,b$ are smooth and $W$ is a multidimensional Brownian motion. Suppose that $W_{n}$ has smooth sample paths and that $W_{n}$ converges weakly to $W$. A central question in stochastic analysis is to understand the limiting behavior of solutions $X_{n}$ to the ordinary differential equation $dX_{n}=a(X_{n})\,dt+b(X_{n})\,dW_{n}$.

The classical Wong–Zakai theorem gives sufficient conditions under which $X_{n}$ converges weakly to $X$ provided that the stochastic integral $\int b(X)\,dW$ is given the Stratonovich interpretation. The sufficient conditions are automatic in one dimension, but in higher dimensions the correct interpretation of $\int b(X)\,dW$ depends sensitively on how the smooth approximation $W_{n}$ is chosen.

In applications, a natural class of smooth approximations arise by setting $W_{n}(t)=n^{-1/2}\int_{0}^{nt}v\circ\phi_{s}\,ds$ where $\phi_{t}$ is a flow (generated, e.g., by an ordinary differential equation) and $v$ is a mean zero observable. Under mild conditions on $\phi_{t}$, we give a definitive answer to the interpretation question for the stochastic integral $\int b(X)\,dW$. Our theory applies to Anosov or Axiom A flows $\phi_{t}$, as well as to a large class of nonuniformly hyperbolic flows (including the one defined by the well-known Lorenz equations) and our main results do not require any mixing assumptions on $\phi_{t}$.

The methods used in this paper are a combination of rough path theory and smooth ergodic theory.