Analysis of White Noise Limits for Stochastic Systems with Two Fast Relaxation Times

DOI10.1137/040610507zbMath1091.60006arXivmath-ph/0504054OpenAlexW2045964026MaRDI QIDQ5695919

Andrew M. Stuart, Grigorios A. Pavliotis

Publication date: 6 October 2005

Published in: Multiscale Modeling & Simulation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math-ph/0504054

zbMATH Keywords

stochastic differential equationsinfinite dimensional coloured noiseItô versus Stratonovich problem

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Stochastic integrals (60H05)

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