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

Abstract

In this paper we present a rigorous asymptotic analysis for stochastic systems with two fast relaxation times. The mathematical model analyzed in this paper consists of a Langevin equation for the particle motion with time-dependent force constructed through an infinite dimensional Gaussian noise process. We study the limit as the particle relaxation time as well as the correlation time of the noise tend to zero and we obtain the limiting equations under appropriate assumptions on the Gaussian noise. We show that the limiting equation depends on the relative magnitude of the two fast time scales of the system. In particular, we prove that in the case where the two relaxation times converge to zero at the same rate there is a drift correction, in addition to the limiting Itô integral, which is not of Stratonovich type. If, on the other hand, the colored noise is smooth on the scale of particle relaxation then the drift correction is the standard Stratonovich correction. If the noise is rough on this scale then there is no drift correction. Strong (i.e. pathwise) techniques are used for the proof of the convergence theorems.