Lévy areas, Wong Zakai anomalies in diffusive limits of Deterministic Lagrangian Multi-Time Dynamics

Abstract

Stochastic modelling necessitates an interpretation of noise. In this paper, we describe the loss of deterministically stable behaviour in a fundamental fluid mechanics problem, conditional to whether noise is introduced in the sense of Itô, Stratonovich or a limit of Wong-Zakai type. We examine this comparison in the wider context of discretising stochastic differential equations with and without the Lévy area. From the numerical viewpoint, we demonstrate performing higher order discretisations with the use of a Lévy area can lead to the loss of conserved area and angle quantities. Such behaviour is not physically expected in the Stratonovich model. Conversely, we study Stochastic Advection by Lie Transport and its derivation from homogenisation theory, which introduces drift corrections of the same class naturally. From the viewpoint of homogenisation, the qualitative properties of the Wong-Zakai anomaly are physically motivated as arising due to correlations from a fast and mean scale fluid decomposition.

arXiv comment36 main body pages with 11 figures and 54 total pages

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