Stochastic integration

Lets go back to the denition of an integral:

t n

Stochastic integration
(t) is HOWEVER: W (t) is not smooth. In fact, W delta-autocorrelated: in any interval of the real line, white noise uctuates an innite number of times with innite variance The limit that denes the integral depends on where j is taken to lie in interval [tj , tj +1 ] Different choices lead to different stochastic calculi: j = tj Ito calculus j = (tj + tj +1 )/2 Stratonovich calculus This may look arbitrary, but luckily we know when to use what calculus (and how to translate between them)

f (t) dt = lim
0

j =1

f (j )(tj +1 tj )

where j is in the interval [tj , tj +1 ] More generally have Riemann-Stieltjes integral

t n

f (t)dg (t) = lim

0

j =1

f (j )(g (tj +1 ) g (tj ))

For a smooth measure g (t), limit converges to a unique value regardless of where j taken in interval [tj , tj +1 ]

An Introduction to Probability and Stochastic Processes for Ocean, Atmosphere, and Climate Dynamics2: Stochastic Processes p. 37/64

An Introduction to Probability and Stochastic Processes for Ocean, Atmosphere, and Climate Dynamics2: Stochastic Processes p. 38/64

Ito & Stratonovich calculi

We start right off the bat with a strange result:
t

Ito and Stratonovich SDEs

Will use different notation to distinguish between SDEs interpreted in Ito and Stratonovich senses: (I ) : (S ) : dx (t) = a(x, t) + b(x, t)W dt dx (t) = a(x, t) + b(x, t) W dt

(I )
0

1 W (t )dW (t ) = [W (t)2 W (0)2 t] 2

t

while (S )
0

1 W (t )dW (t ) = [W (t)2 W (0)2 ] 2

Normal rules of calculus dont apply to Ito integral, but do apply to Stratonovich Ultimately, weird behaviour comes from fact that (loosely) (W )2 t; in Taylor series expansion terms in (W )2 enter at same order as t. Formally, for Ito integral, dW 2 = dt in the sense that
t2 t1

Itos formula gives us a chain rule for solution of Ito SDE: df (x(t)) = f (x(t) + dx(t)) f (x(t)) 1 = f [x(t)]dx(t) + f [x(t)]dx(t)2 + ... 2 1 = a(x, t)f (x) + b(x, t)2 f (x) dt + b(x, t)f (x)dW 2 to leading order in dt
An Introduction to Probability and Stochastic Processes for Ocean, Atmosphere, and Climate Dynamics2: Stochastic Processes p. 40/64

G(t ) [dW (t )]2 =

t2

G(t ) dt
t1

An Introduction to Probability and Stochastic Processes for Ocean, Atmosphere, and Climate Dynamics2: Stochastic Processes p. 39/64

Ito and Stratonovich SDEs

We can use Itos formula to nd a translation between Ito and Stratonovich SDEs: Ito SDE dx (t) = a(x, t) + b(x, t)W dt is the same as the Stratonovich SDE dx = dt 1 (t) a(x, t) b(x, t)x b(x, t) + b(x, t) W 2

Solving an Ito SDE: An example

To solve Ito SDE dx (t) = xW dt can transform to Stratonovich SDE 1 dx (t) = x+xW dt 2 for which normal rules of calculus apply:
t 0 t 0

Can go between Ito and Stratonovich by appropriately modifying drift; correction term often called noise-induced drift ] = [t]1/2 . Note dimensions of b(x, t): [b] = because [W b(x, t) is not standard deviation of white noise - its a scaling factor. [x][t]1/2

1 dx dt = x dt

1 (t) +W 2

so t x(t) = x(0) exp + W (t) W (0) 2

An Introduction to Probability and Stochastic Processes for Ocean, Atmosphere, and Climate Dynamics2: Stochastic Processes p. 41/64

An Introduction to Probability and Stochastic Processes for Ocean, Atmosphere, and Climate Dynamics2: Stochastic Processes p. 42/64

SDEs and Fokker-Planck Equations

Can use Itos formula to show that pdf p(x(t)) of Ito SDE satises FPE 1 2 2 t p = x [a(x, t)p] + xx [b (x, t)p] 2 and pdf of Stratonovich SDE satises 1 t p = x [a(x, t)p] + x [b(x, t)x [b(x, t)p]] 2 1 2 2 1 [b (x, t)p] = x a(x, t) + b(x, t)x b(x, t) p + xx 2 2 Again we see the connection between solutions of SDEs and diffusion of probability For every SDE there is a unique FPE, but every FPE has a set of associated SDEs (because b2 appears in FPE)
An Introduction to Probability and Stochastic Processes for Ocean, Atmosphere, and Climate Dynamics2: Stochastic Processes p. 43/64

Ito vs. Stratonovich: How to choose?

White noise is an idealisation; real uctuating forcing has nite amplitude and timescale If white noise is approximation to continuously uctuating noise with nite memory (much shorter than dynamical timescales), appropriate representation is Stratonovich (Wong-Zakai Theorem) If white noise approximates set of discrete pulses with nite separation to which system responds, or SDE continuous approximation to discrete system, then Ito representation appropriate Because in an atmosphere/ocean/climate context driving noise a representation of fast part of continuous uid dynamical system, Stratonovich SDEs usually most natural

An Introduction to Probability and Stochastic Processes for Ocean, Atmosphere, and Climate Dynamics2: Stochastic Processes p. 44/64

Ito vs. Stratonovich: How to choose?

For example, consider 2D SDE dx dt d dt = a(x, t) + b(x, t) 1 = + W

Nonlinearity or multiplicative noise?

The pdf of a linear SDE with additive noise is Gaussian More general SDE (t) x = a(x, t) + b(x, t) W has stationary pdf (from FPE)
x
05 SURA ET AL.

and x satises the Stratonovich SDE As 0, W dx = a(x, t) + b(x, t) W dt Operationally: Stratonovich SDEs easier to solve analytically, but Ito SDEs more natural starting point for numerical schemes

p(x) = N exp

a(x) 1 x b(x) dx b(x) 2

Non-Gaussianity can arise from nonlinearity of a(x), or from multiplicative noise: b(x) = const.
Sura et al. JAS 2005

An Introduction to Probability and Stochastic Processes for Ocean, Atmosphere, and Climate Dynamics2: Stochastic Processes p. 45/64

An Introduction to Probability and Stochastic Processes for Ocean, Atmosphere, and Climate Dynamics2: Stochastic Processes p. 46/64

Convergence
Have been cavalier up to this point about what is meant by convergence in stochastic processes Different levels of convergence of random sequence {xn } as n a. almost sure P (xn x) = 1 b. mean square E{(xn x)2 } 0 c. in distribution P (xn ) P (x) a c and b c, but not vice-versa (convergence in distribution is relatively weak)
An Introduction to Probability and Stochastic Processes for Ocean, Atmosphere, and Climate Dynamics2: Stochastic Processes p. 47/64

SDEs from chaotic dynamics: Rigorous results

Coupled slow/fast system with chaotic fast dynamics dx dt dy dt = f (x, y ) = 1 g (x, y ) (slow climate mode) (fast weather mode)

As 0, x X in distribution, where X satises: dX dW = f ( X ) + D (X ) + (X ) dt dt

Have explicit formulae for f (X ), D(X ), (X ) in terms of the stationary distribution of the fast dynamics Another related (but distinct) approach to stochastic mode reduction is MTV (Majda, Timofeyev, & Vanden-Eijnden) Theory
An Introduction to Probability and Stochastic Processes for Ocean, Atmosphere, and Climate Dynamics2: Stochastic Processes p. 48/64