Continuous Breuer-Major theorem for vector valued fields

Abstract: Let

x i : O m e g a i m e s m a t h b b R^{n} o m a t h b b R

be zero mean, mean-square continuous, stationary, Gaussian random field with covariance function

r (x) = m a t h b b E [x i (0) x i (x)]

and let

G : m a t h b b R o m a t h b b R

such that

G

is square integrable with respect to the standard Gaussian measure and is of Hermite rank

d

. The Breuer-Major theorem in it's continuous setting gives that, if

r i n L^{d} (m a t h b b R^{n})

, then the finite dimensional distributions of

Z_{s} (t) = f r a c 1 (2 s)^{n / 2} i n t_{[- s t^{1 / n}, s t^{1 / n}]^{n}} B i g [G (x i (x)) - m a t h b b E [G (x i (x))] B i g] d x

converge to that of a scaled Brownian motion as

s o i n f t y

. Here we give a proof for the case when

x i : O m e g a i m e s m a t h b b R^{n} o m a t h b b R^{m}

is a random vector field. We also give a proof for the functional convergence in

C ([0, i n f t y))

of

Z_{s}

to hold under the condition that for some

p > 2

,

G i n L^{p} (m a t h b b R^{m}, g a m m a_{m})

where

g a m m a_{m}

denotes the standard Gaussian measure on

m a t h b b R^{m}

and we derive expressions for the asymptotic variance of the second chaos component in the Wiener chaos expansion of

Z_{s} (1)

.

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