From random walks to rough paths

DOI10.1090/S0002-9939-09-09930-4MaRDI QIDQ3182587zbMATH OpenOpenAlexFDO

Authors Emmanuel Breuillard, Peter Friz, Martin Huesmann

Publication date 9 October 2009

Published in Proceedings of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0810.2681

zbMATH Keywords

Donsker's theoremrough paths, random walks on nilpotent Lie groups

Mathematics Subject Classification ID

Probability measures on groups or semigroups, Fourier transforms, factorization (60B15) Functional limit theorems; invariance principles (60F17)

Abstract: Donsker's invariance principle is shown to hold for random walks in rough path topology. As application, we obtain Donsker-type weak limit theorems for stochastic integrals and differential equations.

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Cited in

(19)

• Donsker's invariance principle for Lie groups
• Lévy area with a drift as a renormalization limit of Markov chains on periodic graphs
• Canonical RDEs and general semimartingales as rough paths
• Rough invariance principle for delayed regenerative processes
• Homogenisation for anisotropic kinetic random motions
• Central limit theorems for non-symmetric random walks on nilpotent covering graphs. I
• Area anomaly in the rough path Brownian scaling limit of hidden Markov walks
• Random walks and Lévy processes as rough paths
• Rough path stability of (semi-)linear SPDEs
• Rough path recursions and diffusion approximations
• Weak approximation of a fractional SDE
• Smooth approximation of stochastic differential equations
• Cubature on Wiener space: pathwise convergence
• Ballistic random walks in random environment as rough paths: convergence and area anomaly
• First Steps in Random Walks
• A (rough) pathwise approach to a class of non-linear stochastic partial differential equations
• On anomalous diffusion in the Kraichnan model and correlated-in-time variants
• The central limit theorem on nilpotent Lie groups
• Stein's method for rough paths

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