Area anomaly in the rough path Brownian scaling limit of hidden Markov walks (Q2203633)

The authors investigate the convergence of a particular class of discrete processes, the hidden Markov walks, to a Brownian motion with an area anomaly in rough path topology. This area anomaly, which is a completely new object constructed in this paper, keeps track of the time-correlation of the discrete models and raises the issue of discrete process embeddings in continuous time. In addition, the authors discover an underlying combinatorial structure in the hidden Markov walks that turns out to be a generalization of the occupation time from the classical ergodic theorem in the spirit of rough paths. The methodology used in the paper relies mainly on rough paths theory and provides a short and concise introduction into its history. In the technical parts of the proofs, the authors introduce new objects in the study of discrete time Markov chains, namely iterated occupation times, which are a discrete analogue of iterated integrals and signature of the rough path theory. These iterated occupation times satisfy certain algebraic relations like quasi-shuffle and concatenation, that might be of independent interest in the general theory of Markov chains. The paper closes with a set of open questions and possible extensions to more general regularity structures.