Asymptotic behaviour and functional limit theorems for a time changed Wiener process (Q2657981)

The authors study the asymptotic behaviour of normalized, time changed Wiener processes. The time changes are (generalized) inverses of additive functionals of the Wiener process. The meaning of time change is that the Laplace operator, which generates a Wiener process, is multiplied by a possibly degenerate state-space dependent intensity function. The motivation comes from the study of solutions to parabolic Cauchy problems. However, the methods and considerations in the paper are purely stochastic. The aim is to establish functional limit theorems for the time changed Wiener process without resorting to its martingale representation or the Feller property and the form of its generator. Instead, the authors focus on the pathwise representation as superposition of two stochastic processes. Using this approach, they need neither independence of the time change and the original process (e.g., as in Bochner's subordination), nor regularity of the intensity function (as in the Feller case), nor its non-degeneracy (as for the SDE approach). The normalization depends on the asymptotic behaviour of the intensity function. One of the possible limits is a skew Brownian motion.