Limit theorems for additive functionals of path-dependent SDEs

DOI10.3934/DCDS.2020224MaRDI QIDQ2191144zbMATH OpenOpenAlexFDO

Authors Jianhai Bao, Feng-Yu Wang, Chenggui Yuan

Publication date 24 June 2020

Published in Discrete and Continuous Dynamical Systems (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1904.02940

zbMATH Keywords

central limit theoremergodicitylaw of iterated logarithmpath-dependent SDEsstrong law of large numbers

Mathematics Subject Classification ID

Ergodic theorems, spectral theory, Markov operators (37A30) Central limit and other weak theorems (60F05) Strong limit theorems (60F15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Discrete-time Markov processes on general state spaces (60J05)

Abstract: By using limit theorems of uniform mixing Markov processes and martingale difference sequences, the strong law of large numbers, central limit theorem, and the law of iterated logarithm are established for additive functionals of path-dependent stochastic differential equations.

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Cited in

(13)

• Limit theorems for additive functionals of stochastic functional differential equations with infinite delay
• Moderate deviation principles for unbounded additive functionals of distribution dependent SDEs
• Donsker-Varadhan large deviations for path-distribution dependent SPDEs
• Functional limit theorems for additive and multiplicative schemes in the Cox-Ingersoll-Ross model
• Ergodicity of regime-switching functional diffusions with infinite delay and application to a numerical algorithm for stochastic optimization
• Path-dependent martingale problems and additive functionals
• Large and moderate deviation principles for path-distribution-dependent stochastic differential equations
• Multiple-delay stochastic McKean-Vlasov equations with Hölder diffusion coefficients and their numerical schemes
• Limit theorems of additive functionals for regime-switching diffusions with infinite delay
• A model specification test for nonlinear stochastic diffusions with delay
• On numerical discretizations that preserve probabilistic limit behaviors for time-homogeneous Markov processes
• Limit theorems for SDEs with irregular drifts
• Recurrent measures, exponential mixing and limit theorems for stochastic evolution equations with delay and monotone coefficients

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