Functional limit theorems for the fractional Ornstein-Uhlenbeck process

DOI10.1007/S10959-020-01044-7zbMATH Open1486.60062arXiv2006.11540OpenAlexW3094479747MaRDI QIDQ2116486FDOQ2116486

Yanyan Li

Publication date: 17 March 2022

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Abstract: We prove a functional limit theorem for vector-valued functionals of the fractional Ornstein-Uhlenbeck process, providing the foundation for the fluctuation theory of slow/fast systems driven by such a noise. Our main contribution is on the joint convergence to a limit with both Gaussian and non-Gaussian components. This is valid for any $L^2$ functions, whereas for functions with stronger integrability properties the convergence is shown to hold in the H"older topology. As an application we prove a `rough creation' result, i.e. the weak convergence of a family of random smooth curves to a non-Markovian random process with rough sample paths. This includes the second order problem and the kinetic fractional Brownian motion model.

Full work available at URL: https://arxiv.org/abs/2006.11540

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zbMATH Keywords

fractional noisemulti-scalepassive tracermixed functional central and non-central limit theoremsrough creationrough homogenizationrough topology

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Fractional processes, including fractional Brownian motion (60G22) Functional limit theorems; invariance principles (60F17) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Self-similar stochastic processes (60G18)

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Cited In (10)

• Generating diffusions with fractional Brownian motion
• Slow-fast systems with fractional environment and dynamics
• Mild stochastic sewing lemma, SPDE in random environment, and fractional averaging
• Convergence of integrated superpositions of Ornstein-Uhlenbeck processes to fractional Brownian motion
• Functional limit theorems for Volterra processes and applications to homogenization*
• Almost sure central limit theorems for random ratios and applications to LSE for fractional Ornstein-Uhlenbeck processes
• Standard and fractional reflected Ornstein–Uhlenbeck processes as the limits of square roots of Cox–Ingersoll–Ross processes
• Sharp large deviations for the fractional Ornstein-Uhlenbeck process
• Convergence results for the time-changed fractional Ornstein–Uhlenbeck processes
• Martingale representation and logarithmic-Sobolev inequality for the fractional Ornstein-Uhlenbeck measure

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