Functional limit theorems for the fractional Ornstein-Uhlenbeck process
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Publication:2116486
fractional noisemulti-scalepassive tracermixed functional central and non-central limit theoremsrough creationrough homogenizationrough topology
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)
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 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.
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(11)- Mild stochastic sewing lemma, SPDE in random environment, and fractional averaging
- Slow-fast systems with fractional environment and dynamics
- Convergence results for the time-changed fractional Ornstein–Uhlenbeck processes
- Generating diffusions with fractional Brownian motion
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