Functional limit theorems for the fractional Ornstein-Uhlenbeck process
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Publication:2116486
fractional noisemixed functional central and non-central limit theoremsmulti-scalepassive tracerrough creationrough homogenizationrough topology
Functional limit theorems; invariance principles (60F17) Self-similar stochastic processes (60G18) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
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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