Limit theorems for conservative flows on multiple stochastic integrals

DOI10.1007/S10959-021-01090-9MaRDI QIDQ2135196zbMATH OpenOpenAlexWikidataFDO

Authors Shuyang Bai

Publication date 4 May 2022

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

Full work available at URL https://arxiv.org/abs/2005.07789

zbMATH Keywords

long-range dependencelimit theoremmultiple stochastic integralinfinite ergodic theory

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Brownian motion (60J65) Functional limit theorems; invariance principles (60F17) Dynamical systems and their relations with probability theory and stochastic processes (37A50) Stochastic integrals (60H05)

Abstract: We consider a stationary sequence $(X_n)$ constructed by a multiple stochastic integral and an infinite-measure conservative dynamical system. The random measure defining the multiple integral is non-Gaussian, infinitely divisible and has a finite variance. Some additional assumptions on the dynamical system give rise to a parameter $$ quantifying the conservativity of the system. This parameter $$ together with the order of the integral determines the decay rate of the covariance of $(X_n)$. The goal of the paper is to establish limit theorems for the partial sum process of $(X_n)$. We obtain a central limit theorem with Brownian motion as limit when the covariance decays fast enough, as well as a non-central limit theorem with fractional Brownian motion or Rosenblatt process as limit when the covariance decays slow enough.

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