Limit theorems for conservative flows on multiple stochastic integrals

DOI10.1007/S10959-021-01090-9zbMATH Open1487.60068arXiv2005.07789OpenAlexW3142204566WikidataQ114225096 ScholiaQ114225096MaRDI QIDQ2135196FDOQ2135196

Authors: Shuyang Bai 

Publication date: 4 May 2022

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

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.

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

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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)

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Cited In (5)

• Limit theorems for long-memory flows on Wiener chaos
• Phase transition for extremes of a family of stationary multiple-stable processes
• Sample path properties of multidimensional integral with respect to stochastic measure
• Tail processes for stable-regenerative multiple-stable model
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