Discrete rough paths and limit theorems

DOI10.1214/19-AIHP1015zbMATH Open1466.60049arXiv1707.01783MaRDI QIDQ2227464FDOQ2227464

Authors: Yanghui Liu, S. Tindel 

Publication date: 15 February 2021

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Abstract: In this article, we consider limit theorems for some weighted type random sums (or discrete rough integrals). We introduce a general transfer principle from limit theorems for unweighted sums to limit theorems for weighted sums via rough path techniques. As a by-product, we provide a natural explanation of the various new asymptotic behaviors in contrast with the classical unweighted random sum case. We apply our principle to derive some weighted type Breuer-Major theorems, which generalize previous results to random sums that do not have to be in a finite sum of chaos. In this context, a Breuer-Major type criterion in notion of Hermite rank is obtained. We also consider some applications to realized power variations and to Ito's formulas in law. In the end, we study the asymptotic behavior of weighted quadratic variations for some multi-dimensional Gaussian processes.

Full work available at URL: https://arxiv.org/abs/1707.01783

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zbMATH Keywords

limit theoremsBreuer-Major theoremdiscrete rough integralsdiscrete rough pathsweighted random sums

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic calculus of variations and the Malliavin calculus (60H07) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22)

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Cited In (5)

• Backward Euler method for stochastic differential equations with non-Lipschitz coefficients driven by fractional\ Brownian motion
• Statistical inference for rough volatility: central limit theorems
• Power variations and limit theorems for stochastic processes controlled by fractional Brownian motions
• Convergence of trapezoid rule to rough integrals
• Asymptotic error distribution for the Riemann approximation of integrals driven by fractional Brownian motion

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