Nonconventional limit theorems in averaging

DOI10.1214/12-AIHP514MaRDI QIDQ2438262zbMATH OpenFDO

Authors Yuri Kifer

Publication date 10 March 2014

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

Full work available at URL https://arxiv.org/abs/1109.0373, https://projecteuclid.org/euclid.aihp/1388545273

zbMATH Keywords

averaginghyperbolic dynamical systemslimit theoremsmartingales

Mathematics Subject Classification ID

Averaging method for ordinary differential equations (34C29) Generation, random and stochastic difference and differential equations (37H10) Functional limit theorems; invariance principles (60F17)

Abstract: We consider "nonconventional" averaging setup in the form $$ where $xi(t),tgeq0$ is either a stochastic process or a dynamical system (i.e. then $xi(t)=F^{t}x$) with sufficiently fast mixing while $q_j(t)=a{l}_{j}t,,a{l}_1<a{l}_2<\mathrm{...}<a{l}_k$ and $q_j,,j=k+1,\mathrm{...},ell$ grow faster than linearly. We show that the properly normalized error term in the "nonconventional" averaging principle is asymptotically Gaussian.

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Cited in

(6)

• When panic makes you blind: a chaotic route to systemic risk
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• On the Fundamental Theorem of Averaging
• Pointwise convergence of nonconventional averages
• Non uniform averagings in the ergodic theorem for stochastic flows
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