Nonconventional limit theorems in discrete and continuous time via martingales

DOI10.1214/12-AOP796MaRDI QIDQ2447337zbMATH OpenFDO

Publication date 25 April 2014

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1012.2223, https://projecteuclid.org/euclid.aop/1393251299

hyperbolic diffeomorphism limit theorems Markov processes martingale approximation mixing polynomial ergodic theorems

Dynamical systems with hyperbolic behavior (37D99) Functional limit theorems; invariance principles (60F17) Gaussian processes (60G15) Martingales with discrete parameter (60G42)

Abstract: We obtain functional central limit theorems for both discrete time expressions of the form

and similar expressions in the continuous time where the sum is replaced by an integral. Here

X (n), n g e q 0

is a sufficiently fast mixing vector process with some moment conditions and stationarity properties,

F

is a continuous function with polynomial growth and certain regularity properties,

,

m u

is the distribution of

X (0)

and

q_{i} (n) = i n

for

i l e k l e q e l l

while for

i > k

they are positive functions taking on integer values on integers with some growth conditions which are satisfied, for instance, when

q_{i}

's are polynomials of increasing degrees. These results decisively generalize [Probab. Theory Related Fields 148 (2010) 71-106], whose method was only applicable to the case

k = 2

under substantially more restrictive moment and mixing conditions and which could not be extended to convergence of processes and to the corresponding continuous time case. As in [Probab. Theory Related Fields 148 (2010) 71-106], our results hold true when

X_{i} (n) = T^{n} f_{i}

, where

T

is a mixing subshift of finite type, a hyperbolic diffeomorphism or an expanding transformation taken with a Gibbs invariant measure, as well as in the case when

X_{i} (n) = f_{i} ({U p s i l o n}_{n})

, where

{U p s i l o n}_{n}

is a Markov chain satisfying the Doeblin condition considered as a stationary process with respect to its invariant measure. Moreover, our relaxed mixing conditions yield applications to other types of dynamical systems and Markov processes, for instance, where a spectral gap can be established. The continuous time version holds true when, for instance,

X_{i} (t) = f_{i} (x i_{t})

, where

x i_{t}

is a nondegenerate continuous time Markov chain with a finite state space or a nondegenerate diffusion on a compact manifold. A partial motivation for such limit theorems is due to a series of papers dealing with nonconventional ergodic averages.

Review text

This paper is concerned with functional central limit theorems for expressions of the type \[ \xi_t^N:= N^{-1/2}\sum_{n=1}^{\left\lfloor Nt \right\rfloor} \left(F(X_{q_1(n)}, \dots, X_{q_{l}(n)}) - \bar{F}\right), \] where \((X_{n})_{n \geq 0}\) is a process with some stationary properties, moment conditions and a sufficiently fast mixing property, \(F\) is a continuous integer-valued function on integers with polynomial growth, \(q_i\) are integer-valued on integers with \(q_{i}(n) = in\) for \(i \leq k \leq n\) and some growth conditions, and \(\bar{F} = \mathcal E [F(X_0, \dots, X_0)]\). These results are inspired by nonconventional ergodic theorems in a similar setting and generalize results in [\textit{Y. Kifer}. Probab. Theory Relat. Fields 148, No. 1--2, 71--106 (2010; Zbl 1205.60047)]. Moreover, the results are extended to central limit theorems for the continuous analogue \[ \xi_t^N:= N^{-1/2}\int_{0}^{\left\lfloor Nt \right\rfloor} \left(F(X_{q_1(t)}, \dots, X_{q_{l}(t)}) - \bar{F}\right)dt. \] The limits are Gaussian processes with stationary and not sufficiently independent increments. The proofs are based on martingale differences and a subtle construction of martingale approximations for the expressions above which overcomes the correlation structure due to \((X_{n})_{n \geq 0}\) and the \(q_i\). Examples of applications are \(X_i(n)= T^n f_i\), where \(f_i\) are bounded (and sufficiently regular) functions and \(T\) are some dynamical systems, including mixing shifts of finite type, hyperbolic diffeomorphisms, or some expanding transformations. Other examples are \(X_i(t)= f_i(Y_t)\), where \((Y_t)_{t \geq 0}\) are some finite state Markov chains or diffusion processes.

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