Nonconventional limit theorems in discrete and continuous time via martingales

DOI10.1214/12-AOP796MaRDI QIDQ2447337zbMATH OpenFDO

Authors Yuri Kifer, S. R. S. Varadhan

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

zbMATH Keywords

hyperbolic diffeomorphismlimit theoremsMarkov processesmartingale approximationmixingpolynomial ergodic theorems

Mathematics Subject Classification ID

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 $$ and similar expressions in the continuous time where the sum is replaced by an integral. Here $X(n),ngeq0$ is a sufficiently fast mixing vector process with some moment conditions and stationarity properties, $F$ is a continuous function with polynomial growth and certain regularity properties, $$, $mu$ is the distribution of $X(0)$ and $q_i(n)=in$ for $ilekleqell$ 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 $X_i(n)=f_i({Upsilon}_n)$, where ${Upsilon}_n$ 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.

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Cited in

(29)

• Stein's method for nonconventional sums
• A strong invariance principle for nonconventional sums
• Averaging principle and normal deviations for multiscale stochastic systems
• Nonconventional moderate deviations theorems and exponential concentration inequalities
• A functional CLT for nonconventional polynomial arrays
• Nonconventional limit theorems in averaging
• Strong approximations for nonconventional sums and almost sure limit theorems
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• Nonlinear large deviations
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• Nonconventional polynomial CLT
• A nonconventional invariance principle for random fields
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