Spectral analysis of a family of symmetric, scale-invariant diffusions with singular coefficients and associated limit theorems

MaRDI QIDQ2805291zbMATHFDO

Authors Jeremy Clark, Jeffrey H. Schenker

Publication date 11 May 2016

Published in ALEA. Latin American Journal of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1307.4814

zbMATH Keywords

diffusion processesfunctional limit theoremsgeneralized characteristic functionsnearest neighbor random walksscale-invariant laws

Mathematics Subject Classification ID

Diffusion processes (60J60) Functional limit theorems; invariance principles (60F17) Completeness of eigenfunctions and eigenfunction expansions in context of PDEs (35P10) PDEs with randomness, stochastic partial differential equations (35R60)

Abstract: We discuss a family of time-reversible, scale-invariant diffusions with singular coefficients. In analogy with the standard Gaussian theory, a corresponding family of generalized characteristic functions provides a useful tool for proving limit theorems resulting in non-Gaussian, scale-invariant diffusions. We apply the generalized characteristic functions in combination with a martingale construction to prove a simple invariance principle starting from a spatially inhomogeneous nearest-neighbor random walk.

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