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

zbMATH Open1386.35287arXiv1307.4814MaRDI QIDQ2805291FDOQ2805291

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)

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.

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

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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)

Cited In (3)

• On spectral analysis of heavy-tailed Kolmogorov-Pearson diffusions
• Title not available (Why is that?)
• An analytic expression for the distribution of the generalized Shiryaev-Roberts diffusion. The Fourier spectral expansion approach

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