Convergence results for the time-changed fractional Ornstein–Uhlenbeck processes

DOI10.1090/TPMS/1143zbMATH Open1470.60111arXiv2011.02733OpenAlexW3201955532MaRDI QIDQ5153148FDOQ5153148

Authors: Giacomo Ascione, Enrica Pirozzi, Yuliya S. Mishura 

Publication date: 29 September 2021

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Abstract: In this paper we study some convergence results concerning the one-dimensional distribution of a time-changed fractional Ornstein-Uhlenbeck process. In particular, we establish that, despite the time change, the process admits a Gaussian limit random variable. On the other hand, we prove that the process converges towards the time-changed Ornstein-Uhlenbeck as the Hurst index $Ho1/2^{+}$, with locally uniform convergence of one-dimensional distributions. Moreover, we also achieve convergence in the Skorohod $J_1$-topology of the time-changed fractional Ornstein-Uhlenbeck process as $Ho1/2^{+}$ in the space of c`adl`ag functions. Finally, we exploit some convergence properties of mild solutions of a generalized Fokker-Planck equation associated to the aforementioned processes, as $Ho1/2^{+}$.

Full work available at URL: https://arxiv.org/abs/2011.02733

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zbMATH Keywords

fractional Brownian motionsubordinatorgeneralized Fokker-Planck equationweak convergence in Skorokhod space

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Functional limit theorems; invariance principles (60F17) Fractional partial differential equations (35R11)

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Cited In (4)

• Convergence of integrated superpositions of Ornstein-Uhlenbeck processes to fractional Brownian motion
• Fractional equations via convergence of forms
• Limit theorems for prices of options written on semi-Markov processes
• Limit behavior of the Rosenblatt Ornstein-Uhlenbeck process with respect to the Hurst index

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