Functional Limit Theorems of moving averages of Hermite processes and an application to homogenization

arXiv2008.02876MaRDI QIDQ6346629FDOQ6346629

Publication date: 6 August 2020

Abstract: We aim to generalize the homogenisation theorem in cite{Gehringer-Li-tagged} for a passive tracer interacting with a fractional Gau{ss}ian noise to also cover fractional non-Gau{ss}ian noises. To do so we analyse limit theorems for normalized functionals of Hermite-Volterra processes, extending the result in cite{Diu-Tran} to power series with fast decaying coefficients. We obtain either convergence to a Wiener process, in the short-range dependent case, or to a Hermite process, in the long-range dependent case. Furthermore, we prove convergence in the multivariate case with both, short and long-range dependent components. Applying this theorem we obtain a homogenisation result for a slow/fast system driven by such Hermite noises.

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Stationary stochastic processes (60G10) Self-similar stochastic processes (60G18)

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