Stable limit theorems for additive functionals of one-dimensional diffusion processes

DOI10.1214/22-AIHP1295MaRDI QIDQ6147692zbMATH OpenOpenAlexFDO

Authors Loïc Béthencourt

Publication date 16 January 2024

Published in Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2104.06027

zbMATH Keywords

local timesone-dimensional diffusion processesstable central limit theoremstable processes

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Diffusion processes (60J60)

Abstract: We consider a positive recurrent one-dimensional diffusion process with continuous coefficients and we establish stable central limit theorems for a certain type of additive functionals of this diffusion. In other words we find some explicit conditions on the additive functional so that its fluctuations behave like some $alpha$-stable process in large time for $alphain(0,2]$.

Review text

The author considers a positive recurrent one-dimensional diffusion process with continuous coefficients and establish stable central limit theorems for a certain type of additive functionals of this diffusion. In other words, he finds some explicit conditions on the additive functional so that its fluctuations behave like some \(\alpha\)-stable process in large time for \(\alpha\in(0, 2].\) The method proposed in this paper is rather powerful and gives a simple condition on the additive functional for stable limit theorems to occur. The computations start with the representation of a diffusion as a time and space changed standard Wiener process, and in general they are very tractable and the method is rather robust.

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Cited in

(1)

• Fractional diffusion limit for a kinetic Fokker-Planck equation with diffusive boundary conditions in the half-line

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