Weak approximation for Gaussian processes from renewal processes

DOI10.1080/07362994.2026.2657387MaRDI QIDQ7313215zbMATH OpenFDO

Authors Xavier Bardina, Salim Boukfal, Marc Cano, Carles Rovira

Publication date 12 August 2026

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1080/07362994.2026.2657387

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) Renewal theory (60K05)

Review text

The initial idea of approximation of several classes of stochastic processes was formulated in the classical works of \textit{M. Kac} [Rocky Mt. J. Math. 4, 497--509 (1974; Zbl 0314.60052)] and \textit{D. W. Stroock} [Lectures on topics in stochastic differential equations. Lectures on Mathematics and Physics. Mathematics 68. Tata Institute of Fundamental Research, Bombay. Berlin-Heidelberg-New York: Springer (1982; Zbl 0516.60065)]. If to compare previous studies with the present paper, its objective is to study two results concerning the weak approximation of Gaussian processes arising from the specific realizations of Brownian motion. In this sense, the contribution of the paper extends the existing framework in two directions: firstly, by approximating Gaussian processes other than Brownian motion, and secondly, by establishing convergence results for more general processes than those originally considered by Kac and Stroock. It is proved that a special construction that is based on renewal processes can be utilized to build approximations of Gaussian processes such as fractional Brownian motion or multiple Stratonovich integrals. The authors provide sufficient conditions on renewal processes to ensure that the convergence holds. An illustrative example of such a Gaussian process is the fractional Brownian motion with any Hurst parameter.

Cites work

• A stochastic model related to the telegrapher's equation
• Almost Sure Comparisons of Renewal Processes and Poisson Processes, with Application to Reliability Theory
• Almost Sure Convergence of Uniform Transport Processes to Brownian Motion
• Approximations of a complex Brownian motion by processes constructed from a Lévy process
• Lectures on topics in stochastic differential equations
• Strong limit of processes constructed from a renewal process
• Substitution in Conditional Expectation
• Weak approximation for a class of Gaussian processes
• Weak convergence to the multiple Stratonovich integral.

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