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arXiv · 2006.11540

Functional limit theorems for the fractional Ornstein-Uhlenbeck process

Johann Gehringer·Xue-Mei Li
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Abstract

We prove a functional limit theorem for vector-valued functionals of the fractional Ornstein-Uhlenbeck process, providing the foundation for the fluctuation theory of slow/fast systems driven by such a noise. Our main contribution is on the joint convergence to a limit with both Gaussian and non-Gaussian components. This is valid for any $L^2$ functions, whereas for functions with stronger integrability properties the convergence is shown to hold in the Hölder topology. As an application we prove a `rough creation' result, i.e. the weak convergence of a family of random smooth curves to a non-Markovian random process with rough sample paths. This includes the second order problem and the kinetic fractional Brownian motion model.

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Johann Gehringer, Xue-Mei Li. 2020-10-04. Functional limit theorems for the fractional Ornstein-Uhlenbeck process. https://doi.org/10.1007/s10959-020-01044-7

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