Open Access
Translator Disclaimer
2021 Rough invariance principle for delayed regenerative processes
Tal Orenshtein
Author Affiliations +
Electron. Commun. Probab. 26: 1-13 (2021). DOI: 10.1214/21-ECP406

Abstract

We derive an invariance principle for the lift to the rough path topology of stochastic processes with delayed regenerative increments under an optimal moment condition. An interesting feature of the result is the emergence of area anomaly, a correction term in the second level of the limiting rough path which is identified as the average stochastic area on a regeneration interval. A few applications include random walks in random environment and additive functionals of recurrent Markov chains. The result is formulated in the p-variation settings, where a rough path version of Donsker’s Theorem is available under the second moment condition. The key renewal theorem is applied to obtain an optimal moment condition.

Funding Statement

This work was supported by the German Research Foundation (DFG) via Research Unit FOR2402.

Acknowledgments

The author is grateful to Tommaso Cornelis Rosati and Willem van Zuijlen for numerous valuable discussions and to the anonymous referee for useful remarks.

Citation

Download Citation

Tal Orenshtein. "Rough invariance principle for delayed regenerative processes." Electron. Commun. Probab. 26 1 - 13, 2021. https://doi.org/10.1214/21-ECP406

Information

Received: 19 January 2021; Accepted: 28 May 2021; Published: 2021
First available in Project Euclid: 22 June 2021

Digital Object Identifier: 10.1214/21-ECP406

Subjects:
Primary: 60F17 , 60K37 , 82B43 , 82C41

Keywords: area anomaly , invariance principle , key renewal theorem , p-variation , random walks in random environment , Regenerative process , Rough paths

JOURNAL ARTICLE
13 PAGES


SHARE
Back to Top