Related papers: Convergence to a self-normalized G-Brownian motion
We consider a system of multiscale stochastic differential equations whose slow component is drivenby a fractional Brownian motion with Hurst parameter H greater than 1/2. Under ergodic assumptions ensuring the applicability of the…
Consider the random polytope, that is given by the convex hull of a Poisson point process on a smooth convex body in $\mathbb{R}^d$. We prove central limit theorems for continuous motion invariant valuations including the Will's functional…
We consider a standard one-dimensional Brownian motion on the time interval $[0,1]$ conditioned to have vanishing iterated time integrals up to order $N$. We show that the resulting processes can be expressed explicitly in terms of shifted…
It is known that in a stationary Brownian queue with both arrival and service processes equal in law to Brownian motion, the departure process is a Brownian motion, that is, Burke's theorem in this context. In this short note we prove…
We consider a multidimensional random walk in a product random environment with bounded steps, transience in some spatial direction, and high enough moments on the regeneration time. We prove an invariance principle, or functional central…
When analysing statistical systems or stochastic processes, it is often interesting to ask how they behave given that some observable takes some prescribed value. This conditioning problem is well understood within the linear operator…
The generalized fractional Brownian motion is a Gaussian self-similar process whose increments are not necessarily stationary. It appears in applications as the scaling limit of a shot noise process with a power law shape function and…
In 2005, Nualart and Peccati showed the so-called Fourth Moment Theorem asserting that, for a sequence of normalized multiple Wiener-It\^o integrals to converge to the standard Gaussian law, it is necessary and sufficient that its fourth…
In this paper, we establish limit theorems for the supremum of the support, denoted by $M_t$, of a supercritical super-Brownian motion $\{X_t, t\ge0\}$ on $\mathbb{R}$. We prove that there exists an $m(t)$ such that $(X_t-m(t), M_t-m(t))$…
Under an appropriate regular variation condition, the affinely normalized partial sums of a sequence of independent and identically distributed random variables converges weakly to a non-Gaussian stable random variable. A functional version…
The limiting behavior of Toeplitz type quadratic forms of stationary processes has received much attention through decades, particularly due to its importance in statistical estimation of the spectrum. In the present paper we study such…
We study the second-order asymptotics around the superdiffusive strong law~\cite{MMW} of a multidimensional driftless diffusion with oblique reflection from the boundary in a generalised parabolic domain. In the unbounded direction we prove…
This paper is devoted to establish an invariance principle where the limit process is a multifractional Gaussian process with a multifractional function which takes its values in $(1/2,1)$. Some properties, such as regularity and local…
We introduce a new class of self-similar Gaussian stochastic processes, where the covariance is defined in terms of a fractional Brownian motion and another Gaussian process. A special case is the solution in time to the fractional-colored…
Consider Ginibre's ensemble of $N \times N$ non-Hermitian random matrices in which all entries are independent complex Gaussians of mean zero and variance $\frac{1}{N}$. As $N \uparrow \infty$ the normalized counting measure of the…
We consider the disordered monomer-dimer model on general finite graphs with bounded degrees. Under the finite fourth moment assumption on the weight distributions, we prove a Gaussian central limit theorem for the free energy of the…
The approximation of integral type functionals is studied for discrete observations of a continuous It\^o semimartingale. Based on novel approximations in the Fourier domain, central limit theorems are proved for $L^2$-Sobolev functions…
We introduce a new Gaussian process, a generalization of both fractional and subfractional Brownian motions, which could serve as a good model for a larger class of natural phenomena. We study its main stochastic properties and some…
We obtain necessary and sufficient conditions for the regular variation of the variance of partial sums of functionals of discrete and continuous-time stationary Markov processes with normal transition operators. We also construct a class…
The original Donsker theorem says that a standard random walk converges in distribution to a Brownian motion in the space of continuous functions. It has recently been extended to enriched random walks and enriched Brownian motion. We use…