Related papers: Central limit theorems for martingales-I : continu…
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…
Suppose that $(X_t)_{t \ge 0}$ is a one-dimensional Brownian motion with negative drift $-\mu$. It is possible to make sense of conditioning this process to be in the state $0$ at an independent exponential random time and if we kill the…
Using the explicit representations of the Brownian motions on the hyperbolic spaces, we show that their almost sure convergence and the central limit theorems for the radial components as time tends to infinity are easily obtained. We also…
We study a Gibbs measure over Brownian motion with a pair potential which depends only on the increments. Assuming a particular form of this pair potential, we establish that in the infinite volume limit the Gibbs measure can be viewed as…
We consider asymptotic behavior of Fourier transforms of stationary ergodic sequences with finite second moments. We establish a central limit theorem (CLT) for almost all frequencies and also an annealed CLT. The theorems hold for all…
General Central limit theorem deals with weak limits (in type) of sums of row-elements of array random variables. In some situations as in the invariance principle problem, the sums may include only parts of the row-elements. For strictly…
In this paper, we consider a Banach space valued random coefficient autoregressive process. Our studies on this process involve existence, weak law of large numbers, strong law of large numbers, some exponential inequalities, central limit…
We consider renewal shot noise processes with response functions which are eventually nondecreasing and regularly varying at infinity. We prove weak convergence of renewal shot noise processes, properly normalized and centered, in the space…
Let $(Z_t)_{t\geq 0}$ denote the derivative martingale of branching Brownian motion, i.e.\@ the derivative with respect to the inverse temperature of the normalized partition function at critical temperature. A well-known result by Lalley…
We derive process limit distribution results for the Nelson-Aalen estimator of a hasard function and for the Kaplan-Meier estimator of a distribution function, under different dependence assumptions. The data are assumed to be right…
The standard small-time functional central limit theorem of semimartingales has been established in (Gerhold, S., Kleinert, M., Porkert, P., and Shkolnikov, M. (2015). Small time central limit theorems for semimartingales with applications.…
A central limit theorem is established for a sum of random variables belonging to a sequence of random fields. The fields are assumed to have zero mean conditional on the past history and to satisfy certain conditional $\alpha$-mixing…
While many questions in (robust) finance can be posed in the martingale optimal transport (MOT) framework, others require to consider also non-linear cost functionals. Following the terminology of Gozlan, Roberto, Samson and Tetali this…
We study inhomogeneous random graphs with a finite type space. For a natural generalization of the model as a dynamic network-valued process, the paper establishes the following results: (a) Functional central limit theorems for the…
We consider perturbations of interval maps with indifferent fixed points, which we refer to as wobbly interval intermittent maps, for which stable laws for general H\"older observables fail. We obtain limit laws for such maps and H\"older…
This paper addresses the following classical question: giving a sequence of identically distributed random variables in the domain of attraction of a normal law, does the associated linear process satisfy the central limit theorem? We study…
Brownian motion is modelled by a harmonic oscillator (Brownian particle) interacting with a continuous set of uncoupled harmonic oscillators. The interaction is linear in the coordinates and the momenta. The model has an analytical solution…
Positive $T$-martingales were developed as a general framework that extends the positive measure-valued martingales and are meant to model intermittent turbulence. We extend their scope by allowing the martingale to take complex values. We…
The Fock transform recently introduced by the authors in a previous paper is applied to investigate convergence of generalized functional sequences of a discrete-time normal martingale $M$. A necessary and sufficient condition in terms of…
We study Doob's martingale convergence theorem for computable continuous time martingales on Brownian motion, in the context of algorithmic randomness. A characterization of the class of sample points for which the theorem holds is given.…