Rough invariance principle for delayed regenerative processes
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Date
2021
Authors
Journal Title
Journal ISSN
Volume Title
Publisher
Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik
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 Donsker Theorem is available under the second moment condition. The key renewal theorem is applied to obtain an optimal moment condition.
Description
Keywords
Invariance principle, rough paths, $p$-variation, area anomaly, regenerative process, key renewal theorem, random walks in random environment
Citation
Citation
Orenshtein, T. (2021). Rough invariance principle for delayed regenerative processes (Version publishedVersion, Vol. 2809). Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik. https://doi.org//10.20347/WIAS.PREPRINT.2809