2021Stochastics and DynamicsRequires access

Functional limit theorems for power series with rapid decay of moving averages of Hermite processes

Johann Gehringer

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Abstract

We aim to obtain a homogenization theorem for a passive tracer interacting with a fractional, possibly non-Gaussian, noise. To do so, we analyze limit theorems for normalized functionals of Hermite–Volterra processes and extend existing results to cover power series with fast decaying coefficients. We obtain either convergence to a Wiener process, in the short-range dependent case, or to a Hermite process, in the long-range dependent case. Furthermore, we prove convergence in the multivariate case with both, short- and long-range dependent components. Applying this theorem, we obtain a homogenization result for a slow/fast system driven by such Hermite noises.

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What this paper is about

We aim to obtain a homogenization theorem for a passive tracer interacting with a fractional, possibly non-Gaussian, noise. To do so, we analyze limit theorems for normalized functionals of Hermite–Volterra processes and extend existing results to cover power series with fast decaying coefficients. We obtain either convergence to a Wiener process, in the short-range dependent case, or to a Hermite process, in the long-range dependent case. Furthermore, we prove convergence in the multivariate case with both, short- and long-range dependent components. Applying this theorem, we obtain a homogenization result for a slow/fast system driven by such Hermite noises.

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Available abstract

We aim to obtain a homogenization theorem for a passive tracer interacting with a fractional, possibly non-Gaussian, noise. To do so, we analyze limit theorems for normalized functionals of Hermite–Volterra processes and extend existing results to cover power series with fast decaying coefficients. We obtain either convergence to a Wiener process, in the short-range dependent case, or to a Hermite process, in the long-range dependent case. Furthermore, we prove convergence in the multivariate case with both, short- and long-range dependent components. Applying this theorem, we obtain a homogenization result for a slow/fast system driven by such Hermite noises.

Key concepts: Hermite polynomials, Mathematics, Weak convergence, Central limit theorem, Homogenization (climate), Applied mathematics, Mathematical analysis, Range (aeronautics)

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