Area anomaly in the rough path Brownian scaling limit of hidden Markov walks - Sorbonne Université
Journal Articles Bernoulli Year : 2020

Area anomaly in the rough path Brownian scaling limit of hidden Markov walks

Abstract

We study the convergence in rough path topology of a certain class of discrete processes , the hidden Markov walks, to a Brownian motion with an area anomaly. This area anomaly, which is a new object, keeps track of the time-correlation of the discrete models and brings into light the question of embeddings of discrete processes into continuous time. We also identify an underlying combinatorial structure in the hidden Markov walks, which turns out to be a generalization of the occupation time from the classical ergodic theorem in the spirit of rough paths.
Fichier principal
Vignette du fichier
Lopusanschi et Simon - 2020 - Area anomaly in the rough path Brownian scaling li.pdf (347.93 Ko) Télécharger le fichier
Origin Files produced by the author(s)
Loading...

Dates and versions

hal-02948000 , version 1 (24-09-2020)

Identifiers

Cite

Olga Lopusanschi, Damien Simon. Area anomaly in the rough path Brownian scaling limit of hidden Markov walks. Bernoulli, 2020, 26 (4), pp.3111-3138. ⟨10.3150/20-BEJ1217⟩. ⟨hal-02948000⟩
43 View
48 Download

Altmetric

Share

More