2020/05/15 by Shuyang Bai, Bai, Shuyang
Decision Sciences · Economics, Econometrics and Finance · #60F17 #FOS: Mathematics #Financial Risk and Volatility Modeling #Probability (math.PR) #Risk and Portfolio Optimization #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.2005.07789
openalex publication_date 2020/05/15 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We consider a stationary sequence (Xn) constructed by a multiple stochastic integral and an infinite-measure conservative dynamical system. The random measure defining the multiple integral is non-Gaussian, infinitely divisible and has a finite variance. Some additional assumptions on the dynamical system give rise to a parameter β∈(0,1) quantifying the conservativity of the system. This parameter β together with the order of the integral determines the decay rate of the covariance of (Xn). The goal of the paper is to establish limit theorems for the partial sum process of (Xn). We obtain a central limit theorem with Brownian motion as limit when the covariance decays fast enough, as well as a non-central limit theorem with fractional Brownian motion or Rosenblatt process as limit when the covariance decays slow enough.