Uniform Central Limit Theorems for Multidimensional Diffusions

TL;DR

This paper explores the regularity and convergence properties of empirical processes based on multidimensional diffusions, revealing enhanced regularity under certain conditions and extending classical empirical process theory to diffusion settings.

Contribution

It establishes uniform CLTs for multidimensional diffusions, demonstrating increased regularity compared to classical iid processes, and characterizes conditions for weak convergence of smoothed empirical diffusion processes.

Findings

Enhanced regularity for multivariate ergodic diffusions with finite invariant measure

Uniform weak convergence possible with exponentially small bandwidth in 2D

Strong undersmoothing conditions for higher dimensions with Hölder continuous coefficients

Abstract

It has recently been shown that there are substantial differences in the regularity behavior of the empirical process based on scalar diffusions as compared to the classical empirical process, due to the existence of diffusion local time. Besides establishing strong parallels to classical theory such as Ossiander's bracketing CLT and the general Gin\'e-Zinn CLT for uniformly bounded families of functions, we find increased regularity also for multivariate ergodic diffusions, assuming that the invariant measure is finite with Lebesgue density $\pi$. The effect is diminishing for growing dimension but always present. The fine differences to the classical iid setting are worked out using exponential inequalities for martingales and additive functionals of continuous Markov processes as well as the characterization of the sample path behavior of Gaussian processes by means of the generic chaining bound. To uncover the phenomenon, we study a smoothed version of the empirical diffusion process. It turns out that uniform weak convergence of the smoothed empirical diffusion process under necessary and sufficient conditions can take place with even exponentially small bandwidth in dimension $d=2$, and with strongly undersmoothing bandwidth choice for parameters $\beta > d/2$ in case $d\geq 3$, assuming that the coordinates of drift and diffusion coefficient belong to some H\"older ball with parameter $\beta$.