Discrete rough paths and limit theorems

TL;DR

This paper develops a transfer principle using rough path techniques to establish limit theorems for weighted random sums, extending classical results and applying to various stochastic processes and variations.

Contribution

It introduces a novel transfer principle from unweighted to weighted sums via rough path methods, broadening the scope of limit theorems in stochastic analysis.

Findings

Derived weighted Breuer-Major theorems generalizing previous results.

Provided a Hermite rank-based criterion for limit behaviors.

Analyzed asymptotics of weighted quadratic variations in Gaussian processes.

Abstract

In this article, we consider limit theorems for some weighted type random sums (or discrete rough integrals). We introduce a general transfer principle from limit theorems for unweighted sums to limit theorems for weighted sums via rough path techniques. As a by-product, we provide a natural explanation of the various new asymptotic behaviors in contrast with the classical unweighted random sum case. We apply our principle to derive some weighted type Breuer-Major theorems, which generalize previous results to random sums that do not have to be in a finite sum of chaos. In this context, a Breuer-Major type criterion in notion of Hermite rank is obtained. We also consider some applications to realized power variations and to Ito's formulas in law. In the end, we study the asymptotic behavior of weighted quadratic variations for some multi-dimensional Gaussian processes.