Functional Limit Theorems of moving averages of Hermite processes and an application to homogenization

TL;DR

This paper extends limit theorems for functionals of Hermite-Volterra processes, enabling homogenization results for systems driven by both short and long-range dependent Hermite noises, generalizing previous Gaussian-based results.

Contribution

It generalizes homogenization theorems to non-Gaussian Hermite processes, analyzing their limit behaviors and establishing convergence results for multivariate cases.

Findings

Convergence to Wiener process in short-range dependence

Convergence to Hermite process in long-range dependence

Homogenization results for systems driven by Hermite noises

Abstract

We aim to generalize the homogenisation theorem in \cite{Gehringer-Li-tagged} for a passive tracer interacting with a fractional Gau{\ss}ian noise to also cover fractional non-Gau{\ss}ian noises. To do so we analyse limit theorems for normalized functionals of Hermite-Volterra processes, extending the result in \cite{Diu-Tran} to 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 homogenisation result for a slow/fast system driven by such Hermite noises.