Central limit theorem for superdiffusive reflected Brownian motion
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arXiv
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| Format: | Preprint |
| Published: |
2024
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| _version_ | 1866915070961778688 |
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| author | Mijatović, Aleksandar Sauzedde, Isao Wade, Andrew |
| author_facet | Mijatović, Aleksandar Sauzedde, Isao Wade, Andrew |
| contents | We study the second-order asymptotics around the superdiffusive strong law~\cite{MMW} of a multidimensional driftless diffusion with oblique reflection from the boundary in a generalised parabolic domain. In the unbounded direction we prove the limit is Gaussian with the usual diffusive scaling, while in the appropriately scaled cross-sectional slice we establish convergence to the invariant law of a reflecting diffusion in a unit ball. Using the separation of time scales, we also show asymptotic independence between these two components. The parameters of the limit laws are explicit in the growth rate of the boundary and the asymptotic diffusion matrix and reflection vector field. A phase transition occurs when the domain becomes too narrow, in which case we prove that the central limit theorem for the unbounded component fails. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2412_14267 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Central limit theorem for superdiffusive reflected Brownian motion Mijatović, Aleksandar Sauzedde, Isao Wade, Andrew Probability Primary: 60J60, Secondary: 60F05, 60J65, 60K50 We study the second-order asymptotics around the superdiffusive strong law~\cite{MMW} of a multidimensional driftless diffusion with oblique reflection from the boundary in a generalised parabolic domain. In the unbounded direction we prove the limit is Gaussian with the usual diffusive scaling, while in the appropriately scaled cross-sectional slice we establish convergence to the invariant law of a reflecting diffusion in a unit ball. Using the separation of time scales, we also show asymptotic independence between these two components. The parameters of the limit laws are explicit in the growth rate of the boundary and the asymptotic diffusion matrix and reflection vector field. A phase transition occurs when the domain becomes too narrow, in which case we prove that the central limit theorem for the unbounded component fails. |
| title | Central limit theorem for superdiffusive reflected Brownian motion |
| topic | Probability Primary: 60J60, Secondary: 60F05, 60J65, 60K50 |
| url | https://arxiv.org/abs/2412.14267 |