WIAS Preprint No. 2685, (2020)

Additive functionals as rough paths



Authors

  • Deuschel, Jean-Dominique
  • Orenshtein, Tal
  • Perkowski, Nicolas

Keywords

  • Rough paths, invariance principles in the rough, path topology, additive functionals of Markov processes, Kipnis--Varadhan theory, homogenization, random conductance model, random walks with random conductances

DOI

10.20347/WIAS.PREPRINT.2685

Abstract

We consider additive functionals of stationary Markov processes and show that under Kipnis--Varadhan type conditions they converge in rough path topology to a Stratonovich Brownian motion, with a correction to the Lévy area that can be described in terms of the asymmetry (non-reversibility) of the underlying Markov process. We apply this abstract result to three model problems: First we study random walks with random conductances under the annealed law. If we consider the Itô rough path, then we see a correction to the iterated integrals even though the underlying Markov process is reversible. If we consider the Stratonovich rough path, then there is no correction. The second example is a non-reversible Ornstein-Uhlenbeck process, while the last example is a diffusion in a periodic environment. As a technical step we prove an estimate for the p-variation of stochastic integrals with respect to martingales that can be viewed as an extension of the rough path Burkholder-Davis-Gundy inequality for local martingale rough paths of [FV08], [CF19] and [FZ18] to the case where only the integrator is a local martingale.

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