Functional Scaling Limits of Interpolated Correlated Random Walks in Hölder Topology

Abstract

We prove functional scaling limits for interpolated random walks whose increments are functions of a stationary Gaussian sequence. In this setting, the classical Dobrushin-Major-Taqqu theorem describes the scaling limit when the covariance has a regularly varying, non-summable tail, while the Breuer-Major theorem describes the limit in the summable regime. We strengthen these convergence results to functional convergence in Hölder topology and, in the summable regime, in rough Hölder topology. These stronger topologies are useful because many operations on paths, such as Young integration and solution maps of differential equations, are continuous in (rough) Hölder topology, but not in Skorokhod topology.