Invariance by induction of the asymptotic variance – Françoise Pène (Université de Bretagne Occidentale, France)


It is well known that the integral of an observable is preserved by induction. We are interested here in extensions of this result to moments of order 2 and 3. We have two natural candidates for the second and third order moments: the classical asymptotic variance (given by the Green-Kubo formula) and an analogous quantity of the third order. This question arises from the proof of CLT. In some cases, the asymptotic variance in the CLT can be expressed on the one hand in terms of the classical Green-Kubo formula and on the other hand in terms of the Green-Kubo formula for the induced system. Under general assumptions (involving transfer operators), we prove that the asymptotic variance is preserved by induction and that the natural third order quantity is preserved up to an error term. This is joint work with Damien Thomine.

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