A functional non-central limit theorem for jump-diffusions with periodic coefficients driven by stable Levy-noise
概率论
2011-11-09 v1
摘要
We prove a functional non-central limit theorem for jump-diffusions with periodic coefficients driven by strictly stable Levy-processes with stability index bigger than one. The limit process turns out to be a strictly stable Levy process with an averaged jump-measure. Unlike in the situation where the diffusion is driven by Brownian motion, there is no drift related enhancement of diffusivity.
引用
@article{arxiv.math/0611852,
title = {A functional non-central limit theorem for jump-diffusions with periodic coefficients driven by stable Levy-noise},
author = {Brice Franke},
journal= {arXiv preprint arXiv:math/0611852},
year = {2011}
}
备注
Accepted to Journal of Theoretical Probability