A Functional Non-Central Limit Theorem for Jump-Diffusions with Periodic Coefficients Driven by Stable Lévy-Noise

Brice Franke ()
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Brice Franke: Ruhr Universität Bochum

Journal of Theoretical Probability, 2007, vol. 20, issue 4, 1087-1100

Abstract: Abstract We prove a functional non-central limit theorem for jump-diffusions with periodic coefficients driven by stable Lévy-processes with stability index α>1. The limit process turns out to be an α-stable Lévy 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.

Keywords: Non-central limit theorem; Homogenization; Asymptotic analysis; Periodic diffusion; Stable Lévy-process (search for similar items in EconPapers)
Date: 2007
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DOI: 10.1007/s10959-007-0099-5

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