A functional non-central limit theorem for jump-diffusions with periodic coefficients driven by stable Levy-noise

Details A functional non-central limit theorem for jump-diffusions with periodic coefficients driven by stable Levy-noise A functional non-central limit theorem for jump-diffusions with periodic coefficients driven by stable Levy-noise

2006-11-28

arxiv.org/abs/math/0611852v1

Mathematics

Probability

Accepted to Journal of Theoretical Probability

Scientific paper

10.1007/s10959-007-0099-5

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.

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