A Functional Non-Central Limit Theorem for Jump-Diffusions with Periodic Coefficients Driven by Stable Lévy-Noise |
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Authors: | Brice Franke |
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Institution: | 1.Fakult?t für Mathematik,Ruhr Universit?t Bochum,Bochum,Germany |
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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. |
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Keywords: | Non-central limit theorem Homogenization Asymptotic analysis Periodic diffusion Stable Lévy-process |
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