Superdiffusive limits for stochastic kinetics driven by self-similar drifts

Miha Brešar; Conrado da Costa; Aleksandar Mijatović; Andrew Wade

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arXiv · 2401.11863

Superdiffusive limits for stochastic kinetics driven by self-similar drifts

Miha Brešar·Conrado da Costa·Aleksandar Mijatović·Andrew Wade

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Abstract

We prove anomalous-diffusion scaling for a one-dimensional stochastic kinetic dynamics, in which the stochastic drift is driven by an exogenous self-similar noise, and also includes endogenous volatility which is permitted to have arbitrary dependence with the exogenous noise. We identify the superdiffusive scaling exponent for the model, and prove strong and weak convergence results on the corresponding scale. Our framework admits self-similar noise that is either a Bessel process, or, more generally, a self-similar continuous-state branching process with immigration, as well as more general processes satisfying certain asymptotic conditions.

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Miha Brešar, Conrado da Costa, Aleksandar Mijatović, Andrew Wade. 2024-01-22. Superdiffusive limits for stochastic kinetics driven by self-similar drifts. https://arxiv.org/abs/2401.11863

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