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

Brice Franke

doi:10.1007/s10959-007-0099-5

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

Brice Franke

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Abstract

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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BibTeX RIS

Brice Franke. 2006-11-28. A functional non-central limit theorem for jump-diffusions with periodic coefficients driven by stable Levy-noise. https://doi.org/10.1007/s10959-007-0099-5

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