Scaling limits for symmetric Itô-Lévy processes in random medium
Rhodes, Rémi; Vargas, Vincent (2009), Scaling limits for symmetric Itô-Lévy processes in random medium, Stochastic processes and their applications, 119, 12, p. 4004-4033. http://dx.doi.org/10.1016/j.spa.2009.10.004
Type
Article accepté pour publication ou publiéExternal document link
http://hal.archives-ouvertes.fr/hal-00358940/en/Date
2009Journal name
Stochastic processes and their applicationsVolume
119Number
12Publisher
Elsevier
Pages
4004-4033
Publication identifier
Metadata
Show full item recordAbstract (EN)
We are concerned with scaling limits of the solutions to stochastic differential equations with stationary coefficients driven by Poisson random measures and Brownian motions. We state an annealed convergence theorem, in which the limit exhibits a diffusive or superdiffusive behavior, depending on the integrability properties of the Poisson random measureSubjects / Keywords
Itô-Lévy processes; random medium; homogenization; scaling limit; integro-differential operatorRelated items
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