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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 publié
External document link
http://hal.archives-ouvertes.fr/hal-00358940/en/
Date
2009
Journal name
Stochastic processes and their applications
Volume
119
Number
12
Publisher
Elsevier
Pages
4004-4033
Publication identifier
http://dx.doi.org/10.1016/j.spa.2009.10.004
Metadata
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Author(s)
Rhodes, Rémi
Vargas, Vincent
Abstract (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 measure
Subjects / Keywords
Itô-Lévy processes; random medium; homogenization; scaling limit; integro-differential operator

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