Scaling limits for symmetric Itô-Lévy processes in random medium

Rhodes, Rémi; Vargas, Vincent

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

Publisher

Elsevier

Pages

4004-4033

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