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Journal of Theoretical Probability

, Volume 20, Issue 4, pp 1087–1100 | Cite as

A Functional Non-Central Limit Theorem for Jump-Diffusions with Periodic Coefficients Driven by Stable Lévy-Noise

Article

Abstract

We prove a functional non-central limit theorem for jump-diffusions with periodic coefficients driven by stable Lévy-processes with stability index α>1. The limit process turns out to be an α-stable Lévy 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.

Keywords

Non-central limit theorem Homogenization Asymptotic analysis Periodic diffusion Stable Lévy-process 

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Copyright information

© Springer Science+Business Media, LLC 2007

Authors and Affiliations

  1. 1.Fakultät für MathematikRuhr Universität BochumBochumGermany

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