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| HAL: hal-00358940, version 1 |
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| Stochastic Processes and their Applications 119, 12 (2009) 4004-4033 |
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| Scaling limits for symmetric Itô-Lévy processes in random medium |
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| Rémi Rhodes 1Vincent Vargas 1 |
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| (2009-10-23) |
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| 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 |
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| 1: | CEntre de REcherches en MAthématiques de la DEcision (CEREMADE) |
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CNRS : UMR7534 – Université Paris IX - Paris Dauphine |
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| université paris-dauphine, Ceremade |
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| Subject | : | Mathematics/Probability |
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| Itô-Lévy processes – random medium – homogenization – scaling limit – integro-differential operator |
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| Attached file list to this document: | |||||
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| hal-00358940, version 1 | |
| http://hal.archives-ouvertes.fr/hal-00358940 | |
| oai:hal.archives-ouvertes.fr:hal-00358940 | |
| From: Rémi Rhodes | |
| Submitted on: Wednesday, 4 February 2009 23:53:09 | |
| Updated on: Monday, 23 January 2012 23:07:59 | |
