Generalized selection problem with L\'evy noise

MaRDI QIDQ6338535zbMATH OpenFDO

Authors Ilya Pavlyukevich, Andrey Yu. Pilipenko

Publication date 11 April 2020

Mathematics Subject Classification ID

Initial value problems, existence, uniqueness, continuous dependence and continuation of solutions to ordinary differential equations (34A12) Perturbations, asymptotics of solutions to ordinary differential equations (34E10) Ordinary differential equations and systems with randomness (34F05) Central limit and other weak theorems (60F05) Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: Let $A_{p}m>0$, $$, and let $Z^{(alpha)}$ be a strictly $alpha$-stable L'evy process with the jump measure $u(mathrmdz)=(C_{+}mathbb{I}_{(0,infty)}(z)+C_{-}mathbb{I}_{(-infty,0)}(z))|z{|}^{-1-alpha},mathrmdz$, $alphain(1,2)$, $C_{p}mgeq0$, $C_{+}+C_{-}>0$. The selection problem for the model stochastic differential equation $$ states that in the small noise limit $varepsilono0$, solutions $$ converge weakly to the maximal or minimal solutions of the limiting non-Lipschitzian ordinary differential equation $$ with probabilities $$, see [Pilipenko and Proske, Stat. Probab. Lett., 132:62-73, 2018]. In this paper we solve the generalized selection problem for the stochastic differential equation $mathrmd{X}^{v}arepsilon=a(X^{v}arepsilon),mathrmdt+varepsilonb(X^{v}arepsilon),mathrmdZ$ whose dynamics in the vicinity of the origin in certain sense reminds of dynamics of the model equation. In particular we show that solutions $X^{v}arepsilon$ also converge to the maximal or minimal solutions of the limiting irregular ordinary differential equation $mathrmdx=a(x),mathrmdt$ with the same model selection probabilities $$. This means that for a large class of irregular stochastic differential equations, the selection dynamics is completely determined by four local parameters of the drift and the jump measure.

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