Homogenization of periodic diffusion with small jumps
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Abstract: In this paper, we study the homogenization of a diffusion process with jumps, that is, Feller process generated by an integro-differential operator. This problem is closely related to the problem of homogenization of boundary value problems arising in studying the behavior of heterogeneous media. Under the assumptions that the corresponding generator has vanishing drift coefficient, rapidly periodically oscillating diffusion and jump coefficients, that it admits only "small jumps" (that is, the jump kernel has finite second moment) and under certain additional regularity conditions, we prove that the homogenized process is a Brownian motion. The presented results generalize the classical and well-known results related to the homogenization of a diffusion process.
In this paper, the author presents a problem of homogenization in the framework of a process generated by an integro-differential equation. Such models are nowadays a standard tool in representing the risk related to large market movements, but many other problems of diffusion with jumps are modelled by these equations. A family of linear operators \( \{ P_t\}_{t \geq 0}\) forming a semigroup on a Banach space has an infinitesimal generator given by an integro-differential equation depending on a small parameter \(\varepsilon >0\) related to the periodic microstructure of the medium. The author, under certain additional regularity conditions, proves that the homogenized process is a Brownian motion.
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