Homogenization of periodic diffusion with small jumps (Q892341)
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Homogenization of periodic diffusion with small jumps (English)
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18 November 2015
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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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Markov semigroups
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semimartingale characteristics
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0.8891212344169617
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0.8042332530021667
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