A functional non-central limit theorem for jump-diffusions with periodic coefficients driven by stable Lévy-noise

DOI10.1007/s10959-007-0099-5zbMath1144.60025arXivmath/0611852MaRDI QIDQ2471619

Brice Franke

Publication date: 18 February 2008

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0611852

zbMATH Keywords

Gaussian processes; asymptotic relative efficiency; central limit theorem; score tests; strong approximation; moderate deviations; asymptotic optimality; nonparametric testing; weak limit theorems; asymptotic behaviour of statistics; data driven tests; weak and strong invariance principle

Mathematics Subject Classification ID

60J60: Diffusion processes

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

60G52: Stable stochastic processes

60F17: Functional limit theorems; invariance principles

Related Items

Homogenization of Lévy-type Operators with Oscillating Coefficients, Homogenization of random transport along periodic two-dimensional flows, Scaling limits for symmetric Itô-Lévy processes in random medium, Large time behavior of periodic viscosity solutions for uniformly parabolic integro-differential equations, Periodic Homogenization of Nonlocal Operators with a Convolution-Type Kernel, Critical Homogenization of SDEs Driven by a Levy Process in Random Medium

Cites Work

• The scaling limit behaviour of periodic stable-like processes
• A central limit theorem for diffusions with periodic coefficients
• Smoothness of harmonic functions for processes with jumps.
• Semiclassical analysis for diffusions and stochastic processes
• Symmetric Stable Laws and Stable-Like Jump-Diffusions
• Lévy Processes and Stochastic Calculus
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