Gaussian asymptotics for a non-linear Langevin type equation driven by an -stable Lévy noise

DOI10.1214/EJP.V20-4068MaRDI QIDQ894159zbMATH OpenOpenAlexFDO

Authors Richard Eon, Mihai Gradinaru

Publication date 27 November 2015

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/ejp.v20-4068

zbMATH Keywords

\(\alpha\)-stable Lévy processBrownian motionexponential ergodic processesfunctional central limit theoremLyapunov functionmartingalesnon-linear Langevin type equationscaling limitstochastic differential equation

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17) Martingales with continuous parameter (60G44) Processes with independent increments; Lévy processes (60G51) Stable stochastic processes (60G52) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65)

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Cited in

(9)

• Asymptotics of the solutions to stochastic wave equations driven by a non-Gaussian Lévy process
• Moment bounds for dissipative semimartingales with heavy jumps
• Non-Gaussian limit theorem for non-linear Langevin equations driven by Lévy noise
• Differentiable approximation of diffusion equations driven by \(\alpha\)-stable Lévy noise
• Distribution tails for solutions of SDE driven by an asymmetric stable Lévy process
• Asymptotic behaviour on the linear self-interacting diffusion driven by α-stable motion
• Scaling limit of a kinetic inhomogeneous stochastic system in the quadratic potential
• How to simulate Lévy flights in a steep potential: an explicit splitting numerical scheme
• Asymptotic derivation of Langevin-like equation with non-Gaussian noise and its analytical solution

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