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

DOI10.1214/EJP.V20-4068zbMATH Open1328.60135OpenAlexW1445537374MaRDI QIDQ894159FDOQ894159

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

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zbMATH Keywords

martingalesstochastic differential equationBrownian motionfunctional central limit theoremLyapunov functionscaling limitexponential ergodic processesnon-linear Langevin type equation\(\alpha\)-stable Lévy process

Mathematics Subject Classification ID

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

Cited In (7)

• Asymptotic behaviour on the linear self-interacting diffusion driven by α-stable motion
• Moment bounds for dissipative semimartingales with heavy jumps
• Asymptotic derivation of Langevin-like equation with non-Gaussian noise and its analytical solution
• Title not available (Why is that?)
• Non-Gaussian limit theorem for non-linear Langevin equations driven by Lévy noise
• Asymptotics of the solutions to stochastic wave equations driven by a non-Gaussian Lévy process
• Scaling limit of a kinetic inhomogeneous stochastic system in the quadratic potential

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