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

Abstract

We prove a functional non-central limit theorem for jump-diffusions with periodic coefficients driven by stable Lévy-processes with stability index α > 1. The limit process turns out to be an α-stable Lévy process with an averaged jump-measure. Unlike in the situation where the diffusion is driven by Brownian motion, there is no drift related enhancement of… (More)

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