Scaling limits for symmetric Itô-Lévy processes in random medium

We are concerned with scaling limits of solutions to stochastic differential equations with stationary coefficients driven by Poisson random measures and Brownian motions. We state an annealed convergence theorem, in which the limit exhibits a diffusive or superdiffusive behaviour, depending on the integrability properties of the Poisson random measure.

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Year of publication:	2009
Authors:	Rhodes, Rémi ; Vargas, Vincent
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 119.2009, 12, p. 4004-4033
Publisher:	Elsevier
Keywords:	Ito-Lévy processes Random medium Stochastic homogenization Scaling limit Integro-differential operators Ergodicity

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008874259