Periodic homogenization of non-symmetric Lévy-type processes

Abstract

In this paper, we study homogenization problem for strong Markov processes on ${\mathbb{R}}^d$ having infinitesimal generators $$ \sL f(x)=\int_{\R^d}\left(f(x+z)-f(x)-\langle \nabla f(x), z\rangle \I_{\{|z|\le 1\}} \right) k(x,z)\, Π(dz) +\langle b(x), \nabla f(x) \rangle, \quad f\in C^2_b (\R^d) $$ in periodic media, where $\Pi$ is a non-negative measure on ${\mathbb{R}}^d$ that does not charge the origin $0$, satisfies ${\int }_{{\mathbb{R}}^d}(1\wedge |z{|}^2)\Pi (dz)<\infty$, and can be singular with respect to the Lebesgue measure on ${\mathbb{R}}^d$. Under a proper scaling, we show the scaled processes converge weakly to Lévy processes on ${\mathbb{R}}^d$. The results are a counterpart of the celebrated work \cite{BLP,Bh} in the jump-diffusion setting. In particular, we completely characterize the homogenized limiting processes when $b(x)$ is a bounded continuous multivariate 1-periodic ${\mathbb{R}}^d$-valued function, $k(x,z)$ is a non-negative bounded continuous function that is multivariate 1-periodic in both $x$ and $z$ variables, and, in spherical coordinate $z=(r, θ) \in \R_+\times \bS^{d-1}$, $$ \I_{\{|z|>1\}}\,Π(dz) = \I_{\{ r>1\}} \varrho_0(dθ) \, \frac{ dr }{r^{1+α}} $$ with $\alpha \in (0,\infty )$ and ${\varrho }_0$ being any finite measure on the unit sphere $\bS^{d-1}$ in ${\mathbb{R}}^d$. Different phenomena occur depending on the values of $\alpha$; there are five cases: $\alpha \in (0,1)$, $\alpha =1$, $\alpha \in (1,2)$, $\alpha =2$ and $\alpha \in (2,\infty )$.

38 pages