Small noise asymptotics for a class of jump-diffusions with heavy tails for large times

Abstract

In this work, we investigate positive recurrent Lévy diffusions driven by appropriately scaled Brownian motion and $\alpha$-stable process (with $1<\alpha <2$) in the small noise regime. Supposing that in the vanishing noise limit, our Lévy diffusion approaches a deterministic system with a unique asymptotically stable fixed point, we show that the limiting behavior of the one-dimensional marginal distribution at large times is dictated by the optimal value of a deterministic control problem, just as in the classical case of diffusions driven by small variance Brownian motion. In our case, the control is allowed to have two parts: continuous control and impulse control.

The manuscript is 20 pages long