A functional non-central limit theorem for jump-diffusions with periodic coefficients driven by stable Levy-noise
arXiv:math/0611852 · doi:10.1007/s10959-007-0099-5
Abstract
We prove a functional non-central limit theorem for jump-diffusions with periodic coefficients driven by strictly stable Levy-processes with stability index bigger than one. The limit process turns out to be a strictly stable Levy 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 diffusivity.
Accepted to Journal of Theoretical Probability