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

Sumith Reddy Anugu, Siva R. Athreya, Vivek S. Borkar

In this work, we investigate positive recurrent Lévy diffusions driven by appropriately scaled Brownian motion and $\hat{I}\pm$-stable process (with $1<\hat{I}\pm <2$) in the small noise regime. S…