A functional non-central limit theorem for jump-diffusions with periodic coefficients driven by stable Levy-noise
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🧮 math.PR
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drivenlimitstablecoefficientsfunctionaljump-diffusionsnon-centralperiodic
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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.
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