Large-noise asymptotic for one-dimensional diffusions

DOI10.3150/bj/1116340293zbMath1072.60014OpenAlexW2073476187MaRDI QIDQ1781186

Szymon Peszat, Francesco Russo

Publication date: 23 June 2005

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3150/bj/1116340293

zbMATH Keywords

stochastic differential equationslaw of large numberscentral limit theoremadditive functional

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17)

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Functional central limit theorem for additive functionals of \(\alpha \)-stable processes ⋮ Asymptotic expansion for some local volatility models arising in finance

Cites Work

• Asymptotic properties of generalized Feynman-Kac functionals
• Large deviation principle for additive functionals of Brownian motion corresponding to Kato measures
• On some limit theorems for occupation times of one dimensional Brownian motion and its continuous additive functionals locally of zero energy
• On the pathwise uniqueness of solutions of one-dimensional stochastic differential equations
• Generalized calculus and sdes with non regular drift
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