Gaussian asymptotics for a non-linear Langevin type equation driven by an \(\alpha\)-stable Lévy noise

DOI10.1214/EJP.V20-4068zbMath1328.60135OpenAlexW1445537374MaRDI QIDQ894159

Richard Eon, Mihai Gradinaru

Publication date: 27 November 2015

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/ejp.v20-4068

zbMATH Keywords

stochastic differential equationLyapunov functionfunctional central limit theoremBrownian motionmartingalesscaling limit\(\alpha\)-stable Lévy processexponential ergodic processesnon-linear Langevin type equation

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Central limit and other weak theorems (60F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Martingales with continuous parameter (60G44) Stable stochastic processes (60G52) Functional limit theorems; invariance principles (60F17)

Related Items (3)

Unnamed Item ⋮ Moment bounds for dissipative semimartingales with heavy jumps ⋮ Non-Gaussian limit theorem for non-linear Langevin equations driven by Lévy noise

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