A stable limit theorem for SDEs driven by multiplicative $α$-stable processes
We derive a stable limit theorem for stochastic differential equations driven by multiplicative $α$-stable processes. A key ingredient is the $L^1$-exponential contractivity estimate for the SDEs. The limiting process is a non-degenerate symmetric $α$-stable process with an averaged Lévy measure.
Comments
Log in to comment, reply, and vote.
No comments yet.