Critical Homogenization of SDEs Driven by a Levy Process in Random Medium
Rhodes, Rémi; Sow, Bamba A. (2011), Critical Homogenization of SDEs Driven by a Levy Process in Random Medium, Stochastic Analysis and Applications, 29, 5, p. 838-859. http://dx.doi.org/10.1080/07362994.2011.598795
TypeArticle accepté pour publication ou publié
External document linkhttp://arxiv.org/abs/0906.3569v1
Journal nameStochastic Analysis and Applications
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Abstract (EN)We are concerned with homogenization of stochastic differential equations (SDE) with stationary coefficients driven by Poisson random measures and Brownian motions in the critical case, that is, when the limiting equation admits both a Brownian part as well as a pure jump part. We state an annealed convergence theorem. This problem is deeply connected with homogenization of integral partial differential equations.
Subjects / KeywordsErgodicity; Homogenization; Integro-differential operators; Itô-Lévy processes; Random medium
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