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A stable limit theorem for SDEs driven by multiplicative $α$-stable processes

arXiv.org
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.

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