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

Year: 2026

Type: preprint

Abstract: 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.

Source: arXiv (Cornell University)

DOI: 10.48550/arxiv.2609.01520

Author: Yin, Kun

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funder: Shanghai Jiao Tong University

OpenAlex ID: W7206176743

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