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Asymptotic of solutions of friction type differential equations disturbed by stable Lévy noise

Abstract : This thesis deals with the study of friction type differential equations, in other words, attractive equations, with a unique stable point 0, describing the speed of an object submitted to a frictional force. This object's speed is disturbed by Lévy type random perturbations. In a first part, one is interested in fondamental properties of these SDE: existence and unicity of a solution, Markov and ergodic properties, and more particularly the case of stable Lévy processes.In a second part, one study the stability of the solution of these SDE when the perturbation is an stable Lévy process that tends to 0. In fact, one proves the existence of a Taylor expansion of order one around the deterministic solution for the object's speed and position. In a third part, one study the asymptotic behaviour of the solutions when the initial speed is 0 and the perturbation is a symmetric stable Lévy process. One proves that the amount of perturbations, if the stability's index of the Lévy process and the increasing of the potential are big enough, leads to a gaussian asymptotic behaviour for the object's position.In a forth part, one relaxes the assumption of symmetry of the perturbation by proving the same result as in the third part but with a drift. To do so, one first studies the tail of the invariant measure of the object's speed.Finally, in a last part, one is interested in the same result as in the third part when the perturbation is the sum of the Brownian motion and a pure jump stable Lévy process. Then, one begins the study of the dimension two by considering the case where the equations are separated but where the driving Brownian motions are dependent.
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Submitted on : Wednesday, October 26, 2016 - 5:33:05 PM
Last modification on : Friday, May 20, 2022 - 9:04:49 AM


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  • HAL Id : tel-01388319, version 1


Richard Eon. Asymptotic of solutions of friction type differential equations disturbed by stable Lévy noise. Probability [math.PR]. Université Rennes 1, 2016. English. ⟨NNT : 2016REN1S024⟩. ⟨tel-01388319⟩



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