Recursive computation of the invariant measure of a stochastic differential equation driven by a L\'evy process
Probability
2008-04-02 v2
Abstract
We investigate some recursive procedures based on an exact or ``approximate'' Euler scheme with decreasing step in vue to computation of invariant measures of solutions to S.D.E. driven by a L\'evy process. Our results are valid for a large class of S.D.E. that can be governed by L\'evy processes with few moments or can have a weakly mean-reverting drift, and permit to find again the a.s. C.L.T for stable processes.
Keywords
Cite
@article{arxiv.math/0509712,
title = {Recursive computation of the invariant measure of a stochastic differential equation driven by a L\'evy process},
author = {Fabien Panloup},
journal= {arXiv preprint arXiv:math/0509712},
year = {2008}
}