Journal Articles The Annals of Applied Probability Year : 2008

Recursive computation of the invariant measure of a stochastic differential equation driven by a Lévy process

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 Lévy process. Our results are valid for a large class of S.D.E. that can be governed by Lévy 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.
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Dates and versions

hal-00009273 , version 1 (29-09-2005)
hal-00009273 , version 2 (02-04-2008)

Identifiers

Cite

Fabien Panloup. Recursive computation of the invariant measure of a stochastic differential equation driven by a Lévy process. The Annals of Applied Probability, 2008, 18 (2), pp.379-426. ⟨hal-00009273v1⟩
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