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

Fabien Panloup

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

Fabien Panloup

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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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BibTeX RIS

Fabien Panloup. 2008-04-02. Recursive computation of the invariant measure of a stochastic differential equation driven by a Lévy process. https://arxiv.org/abs/math/0509712

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