Recursive computation of the invariant measure of a stochastic differential equation driven by a Lévy process
| dc.creator | Panloup, Fabien | |
| dc.date | 2005-09-30 | |
| dc.date | 2008-04-02 | |
| dc.date.accessioned | 2026-07-07T09:29:43Z | |
| dc.date.available | 2026-07-07T09:29:43Z | |
| dc.description | 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. | |
| dc.identifier | https://arxiv.org/abs/math/0509712 | |
| dc.identifier | http://arxiv.org/abs/math/0509712 | |
| dc.identifier | The Annals of Applied Probability 18, 2 (2008) 379-426 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/157892 | |
| dc.subject | Probability | |
| dc.subject | 60J75,60J60,60F05 | |
| dc.title | Recursive computation of the invariant measure of a stochastic differential equation driven by a Lévy process | |
| dc.type | text |