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

2026-07-072026-07-07http://salesiana.dossiersoluciones.com/handle/123456789/157892We 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.Probability60J75,60J60,60F05Recursive computation of the invariant measure of a stochastic differential equation driven by a Lévy processtext