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arXiv:math/0509712 [math.PR]AbstractReferencesReviewsResources

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

Fabien Panloup

Published 2005-09-30, updated 2008-04-02Version 2

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.

Journal: The Annals of Applied Probability 18, 2 (2008) 379-426
Categories: math.PR
Subjects: 60J75, 60J60, 60F05
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