{
  "id": "math/0509712",
  "version": "v2",
  "published": "2005-09-30T08:09:16.000Z",
  "updated": "2008-04-02T09:07:22.000Z",
  "title": "Recursive computation of the invariant measure of a stochastic differential equation driven by a Lévy process",
  "authors": [
    "Fabien Panloup"
  ],
  "journal": "The Annals of Applied Probability 18, 2 (2008) 379-426",
  "categories": [
    "math.PR"
  ],
  "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 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.",
  "revisions": [
    {
      "version": "v2",
      "updated": "2008-04-02T09:07:22.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60J75",
      "60J60",
      "60F05"
    ],
    "keywords": [
      "stochastic differential equation driven",
      "invariant measure",
      "lévy process",
      "recursive computation",
      "euler scheme"
    ],
    "tags": [
      "journal article"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2005math......9712P"
    }
  }
}