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arXiv:math/0611072 [math.PR]AbstractReferencesReviewsResources

Computation of the invariant measure for a Lévy driven SDE: Rate of convergence

Fabien Panloup

Published 2006-11-03Version 1

We study the rate of convergence of some recursive procedures based on some "exact" or "approximate" Euler schemes which converge to the invariant measure of an ergodic SDE driven by a L\'{e}vy process. The main interest of this work is to compare the rates induced by exact and approximate Euler schemes. In our main result, we show that replacing the small jumps by a Brownian component in the approximate case preserves the rate induced by the exact Euler scheme for a large class of L\'{e}vy processes.

Categories: math.PR
Subjects: 60H35, 60H10, 60J75
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