{
  "id": "math/0611072",
  "version": "v1",
  "published": "2006-11-03T12:35:18.000Z",
  "updated": "2006-11-03T12:35:18.000Z",
  "title": "Computation of the invariant measure for a Lévy driven SDE: Rate of convergence",
  "authors": [
    "Fabien Panloup"
  ],
  "categories": [
    "math.PR"
  ],
  "abstract": "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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2006-11-03T12:35:18.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60H35",
      "60H10",
      "60J75"
    ],
    "keywords": [
      "lévy driven sde",
      "invariant measure",
      "convergence",
      "computation",
      "ergodic sde driven"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2006math.....11072P"
    }
  }
}